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The Causality Analysis of the Effect of Oil and Natural Gas Prices on Ukraine Stock Index

Author

Listed:
  • Javid Elkhan Suleymanli

    (Azerbaijan State University of Economics, Baku, Azerbaijan.)

  • Etimad Munasib Rahimli

    (Azerbaijan State University of Economics, Baku, Azerbaijan.)

  • Nurkhodzha Nazirkhodzha Akbulaev

    (Azerbaijan State University of Economics, Baku, Azerbaijan.)

Abstract

Since petroleum and natural gas are the main energy source, it is important for all countries in the world. Oil and natural gas reserves in the world are not evenly distributed; some countries are important oil and natural gas exporters while the others import these energy sources. For this reason, both exporting and importing countries have to pay close attention to oil and gas prices. For Ukraine, which imports more than 90% of its oil and natural gas needs, it makes the investigation of macroeconomic effects of the change in oil and natural gas prices extremely vital. There are many domestic and foreign studies investigating the interaction between oil and gas prices and both macro and micro economic variables in Ukraine. In this study, the effects of changes in oil and natural gas prices on the returns of the PFTS national index of the Ukrainian Stock Exchange were investigated. The study includes monthly data for January 2008 - September 2019 period. The Johansen cointegration test was conducted to determine whether the energy prices and PFTS index are cointegrated in the long run. According to the causality test, it was found that the change in oil price by 1 dollar and the change in natural gas price by 1 dollar cause the change in RFTS by 0.56 and by 0.31, respectively.

Suggested Citation

  • Javid Elkhan Suleymanli & Etimad Munasib Rahimli & Nurkhodzha Nazirkhodzha Akbulaev, 2020. "The Causality Analysis of the Effect of Oil and Natural Gas Prices on Ukraine Stock Index," International Journal of Energy Economics and Policy, Econjournals, vol. 10(4), pages 108-114.
    • Handle: RePEc:eco:journ2:2020-04-15
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    References listed on IDEAS

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    Cited by:

    1. Shafa Guliyeva, 2023. "Analysis of the effect of Energy Prices on Stock Indexes During the Epidemic Crisis," International Journal of Energy Economics and Policy, Econjournals, vol. 13(2), pages 526-536, March.
    2. Ioannis Katsampoxakis & Apostolos Christopoulos & Petros Kalantonis & Vasileios Nastas, 2022. "Crude Oil Price Shocks and European Stock Markets during the COVID-19 Period," Energies, MDPI, vol. 15(11), pages 1-14, June.
    3. Nurkhodzha Akbulaev & Elshan Mammadli & Gadir Bayramli, 2022. "The Effect of Energy Prices on Stock Indices in the Period of COVID-19: Evidence from Russia, Turkey, Brazil, and India," International Journal of Energy Economics and Policy, Econjournals, vol. 12(3), pages 262-269, May.
    4. Afaq Aslanova & Simuzar Mammadova, 2023. "Econometric Analysis of the Effect of Energy Prices on Exchange Rates During War Period," International Journal of Energy Economics and Policy, Econjournals, vol. 13(4), pages 496-502, July.

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    More about this item

    Keywords

    Ukraine; stock exchange; index; return; oil; natural gas; price.;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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