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Analysis of the Relationship between Energy Price Changes and Stock Market Indices in Developed Countries

Author

Listed:
  • Symbat Nakhipbekova

    (Department of Public Administration and Regional Development, Khoja Akhmet Yassawi International Kazakh-Turkish University, Turkestan/Kazakhstan)

  • Gulzhan Baibosynova

    (Department of Public Administration and Regional Development, Khoja Akhmet Yassawi International Kazakh-Turkish University, Turkestan/Kazakhstan)

  • Nazygul Batyrova

    (Department of Public Administration and Regional Development, Khoja Akhmet Yassawi International Kazakh-Turkish University, Turkestan/Kazakhstan)

  • Aigerim Kulbayeva

    (Department of Public Administration and Regional Development, Khoja Akhmet Yassawi International Kazakh-Turkish University, Turkestan/Kazakhstan)

Abstract

Oil is an important energy source and basic raw material in the manufacturing process. Therefore, the economies of every country in the world are directly or indirectly dependent on oil. The chain effect of the addiction in question also affects the financial markets. In the study, long-term relationship between energy prices (oil, natural gas and electricity prices) and stock market index for developed countries was analyzed with Multiple Structural Break Panel Cointegration Test. The causality relationship between the variables was examined with Dumitrescu-Hurlin Panel Causality Test. According to the findings of the analysis, it was determined that the series move together in the long term. However, while there was causality between oil prices and natural gas prices in the short term, it was revealed that there was no causality between electricity prices and stock market indices.

Suggested Citation

  • Symbat Nakhipbekova & Gulzhan Baibosynova & Nazygul Batyrova & Aigerim Kulbayeva, 2020. "Analysis of the Relationship between Energy Price Changes and Stock Market Indices in Developed Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 169-174.
    • Handle: RePEc:eco:journ2:2020-06-22
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    References listed on IDEAS

    as
    1. Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2013. "Conditional correlations and volatility spillovers between crude oil and stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 116-138.
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    3. Basher, Syed A. & Westerlund, Joakim, 2009. "Panel cointegration and the monetary exchange rate model," Economic Modelling, Elsevier, vol. 26(2), pages 506-513, March.
    4. Apergis, Nicholas & Miller, Stephen M., 2009. "Do structural oil-market shocks affect stock prices?," Energy Economics, Elsevier, vol. 31(4), pages 569-575, July.
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    Cited by:

    1. Silvia Ghiță-Mitrescu, 2021. "Trends of the Energy Market Reflection on the Capital Market in Romania," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 1023-1030, December.

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    More about this item

    Keywords

    oil prices; natural gas; electricity; stock market index; panel data analysis;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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