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

Oleg Sviridov () and Alexander Skorobogatov ()
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Oleg Sviridov: HSE University, Sankt-Petersburg, Russian Federation
Alexander Skorobogatov: HSE University, Sankt-Petersburg, Russian Federation

Applied Econometrics, 2025, vol. 77, 5-24

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.

Keywords: SVAR; stock market; impulse-response functions; oil price. (search for similar items in EconPapers)
JEL-codes: G10 Q21 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:ris:apltrx:0513

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