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Does international oil volatility have directional predictability for stock returns? Evidence from BRICS countries based on cross-quantilogram analysis

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成果类型:
期刊论文
作者:
Zhou, Zhongbao;Jiang, Yong;Liu, Yan;Lin, Ling;Liu, Qing
通讯作者:
Lin, L.
作者机构:
[Jiang, Yong; Liu, Yan; Zhou, Zhongbao; Liu, Qing] Hunan Univ, Sch Business Adm, Changsha 410082, Hunan, Peoples R China.
[Lin, Ling] Hunan Agr Univ, Sch Econ, Changsha 410128, Hunan, Peoples R China.
通讯机构:
School of Economics, Hunan Agricultural University, Changsha, China
语种:
英文
关键词:
Quantile dependence;Directional predictability;Cross-quantilogram;Oil volatility;Stock returns;BRICS countries
期刊:
Economic Modelling
ISSN:
0264-9993
年:
2019
卷:
80
页码:
352-382
基金类别:
National Natural Science Foundation of ChinaNational Natural Science Foundation of China (NSFC) [71771082, 71371067, 71431008]; Hunan Provincial Natural Science Foundation of ChinaNatural Science Foundation of Hunan Province [2017JJ1012]
机构署名:
本校为其他机构
院系归属:
经济学院
摘要:
While numerous studies have investigated the relationship between oil volatility and stock returns, it is surprising that little research has examined the quantile dependence and directional predictability from oil volatility to stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries. We address this issue by using the cross-quantilogram model proposed by Han et al. (2016). The empirical results show that, overall, oil volatility has a directional predictability for the stock returns in BRICS countries. When the oil volatility is in a low quantile (lower than its 0.1 quantiles), it is less likely to show either a large loss or a large gain in the stock market. In contrast, there is an increased likelihood of either large loss or a large gain in the stock market when the oil volatility is in a high quantile (higher than its 0.9 quantiles). The directional predictability from the oil volatility to stock returns depends on the net position of oil imports and exports of these BRICS countries in the oil market. The net oil exporters (Russia and Brazil) are less likely to have large gains and large losses in the stock market than are the net oil importers (India, China, and South Africa) when the oil volatility is in a low quantile. The net oil exporters are more likely to have large gains and large losses than are the net oil importers when the oil volatility is in a high quantile. The results are robust to change in the variable of oil volatility and the sample interval.

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