Abstract :
While there is an assumption that stock market changes depend on changes in oil prices, there is no consensus about the impact of the oil price shocks on stock market in the literature. Increases in oil prices have different effects on oil importer, oil exporter, developed or developing countries. This paper aims to investigate how the increase in the price of crude oil is driven by demand or supply shocks in the crude oil market affects the CIS (Commonwealth of Independent States) countries stock markets, Russia, Kazakhstan and Ukraine, using by structural VAR model. In this study, monthly global reel economic activity, world oil production, real crude oil price, and real stock returns of MICEX, KASE and PFTS for the period of 2001:01-2013:07 are used. In addition, since the period covers the 2008 financial crises, the impact of oil price shocks on stocks is examined for the whole period, pre-cries and after cries and compared for all stocks.
