Strategic Relation between Crude Oil Price Changes and Capital Market: Empirical Evidence from Russia -Ukraine War

Document Type : Original Article

Authors

1 Master Management. Faculty of Management and Economics. Sharif University of Technology, Tehran. Iran

2 Professor of the Department of Economics, Faculty of Economics and Islamic Studies Head of Economics Faculty, Imam Sadegh University, Tehran, Iran

Abstract

Present study seeks to investigate the effect of crude oil price changes on the Russian capital market during the years 2021 to 2023 (before the Russia-Ukraine war and during it) using the multi-factor method of asset pricing model and Wald's validity hypothesis test. In this method, the Ural oil index of Russia is used as the basis of oil yield calculations and several industrial indexes in the Moscow Stock Exchange are used as the basis of Market index yield calculations. The results of the study indicate that in the Moscow Stock Exchange, as a developing market, there was no significant relationship between the oil price changes and the return of industrial indices in the period under review except for the oil and gas index, and the changes in the oil price on the stock returns of listed oil companies. It was also found that the war event had a significant effect on the stock returns of Russian oil companies through the intermediate variable of crude oil prices, and the existing relationship was opposite in sign to the direct relationship between oil price changes and stock returns of the aforementioned companies. In other words, the oil price variable has played the role of transmitting the negative effects of the war phenomenon to the oil companies of the Russian capital market.

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