Evaluation of the Mutual Influence of Financial Markets' instruments

The target of this study is to identify the degree of dependency on the example of two financial instruments: futures and shares (stock market). The process of influence was divided into two phases. The first stage is to test the hypotheses about the influence of futures prices on spot prices on the example of oil Brent price. The second stage is to test hypotheses about the influence of oil Brent price on the stock market of the oil exporting country, i.e. Russia. Regression analysis of time series (according to the JSC "Moscow exchange") has allowed to point out following conclusions about the influence of determinants on spot price of oil Brent: • Futures prices of all the considered durations of contracts (from monthly to six-month) impact on spot prices, but the prices of 1-, 2- and 3-month contracts have an effect much greater (by the ratio), so focus on that futures prices affect the spot prices in the short term (3 month). • Today's spot price negatively depends on its yesterday value in all cases, we can explain this by the fact that the market wins back yesterday's leap. • The trade volume affects the spot price at 1-, 2-, 3 - and 4 - month futures contracts, but at the increase the duration of the contract, the ratio gradually decreases, and at 4 – month contracts is quite small. We can conclude that trading volume has an impact on spot prices in the short term (3 month). Application of the Granger test to identify the direct influence and VAR -model to confirm the indirect influence (through macroeconomic indicators) allowed us to establish the presence of a reaction the rate of growth of the stock index on price signal of oil Brent on the base of monthly data for the period from January 2008 to April 2016, and also revealed a larger sensitivity to the decrease in the oil Brent price than on its growth. We can conclude about the short-term impact of futures prices on the stock market of the oil exporting country (1-3 months).