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"THE IMPACT OF OIL PRICE CHANGES ON THE STOCK MARKET OF AN OIL EXPORTING COUNTRY"статья
- Авторы: Nikonorov S.M.1, Merekina Y.V., Ochilov A.B., Gasymzade I.M., Pugacheva S.D., Krasnikhin D.O.
- Журнал: Science and Innovation
- Номер: 1
- Год издания: 2025
- Первая страница: 483
- Последняя страница: 486
- DOI: 10.5281/zenodo.15392152
- Аннотация: The impact of oil prices on financial markets is particularly crucial for oilexporting countries like Russia. Understanding this relationship is essential for economic stability and investment decision-making. This study aims to analyze the impact of Brent crude oil price changes and adjustments in the Central Bank of Russia's key interest rate on the Moscow Exchange index (MOEX). The research utilized daily data from June 14, 2023, to June 14, 2024. Methods applied included correlation analysis, regression analysis (OLS), ARIMA, GARCH modeling, and stationarity tests (Augmented Dickey-Fuller test). A weak positive correlation (0.13) was observed between oil price changes and the MOEX index dynamics. Regression analysis confirmed the significance of oil price changes on the MOEX index, albeit with a low coefficient of determination (R²=0.017). ARIMA and GARCH models supported the significant impact of oil price fluctuations on both dynamics and volatility of the MOEX index at a 10% significance level. However, incorporating changes in the key interest rate did not significantly improve the model. Changes in Brent crude oil prices affect Russia's stock market, though this influence is not the primary determinant of the MOEX index fluctuations. The low explanatory power (R²) indicates the need to include additional factors for a more precise analysis. These findings are valuable for investors, analysts, and economists focused on forecasting the Russian stock market dynamics and studying the impact of macroeconomic indicators.
- Добавил в систему: Мерекина Елена Владимировна
Прикрепленные файлы
| № | Имя | Описание | Имя файла | Размер | Добавлен |
|---|---|---|---|---|---|
| 1. | 93_i_20250513_025032_1.80_1.pdf | 93_i_20250513_025032_1.80_1.pdf | 214,0 КБ | 14 мая 2025 [MerekinaEV] |