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The Effect of Energy Prices on Stock Indices in the Period of COVID-19: Evidence from Russia, Turkey, Brazil, and India

Author

Listed:
  • Nurkhodzha Akbulaev

    (Department of Economics and Business Administration, Faculty of Economics of Turkish World, Azerbaijan State University of Economics (UNEC), Center for Economic Studies of the Turkic World, Baku, Azerbaijan.)

  • Elshan Mammadli

    (Azerbaijan State University of Economics (UNEC), Center for Economic Studies of the Turkic World, Baku, Azerbaijan.)

  • Gadir Bayramli

    (Department of Economics and Business Administration, Azerbaijan State University of Economics (UNEC), Baku, Azerbaijan)

Abstract

Petroleum and natural gas, which are among the most used energy sources in the world, have a significant impact on financial markets and macroeconomic indicators as they are used as raw materials in many fields. For this reason, Russia, Turkey, Brazil, and India, as energy importers and developing countries, may be affected positively or negatively by changes in energy prices. The main purpose of this study is to examine the correlation between Brent oil, crude oil (WTI), and natural gas (NG) prices and Moscow Stock Exchange Index (RTSI), Borsa Istanbul Index (XU100), Bovespa Brazilian Stock Exchange Index (BVSP), and Indian National Stock Exchange Nifty 50 Index (NSEI). In the study, weekly data between 16.02.2020 and 26.12.2021 were examined. Vector autoregressive (VAR) model was used to examine the correlation between the variables included in the analysis, and the direction of the correlation between the variables was determined by the Granger causality test. According to the results of the VAR model, Brent oil and crude oil prices have significant effects on the indices included in the analysis; however, natural gas price does not have a significant effect on indices, Brent oil, and crude oil prices. On the other hand, the results of the Granger causality test confirm the findings of the VAR analysis. Granger causality test results reveal that in Granger's sense, only BVSP and NSEI are the cause of Brent oil price, RTSI, BVSP, NSEI, and XU100 are the cause of WTI, and WTI is the cause of NSEI.

Suggested Citation

  • 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.
    • Handle: RePEc:eco:journ2:2022-03-28
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    References listed on IDEAS

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    Cited by:

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    2. Nicoleta BARBUTA-MISU & Teodor HADA & Iulia Cristina IUGA & Dorin WAINBERG, 2023. "Do Methane Gas Prices Interact with Stock Indices?," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 90-100.
    3. 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.
    4. Smriti Pathak & Jalpa Thakkar & Arpita Gurbaxani & Shreya Virani & Prerak Thakkar, 2023. "Impact of Russia-Ukraine War on Sustainable Development Goals: A Study through Indian Financial Market Perspective," International Journal of Energy Economics and Policy, Econjournals, vol. 13(1), pages 389-394, January.
    5. Bartosz Lamasz & Marek Michalski & Radoslaw Puka, 2023. "WTI Crude Oil Options Market Prior to and During the COVID-19 Pandemic," International Journal of Energy Economics and Policy, Econjournals, vol. 13(2), pages 117-128, March.
    6. 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

    Brent oil; Crude oil; Natural gas; Stock market index; VAR analysis; Granger causality;
    All these keywords.

    JEL classification:

    • B26 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Financial Economics
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance

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