石油危机与金砖国家股市的动态联系

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-05-22 DOI:10.1016/j.frl.2025.107601

Walid Mensi , Rim El Khoury , Sang Hoon Kang

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引用次数: 0

摘要

本研究探讨了石油冲击与金砖国家股票市场（巴西、俄罗斯、印度、中国和南非）之间的动态关系，使用了一种新的R2分解连通性框架来量化同期和滞后溢出效应。它区分了需求、供给和风险驱动的冲击的即时效应和延迟效应。我们的研究结果表明，随着时间的推移，总体连通性是异质性的，并依赖于经济事件，平均而言，同期效应更为明显。在2019冠状病毒病大流行等全球危机期间，风险冲击成为主要的波动传导因素，几乎立即影响到市场。观察到滞后溢出效应，表明市场对最初冲击的反应滞后。金砖国家作为“净接收者”或“净传播者”的角色取决于它们的经济特征和冲击。本研究强调，需要制定针对性的政策应对措施，以管理油价波动对新兴市场的影响，同时考虑到近期和长期影响。

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Dynamic connectedness between oil shocks and BRICS stock markets

This 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.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance