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Journal of Economic Integration 2016 September;31(3) :547-568.
DOI: https://doi.org/10.11130/jei.2016.31.3.547
How Differently Does Oil Price Influence BRICS Stock Markets?
Jamal Bouoiyour and 
Refk Selmi 
CATT, University of Pau, Pau, France
Tunis Business School, Manouba, Tunisia
Corresponding Author: Refk Selmi ,Tel: +216 71 600 615, Fax: +216 71 601 311, Email: s.refk@yahoo.fr
Copyright ©2016 Journal of Economic Integration
ABSTRACT
This article explores the strength and extent of causal relationship between BRICS (Brazil, Russia, India, China and South Africa) stock returns and real oil price using frequency domain approach of Breitung and Candelon (2006). This technique offers an appropriate alternative tool by investigating the causality in frequency domain, while standard causality tests focus only on the time domain. Using 1998-2015 quarterly data, we show that the impact of oil price on stock returns is not uniform across the investigated countries. Even though the slowly (quickly) fluctuating components of oil price exert a significant influence on real stock returns in Brazil and Russia (India and South Africa), medium and long term hidden factors were found as potential contributors of Chinese share market. The oil dependence profile, the distribution of market share between companies, the financial system efficiency and the effectiveness of regulation in securities markets have been offered to explain the heterogeneous responses of BRICS equities.

JEL Classification
G12: Asset Pricing; Trading volume; Bond Interest Rates
O57: Comparative Studies of Countries
Q43: Energy and the Macroeconomy
Keywords: Oil Price | Stock Returns | BRICS | Frequency Domain Causality
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