Current studentsExisting staffContact us
 

Dynamic connectedness between oil shocks and BRICS stock markets

Simple item page
dc.contributor.authorMensi, W.
dc.contributor.authorEl Khoury, R.
dc.contributor.authorKang, S.H.
dc.date.issued2025
dc.descriptionData source: supplementary materials, https://doi.org/10.1016/j.frl.2025.107601
dc.description.abstractThis study explores the dynamic relationships between oil shocks and the BRICS stock markets (Brazil, Russia, India, China, and South Africa) using a novel R2 decomposed connectedness framework to quantify both contemporaneous and lagged spillovers. It differentiates between the immediate and delayed effects of demand, supply, and risk-driven shocks. Our findings show that total connectedness is heterogeneous over time and dependent on economic events, with contemporaneous effects more pronounced on average. Risk shocks emerged as primary volatility transmitters during global crises such as the COVID-19 pandemic, influencing markets almost immediately. Lagged spillovers are observed, indicating delayed market responses to the initial shocks. The role of BRICS nations as net receivers or transmitters is shaped by their economic characteristics and shocks. This study highlights the need for tailored policy responses to manage the impact of oil price volatility on emerging markets, considering both immediate and long-term effects.
dc.identifier.citationFinance Research Letters, 2025; 82(107601):1-13
dc.identifier.doi10.1016/j.frl.2025.107601
dc.identifier.issn1544-6123
dc.identifier.urihttps://hdl.handle.net/11541.2/44230
dc.language.isoen
dc.publisherAcademic Press
dc.relation.fundingMinistry of Education of the Republic of Korea
dc.relation.fundingNational Research Foundation of Korea NRF-2024S1A5A2A01028034
dc.rightsCopyright 2025 Elsevier Inc. All rights are reserved, including those for text and data mining, AI training, and similar technologies.
dc.source.urihttps://doi.org/10.1016/j.frl.2025.107601
dc.subjectBRICS stock markets
dc.subjectcontemporaneous connectedness
dc.subjectdynamic connectedness
dc.subjectlagged connectedness
dc.subjectoil shocks
dc.titleDynamic connectedness between oil shocks and BRICS stock markets
dc.typeJournal article
pubs.publication-statusPublished
ror.mmsid9916975632301831

Files

Collections