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A causal link analysis from oil price to the Russian stock market

Author

Listed:
  • Sviridov, Oleg

    (HSE University, Sankt-Petersburg, Russian Federation)

  • Skorobogatov, Alexander

    (HSE University, Sankt-Petersburg, Russian Federation)

Abstract

Paper analyzes a causal link between oil price and the Russian stock market. One of the findings is that only price shocks related to economic activity or future oil supply expectations have persistent impacts on the stock market, while the effects of supply-related oil shocks are insignificant. In addition, jumps in oil price volatility have been found to produce significant negative market responses.

Suggested Citation

  • Sviridov, Oleg & Skorobogatov, Alexander, 2025. "A causal link analysis from oil price to the Russian stock market," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 77, pages 5-24.
    • Handle: RePEc:ris:apltrx:0513
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    SVAR; stock market; impulse-response functions; oil price.;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q21 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation - - - Demand and Supply; Prices

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