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The impact of oil price on stock returns in oil-exporting economies: The case of Russia and Norway

Alikhanov, Abdulla LU and Nguyen, Trang LU (2011) NEKM03 20111
Department of Economics
Abstract
The purpose of our paper is to examine the relationship and interactions between oil price movements and stock market indexes in main two oil exporting countries - Russia and Norway from January 1998 to March 2011, and test how and to what extent oil prices together with other variables influence stock markets. Apart from crude oil price, we also include to our model some macroeconomic explanatory variables that are directly linked to stock market performance as well as oil price movements. The notion of comparative analysis of oil price changes and stock market performance between a developing country- Russia and a developed country- Norway is also one of the major empirical aspects of our master thesis. First, we run simple OLS... (More)
The purpose of our paper is to examine the relationship and interactions between oil price movements and stock market indexes in main two oil exporting countries - Russia and Norway from January 1998 to March 2011, and test how and to what extent oil prices together with other variables influence stock markets. Apart from crude oil price, we also include to our model some macroeconomic explanatory variables that are directly linked to stock market performance as well as oil price movements. The notion of comparative analysis of oil price changes and stock market performance between a developing country- Russia and a developed country- Norway is also one of the major empirical aspects of our master thesis. First, we run simple OLS regression to understand the effect of oil prices on stock returns. Our results show evidence of an oil effect in both countries. In order to examine deeply the interaction and impact among different variables, we employ a VAR model. Results reveal a diverse pattern in all share and industrial level. For interpretation of results, we implement Granger causality and Impulse response analysis. Finally, for further analysis, we run asymmetric tests using dummy variables to show the difference between oil price increases and the normal case. (Less)
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author
Alikhanov, Abdulla LU and Nguyen, Trang LU
supervisor
organization
course
NEKM03 20111
year
type
H1 - Master's Degree (One Year)
subject
keywords
Crude oil price, developing markets, Russia, Norway, VAR model, Unit root, Impulse Response, Granger Causality, Asymmetric effect
language
English
id
1974441
date added to LUP
2011-06-17 11:15:40
date last changed
2011-06-17 11:15:40
@misc{1974441,
  abstract     = {The purpose of our paper is to examine the relationship and interactions between oil price movements and stock market indexes in main two oil exporting countries - Russia and Norway from January 1998 to March 2011, and test how and to what extent oil prices together with other variables influence stock markets. Apart from crude oil price, we also include to our model some macroeconomic explanatory variables that are directly linked to stock market performance as well as oil price movements. The notion of comparative analysis of oil price changes and stock market performance between a developing country- Russia and a developed country- Norway is also one of the major empirical aspects of our master thesis. First, we run simple OLS regression to understand the effect of oil prices on stock returns. Our results show evidence of an oil effect in both countries. In order to examine deeply the interaction and impact among different variables, we employ a VAR model. Results reveal a diverse pattern in all share and industrial level. For interpretation of results, we implement Granger causality and Impulse response analysis. Finally, for further analysis, we run asymmetric tests using dummy variables to show the difference between oil price increases and the normal case.},
  author       = {Alikhanov, Abdulla and Nguyen, Trang},
  keyword      = {Crude oil price,developing markets,Russia,Norway,VAR model,Unit root,Impulse Response,Granger Causality,Asymmetric effect},
  language     = {eng},
  note         = {Student Paper},
  title        = {The impact of oil price on stock returns in oil-exporting economies: The case of Russia and Norway},
  year         = {2011},
}