The Fall of Oil Prices and Changes in the Dynamic Relationship between the Stock Markets of Russia and Kazakhstan
DOI:
https://doi.org/10.6000/1929-7092.2015.04.14Keywords:
Financial market, Oil price, Post-soviet economies.Abstract
In this paper, we investigate the dynamic relationship between the stock markets of Russia and Kazakhstan and the effect of oil price volatility on both markets. This research differs from the studies of the effect of oil prices on stock markets as it considers the relationship between two post-Soviet transition and developing economies that are highly dependent on the export of oil. The derived results reveal significant interdependence among variations in the stock markets of Russia and Kazakhstan, crude oil prices and the association of falling oil prices with global and Russian crises.References
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http://dx.doi.org/10.1111/j.1467-9701.2009.01194.x
Bollerslev, Tim. 1986. “Generalised Autoregressive Conditional Hetroscedasticity.” Journal of Econometrics 31:307–327.
http://dx.doi.org/10.1016/0304-4076(86)90063-1
EBD. 2010. The Stock Markets of Russia and Kazakhstan: Prospects for Integration, EDB Industry Report No. 10 (Almaty: EDB).
Engle F. Robert. 2002. “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Hetroscedasticity Models.” Journal of Business and Economic Statistics 20(3):339–350.
http://dx.doi.org/10.1198/073500102288618487
Gomes, Mathieu and Anissa Chaibi. 2014. “Volatility Spillovers between Oil Prices and Stock Returns: A Focus on Frontier Markets.” The Journal of Applied Business Research 30(2):509–526.
Hayo, Bernd and Ali M. Kutan. 2005. “The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets.” Economics of Transition, 13(2):373–393.
http://dx.doi.org/10.1111/j.1468-0351.2005.00214.x
Huseynov Fariz. 2010. “Review of CIS stock markets: Future perspectives.” Transition Studies Review, 17: 63–79.
http://dx.doi.org/10.1007/s11300-010-0136-4
Jalolov, Mirzosharif and Tatsuyoshi Miyakoshi. 2005. “Who Drives the Russian Financial Markets?” The Developing Economies 43(3): 374–395.
http://dx.doi.org/10.1111/j.1746-1049.2005.tb00950.x
Oskenbayev, Yessengali, Yilmaz, Mesut and Dauren Chagirov. 2011. “The Impact of Macroeconomic Indicators on Stock Exchange Performance in Kazakhstan.” African Journal of Business Management 5(7): 2985–2991. DOI: 10.5897/AJBM10.1480
World Bank. 2015. World Development Indicators: Contribution of Natural Resources to Gross Domestic Product. Retrieved May 1, 2015 (http://wdi.worldbank.org/table/3.15).
http://dx.doi.org/10.1111/j.1467-9701.2009.01194.x
Bollerslev, Tim. 1986. “Generalised Autoregressive Conditional Hetroscedasticity.” Journal of Econometrics 31:307–327.
http://dx.doi.org/10.1016/0304-4076(86)90063-1
EBD. 2010. The Stock Markets of Russia and Kazakhstan: Prospects for Integration, EDB Industry Report No. 10 (Almaty: EDB).
Engle F. Robert. 2002. “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Hetroscedasticity Models.” Journal of Business and Economic Statistics 20(3):339–350.
http://dx.doi.org/10.1198/073500102288618487
Gomes, Mathieu and Anissa Chaibi. 2014. “Volatility Spillovers between Oil Prices and Stock Returns: A Focus on Frontier Markets.” The Journal of Applied Business Research 30(2):509–526.
Hayo, Bernd and Ali M. Kutan. 2005. “The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets.” Economics of Transition, 13(2):373–393.
http://dx.doi.org/10.1111/j.1468-0351.2005.00214.x
Huseynov Fariz. 2010. “Review of CIS stock markets: Future perspectives.” Transition Studies Review, 17: 63–79.
http://dx.doi.org/10.1007/s11300-010-0136-4
Jalolov, Mirzosharif and Tatsuyoshi Miyakoshi. 2005. “Who Drives the Russian Financial Markets?” The Developing Economies 43(3): 374–395.
http://dx.doi.org/10.1111/j.1746-1049.2005.tb00950.x
Oskenbayev, Yessengali, Yilmaz, Mesut and Dauren Chagirov. 2011. “The Impact of Macroeconomic Indicators on Stock Exchange Performance in Kazakhstan.” African Journal of Business Management 5(7): 2985–2991. DOI: 10.5897/AJBM10.1480
World Bank. 2015. World Development Indicators: Contribution of Natural Resources to Gross Domestic Product. Retrieved May 1, 2015 (http://wdi.worldbank.org/table/3.15).
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Published
2015-07-30
How to Cite
Sultonov, M. (2015). The Fall of Oil Prices and Changes in the Dynamic Relationship between the Stock Markets of Russia and Kazakhstan. Journal of Reviews on Global Economics, 4, 147–151. https://doi.org/10.6000/1929-7092.2015.04.14
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