Oil prices and sectoral stock returns in the BRICS-T countries: A time-varying approach

This paper investigates how exchange rates and oil prices have affected sectoral stock returns in the BRICS-T countries over period from 2 January 2001 to 22 March 2021. Following estimation of a benchmark linear model, Bai Perron (2003) tests are carried out each case identify structural breaks, then state-space model with time-varying parameters is also estimated. The analysis shows that significant, positive effect on energy sectors all except India; negative one industrial Turkey; financial Brazil, Russia, India, South Africa; transportation India Turkey Russia; finally, most significant chemicals sector, though it varies across countries. subsamples estimates indicate rate larger influence than price returns. Because energy-dependent vulnerable global volatility, appropriate regulations should be implemented reduce risk.