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The Impact of Oil Prices on the Profitableness of Oil Companies Stocks in Russia

Student: Stepashina Anna

Supervisor: Grigory Kantorovich

Faculty: Faculty of Economic Sciences

Educational Programme: Economics (Bachelor)

Final Grade: 9

Year of Graduation: 2016

The present study contains an analysis of the crude oil Brent price impact on the Russian stock exchange, in particular on the stock quotes of Lukoil, Gazpromneft, Surgutneftegas, Tatneft, Rosneft companies in the period of 2002-2015, including analysis of subperiods. Stock indexes for Russia (RTS) and the USA (S&P500), exchange rate ruble-US dollar are also included in the model. A literature review on the proposed research question and theoretical background description are provided. In the paper, the following econometric tools are used: augmented Dickey-Fuller test, Johansen cointegration test, vector auto regression (VAR) and vector error correction models (VECM). Additionally, an analysis of periods before and after the 2008 economic crises is conducted. Authors make some conclusions concerning the force of the crude oil prices impact on stock prices of oil companies in Russia. The main result of the study is that the influence of the prices of crude oil on stock quotes is statistically significant for all the companies, except Rosneft. In the case of stock quotes of Rosneft an anomalous behavior and independence from other variables of the model are revealed.

Full text (added May 11, 2016)

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