Home  Journals  Finance and Credit  20(596) - 2014 May

Oil price impact on Russian financial market during the crisis

Available online: 4 June 2014

Subject Heading: Stock market

JEL Classification: 

Pages: 14-22

The article analyses the basis of modern economic and mathematical methods of oil prices impact on the domestic financial market. The authors review the most interesting hypotheses and research results pertaining the oil price impact on the emerging markets. The authors propose four types of the analysis for testing of hypotheses of macroeconomic factors impact on Russian stock market. The authors prove that during the stable period for the Russian stock markеt the price of the Brent oil and world oil production volume play a key role. The situation changes with the crisis.

Keywords: oil price, developing stock markets, BRIC countries, CAPM model, EGARCH model, GARCH models, Granger test, RTS index, MICEX index, correlation analysis, causal analysis, VAR model, cointegration analysis

References:

1. Mitin Iu.P. Vliianie mirovykh ekonomicheskikh indikatorov na dinamiku rossiiskogo fondovogo rynka v 1999–2010 gg.[Influence of world economic indicators on dynamics of the Russian stock market in 1999–2010]. St. Petersburg, St. Petersburg State University Publ., 2011, 26 p.
2. Samoilov D.V. Faktory, okazyvaiushchie vliianie na indeks RTS vo vremia finansovogo krizisa 2008–2009 gg. i do nego [The factors having the impact on the RTS index during financial crisis of 2008–2009 and before it]. Ekonomicheskii zhurnal Vysshei shkoly ekonomiki – Economic magazine of Higher School of Economics, 2010, no. 2, pp. 65–68.
3. Fedorova E.A., Pankratov K.A. Vliianie mirovogo finansovogo rynka na fondovyi rynok Rossii [The world financial market impact on the Russian stock market]. Audit i finansovyi analiz – Audit and financial analysis, 2009, no. 2, p. 78–83.
4. Fedorova E.A., Ershova I.A., Shapovalova V.A., Cherepennikova Iu.G. Prognozirovanie krizisnykh sostoianii rossiiskogo finansovogo rynka s pomoshch'iu analiza vzaimosviazi tseny na neft' i valiutnogo kursa [The Russian financial market crisis forecasting by means of analysis of an interrelation of oil price and an exchange rate]. Finansovaia analitika: problemy i resheniia – Financial analytics: science and experience, 2012, no. 31, pp. 29–36.
5. Fedorova E.A., Afanas'ev D.O. Opredelenie stepeni vliianiia tsen na neft' i zolota na indeks MMVB i ee strukturnykh sdvigov s primeneniem modeli MARKOVSWITCHING AUTOREGRESSIVE MODEL (MS-ARX) [Definition of an extent of oil prices and gold impact on MICEX index and its structural shifts with MARKOVSWITCHING AUTOREGRESSIVE MODEL (MS-ARX) application]. Finansy i kredit – Finance and credit, 2013, no. 17, pp. 2–11.
6. Aloui C., Nguyen D. Khuong, Njeh H. Assessing the Impacts of Oil Price Fluctuations on Stock Returns in Emerging Markets. Economic Modelling, 2012, no. 29, pp. 2686–2695.
7. Awartani B., Maghyereh A.I. Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries. Energy Economics, 2012, no. 36, pp. 28–42.
8. Basher S.A. and Sadorsky P. Oil price risk and emerging stock markets. Global Finance Journal, 2006, no. 17, pp. 280–292.
9. Filis G., Degiannakis S., Floros C. Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries. International Review of Financial Analysis, 2011, no. 20, pp. 82–94.
10. Li S.F., Hui-Ming Z., Keming Y. Oil prices and stock market in China: A sector analysis using panel cointegration with multiple breaks. Energy Economics, 2012, no. 34, pp. 102–134.
11. Rangan G., Modise M.P. Macroeconomic Variables and South African Stock Return Predictability. Economic Modelling, 2012, no. 30, pp. 612–622.

View all articles of issue

ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

Journal current issue

Vol. 30, Iss. 4 April 2024

Archive