Energy Price Impact on BRIC Stock Markets: A Granger Causality Analysis

Gustavo Pessoa; Vadim Ponkratov; David Philippov; Olga Shvyreva; Nikolay Kuznetsov; Izabella Elyakova; Elena Mikhina; Natalya Kotova; Andrey Pozdnyaev; Akmal Durmanov; Tatiana Bloshenko

doi:10.28991/ESJ-2024-08-06-015

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Gustavo Pessoa
gustavo.pessoa.fgv.edu@outlook.com
Fundaçào Getulio Vargas, Escola de Administraçào de Empresas de Sào Paulo, Sào Paulo,, Brazil
Vadim Ponkratov Financial University under the Government of the Russian Federation,, Russian Federation
David Philippov Plekhanov Russian University of Economics,, Russian Federation
Olga Shvyreva Federal State Budgetary Educational Institution of Higher Education "Kuban State Agrarian University named after I.T. Trubilin”,, Russian Federation
Nikolay Kuznetsov Financial University under the Government of the Russian Federation,, Russian Federation
Izabella Elyakova M.K. Ammosov North-Eastern Federal University,, Russian Federation
Elena Mikhina Financial University under the Government of the Russian Federation,, Russian Federation
Natalya Kotova Financial University under the Government of the Russian Federation,, Russian Federation
Andrey Pozdnyaev Financial University under the Government of the Russian Federation,, Russian Federation
Akmal Durmanov Tashkent State University of Economics,, Uzbekistan
Tatiana Bloshenko Financial University under the Government of the Russian Federation,, Russian Federation

Vol. 8 No. 6 (2024): December

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Energy prices and the stock market are two of the crucial factors in the evolving landscape of global finance, particularly in major emerging economies. However, research on how energy price changes impact stock markets in BRIC countries remains limited, despite their diverse roles in global energy markets and economies. This study investigates the causal dynamics between energy prices and stock market performance in BRIC countries, aiming to uncover short-term fluctuations and long-run relationships in these major emerging economies. Utilizing daily data from 2013 to 2023, stationarity tests, cointegration analysis, and Granger causality tests are employed to examine these relationships. Key findings reveal weak evidence of a long-run equilibrium between energy prices and stock market indices, challenging previous assumptions about their cointegration. More significantly, the findings uncovered a strong unidirectional Granger causality from oil prices to all BRIC stock market indices, while gas prices show a more selective influence. Notably, no evidence of reverse causality from stock markets to energy prices was found, highlighting the exogenous nature of global energy prices in relation to BRIC stock markets. This study uniquely analyzes oil and gas price effects on BRIC stock markets, offering insights for investors and policymakers amid increasing commodity-financial market integration.

Doi: 10.28991/ESJ-2024-08-06-015

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Pessoa, G., Ponkratov, V., Philippov, D., Shvyreva, O., Kuznetsov, N., Elyakova, I., … Bloshenko, T. (2024). Energy Price Impact on BRIC Stock Markets: A Granger Causality Analysis. Emerging Science Journal, 8(6), 2385–2403. https://doi.org/10.28991/ESJ-2024-08-06-015

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Energy Price Impact on BRIC Stock Markets: A Granger Causality Analysis

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