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The Relationship between the Oil Price Shocks and the Stock Markets: The Example of Commonwealth of Independent States Countries

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  • Aziza Syzdykova

    (Department of Economics and Finance, Akhmet Yassawi International Kazakh-Turkish University, Turkistan, Kazakhstan.)

Abstract

One can find many studies in the literature which examine the relationship between the oil price shocks and the macroeconomic activities. Moreover, we witness an increase in the number of studies which examine the effect of recent price fluctuations on the stock prices and returns. This work studies the relationship between the crude oil price shocks and the stock prices in Russia, Kazakhstan and Ukraine, all members of Commonwealth of Independent States (CIS), in the period of 2010:01-2017:04 using the autoregressive distributed lag (ADL) cointegration test. Empirical results show that the crude oil price shocks and the fluctuations in the stock prices are cointegrated. Furthermore the results show that the rebalancement process is asymmetrical in the long run.

Suggested Citation

  • Aziza Syzdykova, 2018. "The Relationship between the Oil Price Shocks and the Stock Markets: The Example of Commonwealth of Independent States Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 8(6), pages 161-166.
    • Handle: RePEc:eco:journ2:2018-06-20
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    References listed on IDEAS

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    Cited by:

    1. Aziza Syzdykova & Gulmira Azretbergenova, 2024. "Asymmetric Effect of Oil Prices on Kazakhstan’s Stock Market Index and Exchange Rate," International Journal of Energy Economics and Policy, Econjournals, vol. 14(6), pages 15-23, November.
    2. Basit Ali & Dilawar Khan & Muhammad Shafiq & Róbert Magda & Judit Oláh, 2022. "The Asymmetric Impact of Oil Price Shocks on Sectoral Returns in Pakistan: Evidence from the Non-Linear ARDL Approach," Economies, MDPI, vol. 10(2), pages 1-15, February.
    3. Khairulla Massadikov, 2021. "Volatility Spillovers between Oil Prices and Stock Returns in Developing Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 121-126.
    4. Aktolkin Abubakirova & Aziza Syzdykova & Assan Dosmakhanbet & Lyazzat Kudabayeva & Gulnar Abdulina, 2021. "Relationship between Oil Prices and Stock Prices in BRICS-T Countries: Symmetric and Asymmetric Causality Analysis," International Journal of Energy Economics and Policy, Econjournals, vol. 11(3), pages 140-148.
    5. Gulmira Azretbergenova & Aziza Syzdykova, 2020. "The Dependence of the Kazakhstan Economy on the Oil Sector and the Importance of Export Diversification," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 157-163.

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    More about this item

    Keywords

    Oil price shocks; Stock price; Threshold cointegration test; CIS countries;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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