Statistical Analysis of the Relationship Between Oil Prices and Industry Index Prices

Akbulaev, Nurkhodzha; Rahimli, Etimad

doi:10.32479/ijeep.8901

“…350-356.). In recent decades, there has been much research effort to study the relationship between the effect of energy prices on stock ındices in the period of COVID-19, and relationship between oil prices and stock ındustry ındex prices Akbulaev and Rahimli (2020). Suleymanli et al (2020) Akbulaev et al (2022.…”

Section: Literature Reviewmentioning

confidence: 99%

Analysis of the effect of Energy Prices on Stock Indexes During the Epidemic Crisis

Guliyeva

¹

2023

IJEEP

0

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Petroleum and natural gas, which are among the most used energy sources in the world, have a significant impact on financial markets and macroeconomic indicators as they are used as raw materials in many fields. For this reason, US, England, Japan, Russia, Turkey, Brazil, and India, as energy importers and developing countries, may be affected positively or negatively by changes in energy prices. The main purpose of this study is to examine the correlation between Brent oil, crude oil (WTI), and natural gas (NG) prices and Moscow Stock Exchange Index (RTSI), Borsa Istanbul Index (XU100), Bovespa Brazilian Stock Exchange Index (BVSP), Indian National Stock Exchange Nifty 50 Index (NSEI), Standard and Poor’s 500 Index (S and P 500), London Stock Exchange (FTSE 100), and Тokyo Stock Exchange (N225). In the study, weekly data between February 16, 2020 and December 26, 2021 were examined. Vector autoregressive (VAR) model was used to examine the correlation between the variables included in the analysis, and the direction of the correlation between the variables was determined by the Granger causality test. According to the results of the VAR model, Brent oil and crude oil prices have significant effects on the indices included in the analysis; however, natural gas price does not have a significant effect on indices, Brent oil, and crude oil prices. On the other hand, the results of the Granger causality test confirm the findings of the VAR analysis. Granger causality test results reveal that in Granger’s sense, only BVSP and NSEI are the cause of Brent oil price, RTSI, BVSP, NSEI, XU100, S and P 500, FTSE 100, and N225 are the cause of WTI, and WTI is the cause of NSEI.

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“…The researchers employed the Johansen and Juselius cointegration test as well as error-correction based Granger causality models to analyze the data. Akbulaev and Rahimli (2020)contributed to the literature by conducting a statistical analysis of the relationship between oil prices and industry index prices. Akbulaev et al (2022) conducted a study to examine the effect of energy prices on stock indices during the COVID-19 pandemic.…”

Section: Acaravci Et Al (2012) Investigated the Connection Betweenmentioning

confidence: 99%

Econometric Analysis of the Effect of Energy Prices on Exchange Rates During War Period

Aslanova

¹

,

Mammadova

²

2023

IJEEP

2

0

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Petroleum and natural gas, which are among the most used energy sources in the world, have a significant impact on financial markets and macroeconomic indicators as they are used as raw materials in many fields. For this reason, Russia, Turkey, Brazil, and India, as energy importers and developing countries, may be affected positively or negatively by changes in energy prices. The main purpose of this research is to investigate the relationship between the exchange rates of Brent oil, crude oil (WTI), natural gas, the US dollar index, and the Russian ruble. In the study, weekly data between February 6, 2022, and December 25, 2022 were examined. A vector autoregressive model (VAR) was used to examine the relationship between the variables included in the analysis, and the direction of the relationship between the variables was determined by the Granger causality test. According to the results of the VAR model, the WTI price has a significant effect on the USD/RUB rate, but the USD/RUB rate does not have a significant effect on the Brent and crude oil prices. On the other hand, the results of the Granger causality test confirm the findings of the VAR analysis.

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The Reality and Prospects of Economic Development of the South Caucasus Region: New Approaches to the Influence of Internal and External Economic Factors

Karimli,

Azizova,

Karimov

et al. 2023

Wseas Transactions on Computer Research

0

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In general, the most favorable position in the Caucasus in terms of territory belongs to the South Caucasus. It is necessary not only to analyze but also to generalize the geoeconomic realities of the South Caucasus region, which increase its importance and affect the system of international economic relations. First of all, it should be noted that the location of water bodies such as the Caspian and Black Seas, surrounded by countries such as Russia, Iran, and Turkey, has turned the South Caucasus region into an East-West and North-South corridor. These factors show that the Caucasus, especially the South Caucasus, occupies an important position in the geo-economic region of the world. In recent years, it is clear that international organizations and the world’s economic powers attach great importance to the region. It is no coincidence that the South Caucasus and Central Asia have led to sustainable development and security from the Mediterranean to China, as well as sustainable development and the export of Caspian oil and gas with the participation of world-renowned companies to the European market.

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Statistical Analysis of the Relationship Between Oil Prices and Industry Index Prices

Cited by 3 publications

References 3 publications

Analysis of the effect of Energy Prices on Stock Indexes During the Epidemic Crisis

Analysis of the effect of Energy Prices on Stock Indexes During the Epidemic Crisis

Econometric Analysis of the Effect of Energy Prices on Exchange Rates During War Period

The Reality and Prospects of Economic Development of the South Caucasus Region: New Approaches to the Influence of Internal and External Economic Factors

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