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Investigation of Cointegration of Oil Prices and Russian Market Indices

Alexander Alexeev
Authors registered in the RePEc Author Service: Aleksandr Alekseev ()

No 2010/03, EUSP Department of Economics Working Paper Series from European University at St. Petersburg, Department of Economics

Abstract: 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).

Keywords: oil price; stock index; econometrics; cointegration (search for similar items in EconPapers)
JEL-codes: C32 O13 E3 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2010-09-28, Revised 2010-10-04
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