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GLOBAL OIL PRICES, OIL INDUSTRY AND EQUITY RETURNS: RUSSIAN EXPERIENCE
Author(s) -
Bhar Ramaprasad,
Nikolova Biljana
Publication year - 2010
Publication title -
scottish journal of political economy
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.4
H-Index - 46
eISSN - 1467-9485
pISSN - 0036-9292
DOI - 10.1111/j.1467-9485.2010.00512.x
Subject(s) - economics , equity (law) , volatility (finance) , oil price , bivariate analysis , heteroscedasticity , financial economics , stock (firearms) , petroleum industry , china , econometrics , monetary economics , macroeconomics , mechanical engineering , paleontology , statistics , mathematics , political science , law , biology , engineering
The purpose of this paper is to promote a greater understanding of the implications of oil price changes on the equity investment climate in Russia. A dynamic bivariate exponential general autoregressive conditional heteroscedastic (EGARCH) analysis shows that global oil price returns have significant impact on Russian equity returns and volatility. At the same time, a dynamic correlation analysis highlights Russia's importance in the international geopolitical scene and its positioning as a reliable supplier of oil during times of turmoil in the Middle East. There are a number of challenges, however, that threaten to slow down the performance of the oil industry in Russia and compromise the country's future economic growth and stock market performance.