Advanced Search
MyIDEAS: Login to save this paper or follow this series

Investigation of cointegration of oil prices and Russian market indices

Contents:

Author Info

  • 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)

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.eu.spb.ru/images/ec_dep/wp/ec-03_10.pdf
Download Restriction: no

Bibliographic Info

Paper provided by European University at St. Petersburg, Department of Economics in its series EUSP Deparment of Economics Working Paper Series with number Ec-03/10.

as in new window
Length: 24 pages
Date of creation: 28 Sep 2010
Date of revision: 04 Oct 2010
Handle: RePEc:eus:wpaper:ec0310

Contact details of provider:
Postal: 3 Gagarinskaya Street, 191187 St. Petersburg
Phone: +7 (812) 275-1130
Email:
Web page: http://www.eu.spb.ru/econ/
More information through EDIRC

Related research

Keywords: oil price; stock index; econometrics; cointegration;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eus:wpaper:ec0310. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Yuriy Balagula).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.