Citation

Bein, Murad Abdurahman and Gyamfi, Bright Akwasi and Sarpong, Steve Yaw (2025) International crude oil prices and equity markets: A time-varying relationship and spillover effects in ten emerging equity markets. In: Financial Sector Development and Pandemics in an Era of Sustainable Development Goals. Nova Science Publishers Inc, pp. 91-110. ISBN 979-889530617-8, 979-889530548-5

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Abstract

This paper empirically examines the time-varying relationship and spillover effects between the international crude oil price and ten emerging equity markets: namely three oil-exporting countries (Brazil, Mexico, and Russia) and seven Central and Eastern European (CEE) countries (Bulgaria, Croatia, Czech Republic, Hungary, Poland, Romania, and Slovakia). The results reveal spillover effects from oil markets into almost all emerging equity markets except Slovakia. Besides, the oil supply glut has a homogenous impact on the emerging markets of both net oil-exporting and oil-importing countries (CEE). Further, the time variance drastically increased during financial turmoil. Indeed, the time variance remained high from 2009-2012 in response to aggregate demand shocks (global financial crisis and Eurozone debt crisis) and quantitative easing measures. Interestingly, the time variance was slightly higher for the oil-exporting countries compared to some of the CEE countries. Decision makers in emerging economies should therefore seek policy coordination when dealing with financial turmoil.

Item Type:	Book Section
Uncontrolled Keywords:	Aggregate demand shock
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD2321-4730.9 Industry
Divisions:	Faculty of Management (FOM)
Depositing User:	Ms Rosnani Abd Wahab
Date Deposited:	29 Jul 2025 03:43
Last Modified:	29 Jul 2025 03:43
URII:	http://shdl.mmu.edu.my/id/eprint/14360

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