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Emerging Markets and the Global Economy by Duc Khuong Nguyen, Sabri Boubaker, Mohammed Hedi Arouri

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Chapter 10

Energy Sector Companies of the BRICS: Systematic and Specific Financial Risks and Value at Risk

Marcelo Bianconia and Joe A. Yoshinob,    aDepartment of Economics, Tufts University, Medford, MA, USA,    bDepartment of Economics, FEA, University of Sao Paulo, Brazil,    E-mail: marcelo.bianconi@tufts.edu, pyoshino@usp.br

Abstract

We analyze a sample of oil and gas companies of the nonrenewable energy sector from the emerging countries consisting of Brazil, Russia, India, China, and South Africa from 2003 to 2012. Our panel model estimations show significant risk prices for common factors including the US Dow Jones market excess return, the price of oil, and the exchange rates of the Euro, Brazilian real, and South African rand vis-à-vis ...

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