The Changing Role of Financial Stress, Oil Price, and Gold Price in Financial Contagion among US and BRIC Markets

Date

2019-09-01

Author

Kocaarslan, Baris
Soytaş, Uğur
Sarı, Ramazan
Ugurlu, Ecenur

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

196
views

0
downloads

The objective of this paper is to explore the determining factors behind financial contagion between US and BRIC (Brazil, Russia, India, and China) equity markets. To this end, we investigate the effects of global macroeconomic factors on the time-varying correlations among these markets obtained by asymmetric dynamic conditional correlation method. Utilizing quantile regression analysis, we examine the determinants of financial contagion at different levels of time-varying correlations. The results of quantile regression analyses reveal that global financial crisis (GFC) (2008) leads to changes in the dependence structure between dynamic conditional correlations among equity markets and global macroeconomic factors, such as global financial stress, oil prices, and gold prices. Following the GFC, monetary, and fiscal policy changes in the BRIC markets and hence changing macroeconomic risks of these markets are conducive to these changes. Our findings also demonstrate the importance of cross-market rebalancing channel for information transmission across US and BRIC markets.

Subject Keywords

Stock-market, Time-series, Conditional heteroskedasticity, Expected returns, Equity returns, Asset returns, Unit-root, Crisis, Volatility, Integration

URI

https://hdl.handle.net/11511/33275

Journal

INTERNATIONAL REVIEW OF FINANCE

DOI

https://doi.org/10.1111/irfi.12189

Collections

Department of Business Administration, Article

Suggestions

OpenMETU
Core

The dynamics of BRICS's country risk ratings and domestic stock markets, US stock market and oil price Hammoudeh, Shawkat; Sarı, Ramazan; Uzunkaya, MEHMET; Liu, Tengdong (2013-08-01) BRICS (Brazil, Russia, India. China and South Africa) are viewed currently as pillars of relative political, economic and financial stability, with the prospect of a major shift in future world power. The paper aims at investigating the relationships among the economic, financial and political country risk ratings of the BRICS and relating those risk factors to their respective national stock markets in the presence of representatives of the world's major stock markets and oil market. It also examines the i...
The Impact of technology level and structural change of exports on the dynamics of international competitiveness : a sctoral disaggregated analysis of Turkish manufacturing sector Şahan, Fatih; Pamukcu, Mehmet Teoman; Department of Economics (2012) The major aim of this thesis is to analyze the impact of structural change of exports and technology level on the international competitiveness. In order to analyze international competitiveness, export market shares are used. The empirical analysis suggested in this thesis includes two steps. In the first step, constant market share analysis is conducted to understand the causes of changes in export market shares from one period to another and in the second step a difference generalized method of moments m...
The impact of CEO and human capital characteristics on SME export performance Mert, Ayşe; Acar, Feride Pınar; Department of Business Administration (2007) The objective of this study is to investigate the determinants of the export behavior of small and medium-sized enterprises (SMEs) in Turkey. In SMEs, key decision makers play important roles; therefore, studying the impact of managerial characteristics is of paramount importance for understanding the determinants of SME export behavior. Particularly, possible relations between CEO age, tenure, level of education, international experience and foreign language skills and the export performance of SMEs will b...
The relationship between stock returns crude oil prices interest rates and output evidence from a developing economy Sarı, Ramazan; Soytaş, Uğur (2006-07-01) In this paper we investigate the impact of oil price shocks on the macroeconomy of a developing country, Turkey. In the literature, a number of studies examine the affects of the innovations in oil prices in developed countries. Their results suggest that the oil price changes are important factors in explaining the variation in GDP, inflation, employment, and real stock returns. Only recently, the same effect has been investigated for developing countries. To the extent of our knowledge, no study has exam...
The impact of crude oil prices on financial market indicators: copula approach Kayalar, Derya Ezgi; KÜÇÜKÖZMEN, CUMHUR ÇOŞKUN; Kestel, Sevtap Ayşe (2017-01-01) Oil price changes have varying impacts on the financial indicators of global markets and economies. This study aims to explore the dependence structure between crude oil prices and stock market indices, as well as the exchange rates in a number of economies categorized with respect to their status as developing/emerging markets, and oil importer/exporter countries. Dependence structures in this study are evaluated in considerable depth using copula models. The broad time period covered allows the investigat...

Citation Formats

B. Kocaarslan, U. Soytaş, R. Sarı, and E. Ugurlu, “The Changing Role of Financial Stress, Oil Price, and Gold Price in Financial Contagion among US and BRIC Markets,” INTERNATIONAL REVIEW OF FINANCE, pp. 541–574, 2019, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/33275.