Bidirectional spillover effect between Russian stock index and the selected commodities

Živkov, Dejan; Njegić, Jovan; Momčilović, Mirela

doi:10.18045/zbefri.2018.1.29

Cited by 4 publications

(3 citation statements)

References 24 publications

(29 reference statements)

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“…According to the literature, we find that the window size ranges from about 200 to 1000 when using GARCH family models [30] , [31] , [32] , [33] . For a window with N observations, the overlap data can range from 0 to N-1 [32] , [34] . The window size used in this research is 12 months and the overlap length is 6 months.…”

Section: Methodsmentioning

confidence: 99%

The time-varying spillover effect of China’s stock market during the COVID-19 pandemic

Liu

Chen

et al. 2022

Physica A: Statistical Mechanics and its Applications

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Section: Methodsmentioning

confidence: 99%

The time-varying spillover effect of China’s stock market during the COVID-19 pandemic

Liu

Chen

et al. 2022

Physica A: Statistical Mechanics and its Applications

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“…During COVID, the study finds that for Russia, the increase in brent crude oil prices has a negative impact on the stock returns. Pre COVID, brent crude oil price has the strongest transmission eject on the Russian stock market return (Zivkov et al, 2018).…”

Section: Review Of Literaturementioning

confidence: 99%

Comovement of Fear Index, Stock Returns, Brent Oil Prices in BRIC Countries: The Case of COVID-19

Sharma

Malik²

2022

The Indian Economic Journal

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The study investigates long-run and short-run cointegrating relationship between stock market returns, fear index (VIX), brent crude oil prices and growth in deaths due to the COVID-19 pandemic for BRIC countries using daily data from 23 January 2020 to 24 August 2020 using Autoregressive Distributed Lag (ARDL) model. CUSUM test and serial correlation test estimates point towards the robustness of the model used. The evidence reveals that for India and Brazil, with the outbreak of COVID-19, decrease in crude oil prices and increase in volatility index, the stock returns started declining in the short run, but the impact has declined and the stock returns have regained in the long run. For China, due to the outbreak of COVID-19 and increase in fear index, stock returns declined in the short run, but the Chinese economy has recovered well due to a strong industrial and services sector. For Russia, increase in deaths due to COVID and decline in oil prices has impacted the stock returns in the long- and short run. Due to a decline of 53% for crude oil prices from January 2020 to May 2020, the Russian economy would face the consequences in the long run as well. The results suggest that though BRIC countries were impacted by growth in COVID-19 deaths, but the recovery trajectory and stability has resumed for all countries except Russia. Results of Granger Causality indicate a bidirectional causality between VIX and stock returns for the Indian market.

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“…The extreme oil price swings in the last decade have been instigated by the changing global oil demand and supply, increased commodity financialization, global financial crises, and the behaviour of speculators (see Bein & Aga, ; Derviz, ; Mirović, Živkov, & Njegić, ; Novotny, ; Rafiq, ; Shamsollah & Maryam, ; Yildirim, Ozcelebi, & Ozkan, ; Zhang, Fan, Tsai, & Wei, ; Živkov, Njegić, & Momčilović, ). The oil price is one of the most important determinants for national economic performance, thus proper understanding of the interdependencies between crude oil and foreign exchange markets stands as a key interest for various market participants such as investors, arbitragers, currency traders, policymakers, risk managers, and so forth.…”

Section: Introductionmentioning

confidence: 99%

Revealing the nexus between oil and exchange rate in the major emerging markets—The timescale analysis

2018

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This paper investigates the interrelationship between Brent oil price and exchange rate in 10 emerging markets of East Europe, Asia, Africa, and South America. For computational purpose, we apply two innovative methodologies—wavelet coherence and phase difference that are capable of observing different frequency scales. Wavelet coherence results suggest that strong coherence is present during world financial crisis (WFC) in the oil‐exporting countries and in majority of the oil‐importing countries. Phase arrows as well as phase difference suggest negative coherence between oil and exchange rates in the oil‐importing countries during WFC. Negative coherence is found in these countries because currency depreciation was accompanied by immense oil price drop in WFC period. In addition, phase difference has relatively stable in‐phase dynamics in long term in the oil‐importing countries during tranquil periods, which confirms theoretical stance that higher oil prices cause currency depreciation and vice versa. As for the oil‐exporting countries, we find constant and relatively long‐lasting anti‐phase pattern in Russian and Nigerian cases for long‐term horizons but not for Brazilian one.

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Bidirectional spillover effect between Russian stock index and the selected commodities

Abstract: This paper investigates shock and volatility spillover effect between Russian index RTS and six futures commodities (Brent oil, natural gas, gasoline, gold, platinum and palladium)

Cited by 4 publications

References 24 publications

The time-varying spillover effect of China’s stock market during the COVID-19 pandemic

The time-varying spillover effect of China’s stock market during the COVID-19 pandemic

Comovement of Fear Index, Stock Returns, Brent Oil Prices in BRIC Countries: The Case of COVID-19

Revealing the nexus between oil and exchange rate in the major emerging markets—The timescale analysis

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