Oil shocks and equity markets: The case of GCC and BRIC economies

Author First name, Last name, Institution

Zaghum UmarFollow
Nader Trabelsi
Adam Zaremba

Document Type

Article

Source of Publication

Energy Economics

Publication Date

2-1-2021

Abstract

This study analyzes the relationship between oil shocks and the equity markets of a group of world major oil producers and consumers encompassing both the GCC and BRICS economies. We employ a novel framework to decompose the oil shocks (demand, supply, and risk shocks) into their daily components. Subsequently, we also employ a network connectedness approach to investigate the static and time-varying connectedness of these shocks with equity markets. Our sample period ranges from January 6, 2005, to July 17, 2020. Empirical results show a medium connectedness between examined equity markets and oil shocks, in terms of returns and volatility, with an unpreceded level during the recent COVID-19 crisis. Furthermore, the volatility of oil-exporting countries contributes more to the volatility connectedness. Demand shock and risk shock are the main contributors to the connectedness.

DOI Link

10.1016/j.eneco.2021.105155

ISSN

0140-9883

Publisher

Elsevier

Disciplines

Business

Scopus ID

85100762069

Recommended Citation

Umar, Zaghum; Trabelsi, Nader; and Zaremba, Adam, "Oil shocks and equity markets: The case of GCC and BRIC economies" (2021). All Works. 2537.
https://zuscholars.zu.ac.ae/works/2537

Indexed in Scopus

yes

Open Access

no