Dynamic spillover between the crude oil, natural gas and BRICS stock markets

被引：0
|
作者：
Sadraoui, Tarek [1 ]
Regaieg, Rym [2 ]
Moussa, Wajdi [2 ]
Mgadmi, Nidhal [1 ]
Arfa, Chokri [3 ]
机构：
[1] Univ Monastir, Fac Econ Sci & Management Mandia, G2CJ 9M6 Hiboun, Mandia 5111, Tunisia
[2] Univ Tunis, Higher Inst Management, 41 Rue Liberte,Cite Bouchoucha, Tunis 2000, Tunisia
[3] Univ Carthage Tunis, Natl Inst Labour & Social Studies INTES, 44 Rue Artisanat Charguia 2, Tunis, Tunisia
来源：
JOURNAL OF ENERGY MARKETS | 2022年 / 15卷 / 02期
关键词：
dynamic dependence; risk spillover; BRICS; (Brazil; Russia; India; China and South Africa) stock markets; oil; natural gas; EXCHANGE-RATES; SYSTEMIC RISK; DEPENDENCE STRUCTURE; PRICE SHOCKS; RETURNS; COVAR;
D O I：
10.21314/JEM.2022.013
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This study investigates the dynamic spillover between crude oil, natural gas and the stock markets in Brazil, Russia, India, China and South Africa (BRICS). The paper supports the presence of substantial dynamic spillover between crude oil markets and BRICS stock markets. The findings also suggest the existence of significant dynamic spillover between natural gas markets and BRICS stock markets. The presence of dynamic spillover between oil prices, natural gas prices and BRICS stock markets indicates that oil markets news and natural gas market evidence enhance the prediction of impulsiveness in stock markets. Therefore, stockholders must take oil markets and natural gas markets into account when constructing financial portfolios or expanding their hedging strategies.
引用
收藏
页码：41 / 75
页数：35
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