Journal of Energy Markets

Risk.net

Dynamic spillover between the crude oil, natural gas and BRICS stock markets

Tarek Sadraoui, Rym Regaïeg, Wajdi Moussa, Nidhal Mgadmi and Chokri Arfa

  • Positive dynamic dependency among BRICS stock markets and crude oil prices (respectively natural gas).
  • Strong risk spillover presence between BRICS stock markets and oil markets (respectively natural gas markets).
  • Stock market is undeniably affected by systemic risk spillovers from the oil market (respectively from the natural gas market).
  • Risk spillover subsequent from the drop in oil prices (respectively in natural gas prices) has an important harmful effect on the BRICS stock markets.

This study investigates the dynamic spillover between crude oil, natural gas and the stock markets in Brazil, Russia, India, China and South Africa (BRICS). The paper supports the presence of substantial dynamic spillover between crude oil markets and BRICS stock markets. The findings also suggest the existence of significant dynamic spillover between natural gas markets and BRICS stock markets. The presence of dynamic spillover between oil prices, natural gas prices and BRICS stock markets indicates that oil markets news and natural gas market evidence enhance the prediction of impulsiveness in stock markets. Therefore, stockholders must take oil markets and natural gas markets into account when constructing financial portfolios or expanding their hedging strategies.

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