Abstract
Since petroleum and natural gas are the main energy source, it is important for all countries in the world. Oil and natural gas reserves in the world are not evenly distributed; some countries are important oil and natural gas exporters while the others import these energy sources. For this reason, both exporting and importing countries have to pay close attention to oil and gas prices. For Ukraine, which imports more than 90% of its oil and natural gas needs, it makes the investigation of macroeconomic effects of the change in oil and natural gas prices extremely vital. There are many domestic and foreign studies investigating the interaction between oil and gas prices and both macro and micro economic variables in Ukraine. In this study, the effects of changes in oil and natural gas prices on the returns of the PFTS national index of the Ukrainian Stock Exchange were investigated. The study includes monthly data for January 2008 - September 2019 period. The Johansen cointegration test was conducted to determine whether the energy prices and PFTS index are cointegrated in the long run. According to the causality test, it was found that the change in oil price by 1 dollar and the change in natural gas price by 1 dollar cause the change in RFTS by 0.56 and by 0.31, respectively. Keywords : Ukraine, stock exchange, index, return, oil, natural gas, price. JEL Classifications: F30, F65, G12, G15 DOI: https://doi.org/10.32479/ijeep.9156
Highlights
Oil and natural gas are the main energy sources
Oil and natural gas prices are important for all economies as countries depend on these energy sources
Suleymanli, et al.: The Causality Analysis of the Effect of Oil and Natural Gas Prices on Ukraine Stock Index economic growth rates, which may lead to decreases in stock indices (Basher and Sadorsky, 2006. p. 225; Dagher and El Hariri, 2013. p. 366)
Summary
Oil and natural gas are the main energy sources. While oil constitutes the main raw material utilized in the production stage, natural gas is the main energy. Oil and natural gas prices are important for all economies as countries depend on these energy sources. There has been an increase in the number of studies examining the effects of changes in prices on stock market prices and returns in recent years Suleymanli, et al.: The Causality Analysis of the Effect of Oil and Natural Gas Prices on Ukraine Stock Index economic growth rates, which may lead to decreases in stock indices Ukraine has natural gas reserves of 39.6 trillion cubic feet, but only 20% of the country’s needs are met by domestic production. The studies that analyze the relationship between oil and natural gas prices and capital market indices and stock returns are included. The data set and method used in the study were explained and the results of the model were analyzed according to the analysis and findings
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