Crude oil, as one of the major commodities, plays a signifcant role in economic developments in the world. In recent years, the trading volumes and speculative tradings in the oil market and the co-movements between the oil and the stock markets have increased. Therefore, researchers and market investors got interested, in understanding the relationship betweeen oil price changes and stock market returns in order to improve portfolio strategies and risk positions. Kilian (2009) proposes to decompose the oil price into three types of oil price shocks by using a structural vector autoregression (SVAR) model. This master thesis investigates the dynamic, non-linear, bivariate dependence and risk spillover effects between BRICS stock returns and the different types of oil price shocks by combining the SVAR model and the GAS copula model, introduced by Creal et al. (2013). Moreover, the multivariate dependence structure and the risk spillover effects between several BRICS countries and several oil shocks are analyzed. For this purpose, the D-vine based quantile regression model by Kraus and Czado (2017) and the GAS copula model are combined. Our results show, inter alia, that the early stages of the Covid-19 crisis leads to increasing risk levels in the BRICS stock markets except for the Chinese one, which has recovered quickly and shows therefore no changes in the risk level.     «

Crude oil, as one of the major commodities, plays a signifcant role in economic developments in the world. In recent years, the trading volumes and speculative tradings in the oil market and the co-movements between the oil and the stock markets have increased. Therefore, researchers and market investors got interested, in understanding the relationship betweeen oil price changes and stock market returns in order to improve portfolio strategies and risk positions. Kilian (2009) proposes to decom...     »