Oil Price Shocks and Russian Stock Market: A Case of Sector Stock Price Indices
Vasiljeva, Nadezda (2014)
Vasiljeva, Nadezda
2014
Kuvaus
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Tiivistelmä
The aim of this research is to investigate the links between oil prices and Russian equity market, with special attention on its sector indices. This research extends previous studies on dynamic relationships between market sector indices and oil price. The research covers the time period from January 2005 to January 2012. For this purpose, tests for cointegration are performed to detect possible cointegration among data series. Further the error correction model is used in the presence of cointegration relationships, and the Granger causality tests are performed to determine short-run dynamics. Impulse response functions are provided for detected dynamic relationships within stock market sector.
Findings show that oil price shocks negatively affect changes in stock price, with the exception in Oil and Gas sector. Meanwhile stock price shocks have a significant impact on oil price within 5 out of 6 sector stock indices: Finances sector does not display this Granger causality. In addition, oil price shock leads changes in interest rate that proves that oil price risk is highly priced in Russia’s stock market.
Findings show that oil price shocks negatively affect changes in stock price, with the exception in Oil and Gas sector. Meanwhile stock price shocks have a significant impact on oil price within 5 out of 6 sector stock indices: Finances sector does not display this Granger causality. In addition, oil price shock leads changes in interest rate that proves that oil price risk is highly priced in Russia’s stock market.