The Effect of Energy Prices on Stock Indices in the Period of COVID-19: Evidence from Russia, Turkey, Brazil, and India

Authors

  • Nurkhodzha Akbulaev Department of Economics and Business Administration, Faculty of Economics of Turkish World, Azerbaijan State University of Economics (UNEC), Center for Economic Studies of the Turkic World, Baku, Azerbaijan.
  • Elshan Mammadli Azerbaijan State University of Economics (UNEC), Center for Economic Studies of the Turkic World, Baku, Azerbaijan.
  • Gadir Bayramli Department of Economics and Business Administration, Azerbaijan State University of Economics (UNEC), Baku, Azerbaijan

DOI:

https://doi.org/10.32479/ijeep.12919

Abstract

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 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), and Indian National Stock Exchange Nifty 50 Index (NSEI). In the study, weekly data between 16.02.2020 and 26.12.2021 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, and XU100 are the cause of WTI, and WTI is the cause of NSEI.

Keywords:

Brent oil, Crude oil, Natural gas, Stock market index, VAR analysis, Granger causality

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Author Biography

Nurkhodzha Akbulaev, Department of Economics and Business Administration, Faculty of Economics of Turkish World, Azerbaijan State University of Economics (UNEC), Center for Economic Studies of the Turkic World, Baku, Azerbaijan.

Dr. Nurkhodzha Akbulaev, Doctor of Business Administration, (Branch of Accounting and Finance), Department of Economics and Business Administration, Azerbaijan State University of Economics, Baku, Azerbaijan.

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Published

2022-05-18

How to Cite

Akbulaev, N., Mammadli, E., & Bayramli, G. (2022). The Effect of Energy Prices on Stock Indices in the Period of COVID-19: Evidence from Russia, Turkey, Brazil, and India. International Journal of Energy Economics and Policy, 12(3), 262–269. https://doi.org/10.32479/ijeep.12919

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Articles