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首页> 外文期刊>International review of economics & finance >Analyzing time-frequency co-movements across gold and oil prices with BRICS stock markets: A VaR based on wavelet approach
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Analyzing time-frequency co-movements across gold and oil prices with BRICS stock markets: A VaR based on wavelet approach

机译：用金砖四国股票市场分析黄金和石油价格之间的时频联动：基于小波方法的VaR

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This paper examines the co-movements between five of the most important emerging stock markets namely the BRICS (Brazil, Russia, India, China and South Africa) and both the crude oil prices [West Texas Intermediate (WTI) and Europe Brent] and gold prices which are relevant to those commodity exporters and voracious consumers. Our results based on the wavelet approach show that BRICS index returns co-move with the WTI crude oil price at low frequencies (long horizons). Moreover, the strong level of co-movement is particularly captured during the onset of the global financial crisis. On the other hand, we find no evidence of co-movement between the BRICS stock markets and the gold price, indicating that gold can act as a hedge or a safe haven asset for the BRICS against extreme market movements. The implications of these results for the BRICS-commodity portfolios show that the portfolio risk (measured by the Value at Risk) is affected by the co-movements between stock and oil markets.
机译：本文研究了五个最重要的新兴股票市场，即金砖国家（巴西，俄罗斯，印度，中国和南非）与原油价格（西德克萨斯中质原油（WTI）和欧洲布伦特原油）和黄金之间的共同走势。与那些商品出口商和贪婪的消费者有关的价格。我们基于小波方法的结果表明，金砖四国指数的回报率与WTI原油价格在低频（长期来看）共同变化。此外，在全球金融危机爆发时，特别体现出强大的共同发展水平。另一方面，我们没有发现金砖四国股市与金价之间存在共同波动的迹象，表明黄金可以作为金砖四国抵御极端市场波动的避险资产或避险资产。这些结果对金砖五国商品投资组合的影响表明，投资组合风险（由风险价值衡量）受股票市场和石油市场之间的联动影响。

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