The paper investigates the mean and volatility spillover effects from U.S and EU stock markets as well as oil price market into national stock markets of eight European countries. The study finds strong indication of volatility spillover effects from global US, regional EU, and world factor oil towards individual stock markets.. To evaluate the volatility spillovers, the variance ratios are computed and the results draw to attention that the individual emerging countries' stock returns are mostly influenced by the U.S volatility spillovers rather than the EU or oil markets. The weak evidence of asymmetric effects with respect to oil market shocks is found only in the case of Russia and the quantified variance ratios indicate that presence of oil market shocks are relatively higher for Russia. Moreover, a model with dummy variable confirms the effect of European Union enlargement on stock returns only for Romania. Finally, a conditional model suggests that the spillover effects are partially explained by instrumental macroeconomic variables, out of which exchange rate fluctuations play a key role in explaining the spillover parameters.

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.