Loading...

Effects of Oil on the Russian Capital Market-Case of Russia-Ukraine War

Akbarzadeh, Alireza | 2023

54 Viewed
  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 56031 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Talebian, Masoud; Haghba’ail, Mehdi
  7. Abstract:
  8. We investigate the effect of the war between Russia and Ukraine on the capital market indexes of Russian through the intermediate variable of oil price. We use the Moscow Stock Exchange for the capital market, and OPEC and West Texas Intermediate for the oil price. We apply the two-factor asset pricing model, the results of which are based on the data of the years 2020 to 2021 (before the war) and during the year 2021 (during the war). Our results show that, with a few exceptions, the price of oil does not have a significant effect on the capital market indexes of the Moscow Stock Exchange. The event of the war within less than a year has been able to change the existing significant patterns, and several indexes have lost their relationship. New relationships have been established between several other indexes and the oil price with the outbreak of conflict in the studied sample. We also found that as an oil-exporting economy, the indexes of the Moscow Stock Exchange are more sensitive to the increase in the oil price than to its decrease. More specifically, the number of significant relationships between the industry indexes and rising oil prices was higher in the studied sample
  9. Keywords:
  10. Event Study ; Oil Price ; Russia-Ukraine War ; Industry Indexes ; Moskow Exchange ; OPEC Index ; Capital Market

 Digital Object List

 Bookmark

No TOC