No abstract

This paper examines the dependence structure between the emerging stock markets of the BRICS countries (Brazil, Russia, India, China and South Africa) and influential global factors (the S&P 500 index, the commodity markets, the global stock market uncertainty and the US economic policy uncertainty). Using the quantile regression approach, our results for the period from September 1997 to September 2013 show that the BRICS stock markets exhibit asymmetric dependence with the global stock market and this dependence has not changed since the onset of the recent global financial crisis. Moreover, oil prices display a symmetric tail independence with all those BRICS markets (except that of South Africa), even though the dependence between oil and BRICS markets significantly increased with the onset of the financial crisis. The gold price returns co-move with those of the BRICS markets at both the upper and lower tails (except for Russia and China) but the degree of comovement has decreased since the crisis. Finally, the stock market uncertainty (VIX) is found to drive the stock returns in a bear market but this relationship is insignificant in a bull market. On the other hand, the economic policy uncertainty has no impact on the BRICS stock markets both before and since the onset of the financial crisis. These results have implications for international investors in terms of risk management which should vary according to changes in the economic and financial global factors.

In this article, we investigate the causality links between CO2 emissions, foreign direct investment, and economic growth using dynamic simultaneous-equation panel data models for a global panel of 54 countries over the period 1990-2011. We also implement these empirical models for 3 regional sub-panels: Europe and Central Asia, Latin America and the Caribbean, and the Middle East, North Africa, and sub-Saharan Africa. Our results provide evidence of bidirectional causality between FDI inflows and economic growth for all the panels and between FDI and CO2 for all the panels, except Europe and North Asia. They also indicate the existence of unidirectional causality running from CO2 emissions to economic growth, with the exception of the Middle East, North Africa, and sub-Sahara panel, for which bidirectional causality between these variables cannot be rejected. These empirical insights are of particular interest to policymakers as they help build sound economic policies to sustain economic development.

No abstract

This paper investigates the return linkages and volatility transmission between oil and stock markets in the Gulf Cooperation Council (GCC) countries over the recent period 2005-2010. We employ a recent generalized VAR-GARCH approach which allows for transmissions in return and volatility. In addition, we analyze the optimal weights and hedge ratios for oil-stock portfolio holdings. On the whole, our results point to the existence of substantial return and volatility spillovers between world oil prices and GCC stock markets, and appear to be crucial for international portfolio management in the presence of oil price risk.

This article extends the understanding of oil-stock market relationships over the last turbulent decade. Unlike previous empirical investigations, which have largely focused on broad-based market indices (national and/or regional indices), we examine short-term linkages in the aggregate as well as sector by sector levels in Europe using different econometric techniques. Our main findings suggest that the reactions of stock returns to oil price changes differ greatly depending on the activity sector. In the out-of-sample analysis we show that introducing oil asset into a diversified portfolio of stocks allows to significantly improve its risk-return characteristics.Keywords: oil prices, portfolio management, short-term analysis, sector indices. JEL classifications: G12, F3, Q43. The authors thank anonymous reviewers and Stéphane Grégoir for helpful comments and suggestions on an earlier version of the paper. The usual disclaimer applies.2

No abstract

No abstract