A Study on the Relationship among Russia Stock Index,Oil Price and Ruble Exchange Rate

• Main Authors: Chen,Hao-Sheng, 陳豪勝
• Other Authors: Hung, Rern-Jay
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/4hhfm2

碩士 === 國立屏東科技大學 === 財務金融研究所 === 105 === Abstract Student ID：M10466006 Total page：33 Title of thesis：A Study on the Relationship among Russia Stock Index, Oil Price and Ruble Exchange Rate Name of Institute：Graduate Institute of Finance,National Pingtung University of Science and Technology Graduate date：Jun，2017 Degree Conferred：Master Name of student：Hao Sheng, Chen Adviser：Rern-Jay Hung The contents of abstract in this thesis： The global economy has continued to strengthen in recent years, however, the oil price has plunged. Would Russia, one of the major oil-dependent countries, suffer from the declined oil prices? Thus motivates this study. This thesis aims to investigate the long run relations among the Russia stock index, Brent oil price, and Ruble/USD exchange rate and their lead-lag relations. This thesis employs time series analysis to investigate the relations among the Russia stock index, Brent oil price, and Ruble/USD exchange rate. The empirical results are as follows: 1. The results of ADF unit root test show that the level data of above Mentioned variables could not reject the null hypotheses of unit root. However, the after taken first difference, all variables became stationary ,which meant all variables were I(1). 2. The results of Johansen Cointegration show that the three variables are not cointegrated. Thus there do not exist long run relations among the Russia stock index, Brent oil price, and Ruble/USD exchange rate. 3. The results from Granger casualty show that Ruble/USD exchange rate leads Russia stock index and Brent oil price. This indicates Ruble/USD exchange rate can be used as a predicting variable of Russia stock index and Brent oil price. Keywords: ADF unit root test, Johansen Cointegration, Granger casualty