This article is a Preprint
Preprints are preliminary research reports that have not been certified by peer review. They should not be relied on to guide clinical practice or health-related behavior and should not be reported in news media as established information.
Preprints posted online allow authors to receive rapid feedback and the entire scientific community can appraise the work for themselves and respond appropriately. Those comments are posted alongside the preprints for anyone to read them and serve as a post publication assessment.
Oil Shocks and BRIC Markets: Evidence from Extreme Quantile Approach (preprint)
ssrn; 2021.
Preprint
in English
| PREPRINT-SSRN | ID: ppzbmed-10.2139.ssrn.3957368
ABSTRACT
The present study aims to configure the extreme quantile dependence between oil shocks and BRIC markets from January 2, 1995 to July 27, 2021. Using the cross-quantilogram technique, the current study first decomposed oil shocks pertaining to demand and supply and analyzed their asymmetric impact on BRIC markets. Our findings manifest positive and persistent dependencies between oil demand shocks and BRIC markets. Meanwhile, substantial cross-quantile dependence is demonstrated among shocks in oil supply and the stock returns of Russia. The recursive cross-quantilogram analysis indicates time-varying characteristics reiterating that oil demand shocks are positively and significantly correlated with BRIC stock returns, particularly after the Global Financial Crisis and COVID-19 pandemic. However, weaker dependencies are observed in the normal market conditions in the absence of financial contagion. Finally, after controlling the impact of idiosyncratic risk shocks, our results remain robust. Our findings are of particular prominence for policymakers, investors, and financial market constituents to restructure their current policies and strategies for avoiding uncertainty in the stock returns.
Full text:
Available
Collection:
Preprints
Database:
PREPRINT-SSRN
Main subject:
Aphasia
/
COVID-19
Language:
English
Year:
2021
Document Type:
Preprint
Similar
MEDLINE
...
LILACS
LIS