Does economic policy uncertainty drive commodity-equity connectedness in BRIC markets?

Mudassar Hasan, Naheed Roni

Research output: Contribution to conferencePaperpeer-review


We find strong evidence of causality between EPU and the shock transmission from oil (gold) to BRIC stock market returns. This causal effect appears to be non-linear, captured by the ANN and Taylor-based models. However, EPU’s causal effect was not found for the shocks transmitted from BRIC stock markets to oil (gold). As measured by the Granger causality test, the linear causal effect was not present in our case. Overall, our study reveals that EPU drives the shock transmission from oil (gold) to BRIC stock market returns in a non-linear fashion. This is an important finding which can help investors and policymakers devise portfolio strategies and financial stability policies, respectively.
Original languageEnglish
Publication statusPublished - 1 Sept 2022
Externally publishedYes
EventBritish Academy of Management Conference 2022 - University of Manchester, Manchester, United Kingdom
Duration: 31 Aug 20222 Sept 2022


ConferenceBritish Academy of Management Conference 2022
Abbreviated titleBAM 2022 Conference
Country/TerritoryUnited Kingdom
Internet address

Cite this