Systemic Risk Spillover:Evidence From Global Oil To BRICS Stock Markets

In the past 20 years,international oil prices have fluctuated drastically and have become increasingly characterized by financialization.Against the background of deepening economic globalization,the risks arising from fluctuations in oil prices will inevitably have an impact on stock markets around the world.With the rapid economic development and economic status of emerging market countries,the BRICS have played an important role in the international energy market.This paper starts from the latest international evidence between the crude oil market and the stock market,using the international crude oil,Brent spot price and the BRICS stock market index(i.e.Brazil,Russia,India,China and South Africa)to make an analysis.The ARFIMA-FIGARCH model is used to model the marginal distribution of return series,and then the DCC model is employed to measure the size and trend of correlation between markets.In addition,the time-varying Copula model can detect the risk tail dependence structure in extreme cases.Finally,based on the time and frequency perspectives,we quantify the upside and downside risks and the time-varying Copula-CoVaR model to calculate the systematic risk spillover of the international oil price on the stock market;and use the MODWT model to decompose the oil and stock index data to investigate the risk spillover characteristics of oil on the stock market under the short-term and long-term investor time scales.The empirical results show that there are risk-related and heterogeneous systemic risk spillovers in oil and BRICS stock markets with significant time-varying characteristics.And I identify the diverse impacts of oil dependence,energy policy,and stock market openness.Further research shows that oil has significant long-term and short-term systemic risk spillovers on the stock market.The long-term risk spillover effect is generally lower than the short-term one,and the spillover effects are obviously asymmetry.Specifically,for major oil exporters,the financial risk correlation and systemic risk spillover between oil and Brazilian stock markets are quite small,while oil and Russian stock markets have the strongest financial risk correlation and systemic financial risk spillovers;For major oil importers,there is a strong risk correlation and systemic risk spillover between oil and India and South Africa stock markets,while the impact of oil on China stock market is the smallest.