International Conference on Eurasian Economies
29-31 August 2016 – Kaposvár, HUNGARY
Paper detail
Paper ID : 1768
Status : Paper published
Language : Turkish
Topic : Finance and Financial Crises
Presenter: Asst. Prof. Dr. Dilek Özdemir
Session : 3D Finans III
Dependence on Oil Prices of Russian Stock Market
Rusya Borsası’nın Petrol Fiyatlarına Bağımlılığı
- Asst. Prof. Dr. Dilek Özdemir (Atatürk University, Türkiye)
- Asst. Prof. Dr. Özge Buzdağlı (Atatürk University, Türkiye)
- Ph.D. candidate Murat Akdağ (Atatürk University, Türkiye)
- Prof. Dr. Ömer Selçuk Emsen (Atatürk University, Türkiye)
Abstract
In the period after transition, economically full-liberal policy implementations applied by Russia Federation has been taken attention as cyclical movement. No variations of goods are said to be effective about the main reasons about cyclical movement in liberalization. As a kind of indicator of the Russian economy, stock market’s sensitivity to oil prices analyzed. In this context, especially change of oil prices, exchange rate and money supply effects on Russia are analyzed for the period of 1996M1-2015M12. Stationarity of the series is investigated by Lee and Strazicich (2003) unit root test with multiple structural breaks, existence of cointegration relation between series is tested by Maki (2012) method of cointegration with multiple structural break, and cointegration coefficients are predicted with Dynamic Ordinary Learst Square-DOLS method. Furthermore, causality relations between series are investigated by Hacker and Hatemi-J (2012) symmetric causality test. As a result, Russian stock market is positively affected by oil prices, real effective exchange rate and real money supply. Also causality tests showed that bidirectional causality relation found on stock market with oil prices and real effective exchange rate, and unidirectional causality from real money supply to stock market.
JEL codes: C13, G15, C22
Özdemir, Dilek, Buzdağlı, Özge, Akdağ, Murat, Emsen, Ömer Selçuk (2016). "Dependence on Oil Prices of Russian Stock Market" in Proceedings of International Conference of Eurasian Economies 2016, pp.632-640, Kaposvár, HUNGARY.
DOI: https://doi.org/10.36880/C07.01768
