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- W3156016722 endingPage "102062" @default.
- W3156016722 startingPage "102062" @default.
- W3156016722 abstract "This paper uses the wavelet method to investigate co-movements between the five emerging stock markets of Brazil, Russia, India, China, and South Africa (BRICS), and the oil and natural gas markets. The results show co-movements between oil price and stock market returns at the lower scale or in the long-term. Coherence between oil and stock markets reaches maximal levels during the period of the 2008 financial crisis and the ensuing slow economic recovery from 2009. The strong co-movements between crude oil price returns and BRICS stock market returns take place after the removal of the effects of natural gas price returns. Multivariate coherency shows strong contributions of stock market returns and natural gas price returns to crude oil price returns. Given the less co-movements between natural gas and stock markets, natural gas provides higher diversification benefits. The risk is highest in the short-run compared to the medium-and long-term." @default.
- W3156016722 created "2021-04-26" @default.
- W3156016722 creator A5001100407 @default.
- W3156016722 creator A5008279816 @default.
- W3156016722 creator A5021863807 @default.
- W3156016722 creator A5026257935 @default.
- W3156016722 creator A5039650663 @default.
- W3156016722 date "2021-08-01" @default.
- W3156016722 modified "2023-10-14" @default.
- W3156016722 title "Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain" @default.
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