Mutual Influence of World Oil Prices and Quotations of Securities of Oil Investment Funds

Student: Petrunin Stepan

Faculty: Faculty of World Economy and International Affairs

Educational Programme: World Economy (Bachelor)

Year of Graduation: 2021

Crude oil remains its major position on the world energy market, but oil prices and funds have been affected by volatility during the whole 21-st century. This study aims to examine the level of prices and volatility transmission impacts of oil prices on oil investment funds including the latest financial data on the Covid-19. In this paper will be provided the test for a correlation and volatility transmission between the oil prices and the oil investment funds in the data sample. The test for a volatility transmission will be based on Vector AutoRegression (VAR) model to identify lag order and fulfill Dynamic Connectedness Approach. The data sample of oil investment funds will contain quotations of energy mutual funds from the Morningstar list and Exchange-traded funds (ETFs) from the ETF Database.

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