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Pricing in Oil Market and Using Probit Model for Analysis of Stock Market Effects

Author

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  • Alexey Yurievich Mikhaylov

    (Department of Financial Markets and Banks, Financial University Under the Government of the Russian Federation, Moscow, Russia)

Abstract

The paper proposes the pricing in the oil market and the impact of oil prices on world stock indices. There is analysis of major trends in the oil market. We develop a model to predict the impact of oil prices on stock market indices for developed economies and Russia. This work propose a probit-model for forecasting capital markets trends using Brent pricing, three-month interest rates of the money market, consumer price index, GDP growth rate as a binary dependent variables. The trends of pricing in different stages of development of the oil market make the on stock indices, as developed countries and Russia. The practical significance of this work lies in the structuring of existing knowledge on the applicability of the probit-models in the context of the Russian economy. The paper also outlines the macroeconomic trends of supply and demand in the oil market and the characteristics of the modeling in the conditions of unstable economic situation in Russia. This work fills a gap in the use and implementation of the probit-models for the Russian economy. We make the forecast of supply and demand in the oil market in the next 1-3 years. We believe that oil prices are not likely to go up. The effect of oil prices on the stock markets is generally asymmetrical, except of the Russian and Canadian stock markets, because Russian and Canadian economies depend on oil export indeed.

Suggested Citation

  • Alexey Yurievich Mikhaylov, 2018. "Pricing in Oil Market and Using Probit Model for Analysis of Stock Market Effects," International Journal of Energy Economics and Policy, Econjournals, vol. 8(2), pages 69-73.
    • Handle: RePEc:eco:journ2:2018-02-8
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    References listed on IDEAS

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    More about this item

    Keywords

    oil price forecasting; stock market returns; probit-model.;
    All these keywords.

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • F20 - International Economics - - International Factor Movements and International Business - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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