Re-examining oil and BRICS’ stock markets: new evidence from wavelet and MGARCH-DCC
نویسندگان
چکیده
This study examines how the relationship between oil and stock market return of BRICS behaves at different investment horizons. Using data ranging from 2006 to 2020, wavelet MGARCH-DCC found that markets’ Russia, Brazil, South Africa are comparatively more correlated with price across horizons volatile particularly during Covid-19 period. However, China India is less volatile. It also revealed leads BRICS’ both positively correlated.
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ژورنال
عنوان ژورنال: Macroeconomics and Finance in Emerging Market Economies
سال: 2021
ISSN: ['1752-0843', '1752-0851']
DOI: https://doi.org/10.1080/17520843.2020.1861047