GLOBAL OIL PRICES, OIL INDUSTRY AND EQUITY RETURNS: RUSSIAN EXPERIENCE

Ramaprasad Bhar and Biljana Nikolova

Scottish Journal of Political Economy, 2010, vol. 57, issue 2, 169-186

Abstract: 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.

Date: 2010
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