The purpose of our paper is to examine the relationship and
interactions between oil price movements and stock markets in main
two oil exporting countries - Russia and Norway and test how and to
what extent oil prices together with other variables influence
stock markets. Some macroeconomic explanatory variables that are
directly linked to stock market performance are included to our
model, too. The notion of comparative analysis of oil price changes
and stock market performance between a developing country- Russia
and a developed country- Norway is also one of the major empirical
aspects of our master thesis. First, we run simple OLS regression
to understand the effect of oil prices on stock returns. In order
to examine deeply the interaction and impact among different
variables, we employ a VAR model. Results reveal a diverse pattern
in all share and industrial level in two markets. Finally, for
further analysis, we run asymmetric tests using dummy variables to
show the difference between oil price increases and the normal
case.
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