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Investigation of Cointegration of Oil Prices and Russian Market Indices

Listed author(s):
  • Alexander Alexeev

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)

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

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