Oil price risk exposure of BRIC stock markets and hedging effectiveness

Shahzad, Syed Jawad Hussain; Bouri, Elie; Rehman, Mobeen Ur; Naeem, Muhammad Abubakr; Saeed, Tareq

doi:10.1007/s10479-021-04078-0

Cited by 31 publications

(18 citation statements)

References 50 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…(2011.), Mollick and Assefa (2013.), Ahmed and Huo (2021.), and Shahzad et al. (2021.) but contrasts the findings by Nordin et al. (2014.) for crude oil and gold price changes.…”

Section: Empirical Results and Discussionmentioning

confidence: 75%

“…Shahzad et al. (2021.) approached the subject matter by studying the tail dependence between crude oil and stock markets for Brazil, Russia, India, and China (BRIC) by employing the time‐varying optimal copula approach. The study revealed that simple static or dynamic copula does not fully explain the extreme dependence existing between oil and stock markets for BRIC.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The results of the study indicated that the information transmission network in relation to political, war, macroeconomic, and financial events on equities is unstable and changes over time. Shahzad et al (2021. ) approached the subject matter by studying the tail dependence between crude oil and stock markets for Brazil, Russia, India, and China (BRIC) by employing the time-varying optimal copula approach.…”

Section: Literature Reviewmentioning

confidence: 99%

See 2 more Smart Citations

Commodity price volatility and stock market returns in an emerging economy

et al. 2022

View full text Add to dashboard Cite

The paper examined commodity price volatility and stock returns on the Ghana Stock Exchange (GSE). Utilising Threshold Generalised Autoregressive Conditional Heteroskedasticity (TGARCH) estimation technique, the study also evaluated the likely leverage effect on the stock market and further interrogated if autocorrelation existed in the daily stock returns series, for how many days and on what day does it disappear by specifying an autoregressive model as a mean equation. The study concludes that changes in commodity prices and their volatilities on the international market exert a significant level of diverse impact on daily stock returns and return volatility on the GSE. For instance, whilst coffee price changes result in reduction in daily stock returns, changes in crude and gold prices result in an increment in returns on the GSE. The study also confirms the existence of autocorrelation in the daily stock returns for up to seven days, fading out on the eighth day as well as the existence of the leverage effect on the GSE. This result should influence investment decisions in respect to trading on the GSE. Observance of changes in price of these key commodities could enhance predictions and lead to the formulation of strategies to maximise revenues on the GSE 1

show abstract

“…(2011.), Mollick and Assefa (2013.), Ahmed and Huo (2021.), and Shahzad et al. (2021.) but contrasts the findings by Nordin et al. (2014.) for crude oil and gold price changes.…”

Section: Empirical Results and Discussionmentioning

confidence: 75%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

See 1 more Smart Citation

Commodity price volatility and stock market returns in an emerging economy

et al. 2022

View full text Add to dashboard Cite

show abstract

“…Their study focuses on key oil-importing and exporting nations and observe that the pandemic created a high level of causal impact on oil prices. Shahzad et al ( 2021 ) study the tail dependence structure between the four BRIC stock market and crude oil. They indicate an existence of multiple tail dependence regimes and conclude that a time-varying dependence structure exists for the oil and BRIC equity markets.…”

Section: Major Findingsmentioning

confidence: 99%

Financial modeling, risk management of energy and environmental instruments and derivatives: past, present, and future

et al. 2022

View full text Add to dashboard Cite

show abstract

“…These studies conduct forecasting of financial time series (Jana et al, 2021), multiresolution analysis (Kilic and Ugur, 2018), risk assessments for different trading horizons (Tzagkarakis & Maurer, 2020), and multifractal theory (Zhao et al, 2015) among many other applications. In addition, copulas have been used to study time-varying asymmetric tail dependence in portfolio selection (Yan et al, 2020) and the risk exposure to oil price shocks (Shahzad et al, 2021).…”

Section: Introductionmentioning

confidence: 99%

Systematic risk in the biopharmaceutical sector: a multiscale approach

et al. 2021

View full text Add to dashboard Cite

It is well documented that the biopharmaceutical sector has exhibited weak financial returns, contributing to underinvestment. Innovations in the industry carry high risks; however, an analysis of systematic risk and return compared to other asset classes is missing. This paper investigates the time–frequency interconnectedness between stocks in the biotech sector and ten asset classes using daily cross-country data from 1995 to 2019. We capture investors' heterogeneous investment horizons by decomposing time series according to frequencies. Using a maximal overlap discrete wavelet transform (MODWT) and a dynamic conditional correlation (DCC)-Student-t copula, diversification potentials are revealed, helping investors to reap the benefits of investing in biotech. Our findings indicate that the underlying assets exhibit nonlinear asymmetric behavior that strengthens during periods of turmoil.

show abstract

Oil price risk exposure of BRIC stock markets and hedging effectiveness

Cited by 31 publications

References 50 publications

Commodity price volatility and stock market returns in an emerging economy

Commodity price volatility and stock market returns in an emerging economy

Financial modeling, risk management of energy and environmental instruments and derivatives: past, present, and future

Systematic risk in the biopharmaceutical sector: a multiscale approach

Contact Info

Product

Resources

About