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  • Economic significance of oil price changes on Russian and Chinese stock markets

    Author(s)
    Soucek, M
    Todorova, N
    Griffith University Author(s)
    Todorova, Neda
    Year published
    2013
    Metadata
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    Abstract
    This study discusses the economic significance of the relationship between oil price changes and emerging markets equity returns. It extends the literature by obtaining significant Granger causalities and impulse response functions for the daily returns over the last decade on the emerging markets of Russia and China. Furthermore, it is shown that a trading rule based on a bivariate Vector Autoregresive (VAR(p)) model outperforms the Russian and Chinese stock index in terms of risk and return, even when transaction costs are taken into account. Implementing the bootstrap methodology to test the results, it is proved that oil ...
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    This study discusses the economic significance of the relationship between oil price changes and emerging markets equity returns. It extends the literature by obtaining significant Granger causalities and impulse response functions for the daily returns over the last decade on the emerging markets of Russia and China. Furthermore, it is shown that a trading rule based on a bivariate Vector Autoregresive (VAR(p)) model outperforms the Russian and Chinese stock index in terms of risk and return, even when transaction costs are taken into account. Implementing the bootstrap methodology to test the results, it is proved that oil price fluctuations significantly contribute to the risk profile of the trading strategy for Russian market and improve the risk-return characteristics for Chinese stock trading.
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    Journal Title
    Applied Financial Economics
    Volume
    23
    Issue
    7
    DOI
    https://doi.org/10.1080/09603107.2012.732685
    Subject
    Applied economics
    Banking, finance and investment
    Finance
    Publication URI
    http://hdl.handle.net/10072/57092
    Collection
    • Journal articles

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