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Crises, crude oil and BRIC stock markets

Valeri Natanelov UGent, Manoj Kumar Dora UGent, Xavier Gellynck UGent and Guido Van Huylenbroeck UGent (2013) INTERNATIONAL JOURNAL OF BUSINESS AND EMERGING MARKETS. 5(4). p.304-321
abstract
This study complements the debate on the linkages between crude oil and BRIC stock markets. The usage of the most recent data with daily frequency within a period of two economic crises makes this study very timely and its results valuable both for researchers and investors. The main focus of this study is the impact of crude oil price on dissimilar BRIC economies. The main results indicate linear cointegration of Chinese and Brazilian stock markets with crude oil prices, whereas in case of India and Russia threshold cointegration is present. The study also shows that India’s BSE30 precedes crude oil futures, whereas China, Russia and Brazil have a bi-directional causality between the stock markets and crude oil prices.
Please use this url to cite or link to this publication:
author
organization
year
type
journalArticle (original)
publication status
published
subject
keyword
BRIC, crude oil, cointegration, stock markets
journal title
INTERNATIONAL JOURNAL OF BUSINESS AND EMERGING MARKETS
Int. J. Bus. Emerg. Markets
volume
5
issue
4
pages
304 - 321
ISSN
1753-6219
project
Biotechnology for a sustainable economy (Bio-Economy)
language
English
UGent publication?
yes
classification
A2
copyright statement
I have transferred the copyright for this publication to the publisher
VABB id
c:vabb:336975
VABB type
VABB-1
id
2913701
handle
http://hdl.handle.net/1854/LU-2913701
date created
2012-06-20 16:18:38
date last changed
2015-06-17 10:08:44
@article{2913701,
  abstract     = {This study complements the debate on the linkages between crude oil and BRIC stock markets. The usage of the most recent data with daily frequency within a period of two economic crises makes this study very timely and its results valuable both for researchers and investors. The main focus of this study is the impact of crude oil price on dissimilar BRIC economies. The main results indicate linear cointegration of Chinese and Brazilian stock markets with crude oil prices, whereas in case of India and Russia threshold cointegration is  present. The study also shows that India{\textquoteright}s BSE30 precedes crude oil futures, whereas China, Russia and Brazil have a bi-directional causality between the stock markets and crude oil prices.},
  author       = {Natanelov, Valeri and Dora, Manoj Kumar and Gellynck, Xavier and Van Huylenbroeck, Guido},
  issn         = {1753-6219},
  journal      = {INTERNATIONAL JOURNAL OF BUSINESS AND EMERGING MARKETS},
  keyword      = {BRIC,crude oil,cointegration,stock markets},
  language     = {eng},
  number       = {4},
  pages        = {304--321},
  title        = {Crises, crude oil and BRIC stock markets},
  volume       = {5},
  year         = {2013},
}

Chicago
Natanelov, Valeri, Manoj Kumar Dora, Xavier Gellynck, and Guido Van Huylenbroeck. 2013. “Crises, Crude Oil and BRIC Stock Markets.” International Journal of Business and Emerging Markets 5 (4): 304–321.
APA
Natanelov, V., Dora, M. K., Gellynck, X., & Van Huylenbroeck, G. (2013). Crises, crude oil and BRIC stock markets. INTERNATIONAL JOURNAL OF BUSINESS AND EMERGING MARKETS, 5(4), 304–321.
Vancouver
1.
Natanelov V, Dora MK, Gellynck X, Van Huylenbroeck G. Crises, crude oil and BRIC stock markets. INTERNATIONAL JOURNAL OF BUSINESS AND EMERGING MARKETS. 2013;5(4):304–21.
MLA
Natanelov, Valeri, Manoj Kumar Dora, Xavier Gellynck, et al. “Crises, Crude Oil and BRIC Stock Markets.” INTERNATIONAL JOURNAL OF BUSINESS AND EMERGING MARKETS 5.4 (2013): 304–321. Print.