The relationship among Russian stock index,oil price and US stock indices -A Cointegration and VECM Analysis

• Main Authors: Yen-ming Lu, 盧彥銘
• Other Authors: Che-Jen Wang
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/17880318015315115383

碩士 === 淡江大學 === 俄羅斯研究所碩士班 === 97 === The purpose of this research is to find out the relationship among the Russian stock index, oil price and US stock indices. The Russian Trading System Index (RTSI), The National Association of Securities Dealers Automated Quotations system (NASDAQ), Dow Jones Industrial Average (DJIA) and West Texas Intermediate (WTI) are used in the research as the proxies of Russian stock index, US stock indices and oil price, respectively. The report implements cointegration and Vector Error Correction Model (VECM) to analyse these variables. Our findings follow. 1.The unit root test finds that all variables are not stationary and are I(1) series. 2.The Johansen cointegrating test finds there exists a long-term equilibrium among NASDAQ, DJLA, WTI and RTSI. 3.VECM shows that when RTSI deviates its long-term equilibrium, WTI is the major force which pushes RTSI back to its equilibrium. 4.The impulse response function test shows that NASDAQ is the major determinant of RTSI. 5.The variance decomposition test finds that in the short-term RTSI is heavily impacted by itself, rather by other variables, but in the long-term by both itself and the oil price. 6.Finally the Granger causality test finds there is a feedback relationship between RTSI and NASDAQ. An unidirectional causality runs from DJIA and WTI, and the effect of WTI is statistically more significant than that of DJIA.