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Investigation of Cointegration of Oil Prices and Russian Market Indices

Author

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  • Alexander Alexeev

Abstract

We perform an econometric analysis of cointegration of the Brent oil price and general and industrial indices of the RTS and MICEX stock exchanges. Positive relation between the oil price and the MICEX industrial index for an oil sector. It is interesting to note that a cointegration between the oil price and industrial RTS index is not detected. A cointegration between the oil price and the general indices is found both for the RTS and the MICEX, and in both cases it is positive. This result differs from those obtained earlier by researchers for other countries where negative influence of the oil price on financial markets was obtained. (In Russian).

Suggested Citation

  • Alexander Alexeev, 2010. "Investigation of Cointegration of Oil Prices and Russian Market Indices," EUSP Department of Economics Working Paper Series 2010/03, European University at St. Petersburg, Department of Economics, revised 04 Oct 2010.
    • Handle: RePEc:eus:wpaper:ec2010_03
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    More about this item

    Keywords

    oil price; stock index; econometrics; cointegration;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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