Portsmouth Business School
Dr Ruslan Grigoryev
Interdependance among EU, US and Russian stock markets and the impact of oil price
Department: Economics
Email: ruslan.grigoryev@port.ac.uk
Nationality: Russian
Director of Studies: Professor Shabbar Jaffry
Year of graduation: N/A
Thesis summary
The objective of this study is to find evidence of interdependency among EU, US and Russian stock markets. It is worth noting that the relevant research literature on market interdependence has largely disregarded a number of emerging markets. The Russian market is a good case, although this market could be an interesting case study where oil sector companies dominate. (Oil and Gas sector represents 40-50% of Russian Trading System [RTS] index in year 2007. Source: Russian Trading System. RTS and Oil & Gas RTS indices comparison). Thus, there is clearly a need in studying the markets with such a disproportionate distribution of capital.
In this research we are going to:
- measure Interdependence among EU, US and Russia indices.
- determine the leading and the led indices.
- estimate the impact of oil price fluctuations on the dynamics of the EU, US and Russian stock indices.
The econometric techniques that will be used in analysis are: Unit-root tests, VAR models, Granger Causality (linear/non-linear) with extension to rolling window method. Listed models are going to utilise daily data for the period from 1996 to 2007.