The Effects of Energy Prices on Oil-Gas Sectoral Stock Returns for BRIC Countries: Evidence from Space State Models

Authors

  • Mohamad Husam Helmi Rabdan Academy, Abu Dhabi, UAE,
  • A. Nazif Catik Ege University, Faculty of Economics and Administrative Sciences, Department of Economics, İzmir, Turkey,
  • Begum Yurteri Kosedagli Ege University, Faculty of Economics and Administrative Sciences, Department of Economics, İzmir, Turkey,
  • Gul Serife Huyuguzel Kisla Ege University, Faculty of Economics and Administrative Sciences, Department of Economics, İzmir, Turkey,
  • Coskun Akdeniz Department of Economics, Tekirdağ Namık Kemal University, Faculty of Economics and Administrative Sciences, Tekirdağ, Turkey.

DOI:

https://doi.org/10.32479/ijeep.14801

Keywords:

Oil prices, Natural gas prices, Oil-gas sectoral returns, Time-varying parameter model, BRIC countries

Abstract

This paper examines the effects of oil and natural gas prices on the oil and gas sectors of the BRIC countries (Brazil, Russia, India, and China) over the period over from 20013 to 2022. Unlike previous studies, it employs a time-varying capital asset pricing model based on the estimation of state-space mode. In brief, the findings highlight significant changes in the asset-pricing model parameters across all countries, indicating the limitations of using time-invariant estimates. Specifically, Brazil shows the highest volatility in oil price risk, followed by Russia, both being oil-exporting countries, while market beta values remain relatively stable. Time-varying estimates further suggest that natural gas parameters are relatively lower and less significant than those of oil prices. The Russian-Ukrainian conflict's energy crisis adversely affects the performance of oil and gas sectoral stock returns. This war has had a negative and significant impact on China's oil-gas stock return.

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Author Biographies

A. Nazif Catik, Ege University, Faculty of Economics and Administrative Sciences, Department of Economics, İzmir, Turkey,

Ege University, Faculty of Economics and Administrative Sciences, Department of Economics, İzmir, Turkey

Begum Yurteri Kosedagli, Ege University, Faculty of Economics and Administrative Sciences, Department of Economics, İzmir, Turkey,

Ege University, Faculty of Economics and Administrative Sciences, Department of Economics, İzmir, Turkey.

Gul Serife Huyuguzel Kisla, Ege University, Faculty of Economics and Administrative Sciences, Department of Economics, İzmir, Turkey,

Ege University, Faculty of Economics and Administrative Sciences, Department of Economics, İzmir, Turkey.

Coskun Akdeniz, Department of Economics, Tekirdağ Namık Kemal University, Faculty of Economics and Administrative Sciences, Tekirdağ, Turkey.

Tekirdağ Namık Kemal University, Faculty of Economics and Administrative Sciences, Department of Economics, Tekirdağ, Turkey

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Published

2023-11-10

How to Cite

Helmi, M. H., Catik, A. N., Kosedagli, B. Y., Kisla, G. S. H., & Akdeniz, C. (2023). The Effects of Energy Prices on Oil-Gas Sectoral Stock Returns for BRIC Countries: Evidence from Space State Models. International Journal of Energy Economics and Policy, 13(6), 430–440. https://doi.org/10.32479/ijeep.14801

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Section

Articles