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МРНТИ 06.51.87 УДК 336.761.51

THE STOCK MARKET RETURNS IN TERMS OF OIL PRICE VOLATILITY

M.M.Mukan

Narxoz University, Almaty, Kazakhstan e-mail: moldir.mukan@narxoz.kz

Abstract. Nowadays, in many developed countries, stock markets are exceptionally well known and effectively work. Moreover, stock markets are increasingly driven by oil prices. For oil exporting countries, stock market works as follows: oil is growing - stocks are moving the same way, oil is falling - stocks are also falling. The paper deliberates the impact of oil prices on the stock market returns in both types of countries:

oil - exporting and oil - importing as well. High oil prices have a positive effect on oil-exporting countries. The rise in oil prices provides the country with taxes and customs duties, which form the basis of all budget revenues. Therefore, high oil prices cause an increase in orders and productions not only in industries directly related to the oil industry, but also in those that do not even have a direct relationship to oil. The article finds reasons of the dependence of stock market returns from oil price volatility shocks.

Key words: stock market, returns, volatility, oil price, market capitalization, money supply

Introduction. The value of oil and its products for energy, transport, defense of the country, various industries is extremely high. Oil occupies a leading place in the global fuel and energy balance. Its share in the total energy consumption is constantly growing. So, in 1900 it was 3%, before the First World War - 5%, on the eve of the Second World War - 17.5%. Since 1980 the share of oil and natural gas in the global energy

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balance reached 75%. Moreover, the oil price has an impact on the economic activity both on oil producing countries as well as on oil consuming. In the article, the interaction between the oil price and stock market is covered.

Methodology. During this research, there were considered the methods of studying this problem in the works of foreign authors specializing in the field of energy policy and finance. A review of the most interesting hypotheses and research results on the impact of oil prices on stock markets revenue is proposed.

Results and discussion. This paper is based on academic literature of foreign researchers. The connection of oil prices with the stock market is a very actual topic nowadays, for being so discussed, it has several reasons:

• The distribution of "oil" money in the economy of the country through orders from the oil companies themselves and through the government orders;

• The level of money supply in the country, which largely depends on the revenues of oil exporters. Investors need to invest “free” money appearing with the growth of M2 and this leads to an increase in the value of assets.

Main body. The stock market development is one of the main aims of government macroeconomic approach worldwide. Stock markets play a significant role in the development of the nowadays economy.

They play a huge role in the movement of goods, facilitate the relationship of participants in the economy through different financial assets. Stock markets are designed to support economic growth of the state, which is associated with an increase in the total number of goods. Throughout the years, the stock markets along with the oil price have become the objects of research by many foreign authors, which confirms the topic actuality.

There are a large number of different studies and investigations concerning the oil price shocks influence on the stock index. For example, Sadorsky (1999), Basher (2006), Park (2008) investigated a detailed description of close relation between oil prices and its influence on the stock market returns in oil producing countries. In Sadorsky (1999) there was taken monthly data from January 1947 till April 1996. The research led to conclusion that oil prices with oil price volatility play important roles in economic activity development or stagnation. Moreover, the author proved that change in oil price shocks have vice versa effects on the economy. In particular, a greater impact on stock returns and economic activity are occurred when the oil price shocks are positive [1]. However, Basher (2006) concentrated on emerging countries and investigated its interaction with risk of oil prices volatility. The results represent that oil costs risks play an important role in emerging market stock returns, furthermore they show that for daily and monthly data there is a positive and significant relationship between market betas and stock market returns in up markets and a negative correlation between market betas and returns in down markets [2]. Park (2008) and Hilde (2009) studied Western countries, where was taken Norway as a bright example of the region's main oil exporter. Park (2008) has the evidence that there is a significant impact on real stock returns from oil price volatility simultaneously within the framework of the following month in the USA and thirteen Western countries during the period of nineteen years from 1986 to 2005. Norway as an oil exporter demonstrates a measurably together positive reaction of stock returns to an oil cost growth. For some countries in Europe, yet not for the USA, expanded unpredictability of oil costs essentially discourages real stock returns [3]. In Hilde (2009), there was highlighted the transmission channels of oil prices for macroeconomic behavior. The findings demonstrate that with every 10% growth in oil costs, stock returns growth by 2.5%, after which the impact slowly disappears.

However, all factors show that the Norwegian economy reacts to higher oil costs by increasing total wealth and demands. The outcomes additionally underscore the role of different shocks; monetary policy shocks specifically, as imperative main thrusts behind stock value fluctuation for the short term. Higher oil prices have a stimulating effect on the Norwegian economy that is consistent with what one would expect for an oil exporting country [4].

Furthermore, the works both for oil exporting and importing countries were provided by Filis (2011) and Bernanke (2016). The authors affirmed that there is a positive connection of reserves and oil may emerge on the market that they both react to basic changes in worldwide interest. Commodity costs, interest rates and the dollar are probably going to respond to investor's impression of worldwide and US request, and less changes in oil supplies [5;6].

Filis (2011) and Mohaddes (2017) based the research on data from oil producing and oil consuming countries. The synchronous connection results demonstrate that in spite of the fact that time-evolving relationship is not opposite for oil producing and oil consuming economies; the relationship increments emphatically (adversely) in react to critical total interest side oil value shocks, which are caused because of worldwide business cycle's variances or world strife (for example wars). Filis (2011) prove that the supply-side of oil price shocks do not influence the relationship of the two markets. The lagged correlation results show that oil prices results demonstrate that oil costs practice a negative impact in every single securities exchange

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in all stock markets, regardless the origin of the oil price shock. The main special case is the 2008 worldwide money related emergency where the slacked oil costs show a positive relationship with securities exchanges. A following phenomenon can be explained by two facts. Firstly, aggregate demand side of value stuns because of the way that are caused by fluctuations in the worldwide business cycle are required to impact every securities exchange in a similar manner. However, the correlation changes due to the oil price shocks background in periods of world disorder or changes in the phase of the global business cycle. Consequently, preventive demand shocks are causing negative connection among's oil and securities exchange costs, though total interest side shocks are causing a positive relationship. Supply-side shocks do not impact the connection among oil and stock costs. Slacked oil costs go about as a hazard factor for the securities exchanges [5]. While, Mohaddes (2017) demonstrated that a fall in oil costs brings down loan fees and expansion in many countries, and increases in worldwide real equity prices. The authors additionally reevaluated the impacts of low oil costs on the US economy over various sub-periods utilizing month-to-month perceptions on real oil costs, real value costs and real profits. In their examination, they affirmed that the unreasonable positive connection among oil and value costs over the period since the 2008 money related emergency featured in the ongoing writing, however demonstrate that this relationship has been unstable when considered over the more drawn out timeframe of seventy years started from 1946 to 2016. Interestingly, there is a steady negative connection between oil costs and real dividends, which is a superior intermediary for economic side. On the supply side, the impacts of lower oil costs vary broadly over the distinctive oil makers, and could be unreasonable at first, as a portion of the significant oil makers attempt to repay their loss of incomes by raising production. The consequences of the investigation demonstrate that similarly as with all business sectors, bring down oil costs will in the long run lead to higher interest and lower supplies. The gainful pay impacts of lower oil costs will appear in higher oil request by oil importers including the US, while the loss of incomes by oil exporters will act the other way, however the net impact is probably going to be certain. The findings of the research indicate, while in most cases financial assets are traded based on sector stock price, it is crucial for market traders to understand the oil price transmission mechanism across sectors in order to form their optimal portfolio decisions [7].

Conclusion. This paper analyzes the stock market returns in conditions of oil price volatility. High oil prices has positive impact for oil - exporting countries. Growing oil prices provide the country with taxes and customs duties, which form the basis of all budget revenues. Therefore, high oil prices cause an increase in orders and production not only in industries directly related to the oil industry, but also to those that do not even have an indirect relationship to oil. Another important factor related to oil prices and affecting the stock market is the money supply (M2) in the country. Oil companies receive dollars for exported oil, and as much as it costs on international exchanges, while the company’s salary and other expenses are in tenge. The growth of M2 leads to the growth of "free" money, which somehow gets on the stock market, increasing its capitalization.

Oil prices is a highly volatile asset. If our economy remains dependent on oil prices, the country's stock market will repeat the “movement” of oil.

Literature:

1 Sardorsky P., 1999. Oil price shocks and stock market activity. Energy Economics 21, pp. 449- 469 2 Basher A. Syed, Sadorsky P., 2006. Oil price risk and emerging stock markets. Global Finance Journal 17, pp. 224–251

3 Park J., Ronald A. Ratti, 2008. Oil price shocks and stock markets in the U.S. and 13 European countries. Energy Economics 30, pp. 2587–2608

4 Hilde C. Bjornland, 2009. Oil price shocks and stock market booms in an oil exporting country.

Scottish Journal of Political Economy, Vol. 56, No. 2, pp. 232-254

5 Filis G., Degiannakis S., Floros C., 2011. Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries. International Review of Financial Analysis, 20, pp. 152–164

6 Bernanke S.B., 2016. The relationship between stocks and oil prices. Brookings Institute.

7 Mohaddes K., Pesaran H., 2017. Oil prices and the global economy: Is it different this time around? Energy Economics 65, pp. 315–325

Статистика, учет и аудит, 2(73)2019 юююююю 191 http://sua.aesa.kz/, http://www.aesa.kz/

ДОХОДНОСТЬ ФОНДОВОГО РЫНКА В УСЛОВИЯХ ВОЛАТИЛЬНОСТИ ЦЕН НА НЕФТЬ

М.М.Мукан

Университет Нархоз, г.Алматы, Казахстан e-mail: moldir.mukan@narxoz.kz

Резюме. В статье анализируется доходность фондового рынка в условиях волатильности цен на нефть. Высокие цены на нефть оказывают положительное влияние на страны-экспортеры нефти.

Рост цен на нефть обеспечивает страну налогами и таможенными пошлинами, которые составляют основу всех доходов бюджета. Поэтому высокие цены на нефть вызывают увеличение заказов и производства не только в отраслях, непосредственно связанных с нефтяной отраслью, но и в тех, которые даже не имеют косвенного отношения к нефти. В данной статье приведены причины зависимости доходности фондового рынка от шоков волатильности цен на нефть.

Ключевые слова: фондовый рынок, доходность, волатильность, цена на нефть, рыночная капитализация, денежная масса.

МҰНАЙ БАҒАСЫНЫҢ ҚҰБЫЛМАЛЫ ЖАҒДАЙЫНДАҒЫ ҚОР НАРЫҒЫНЫҢ КІРІСТІЛІГІ

М.М.Мукан

Нархоз университеті, Алматы қ., Қазақстан e-mail: moldir.mukan@narxoz.kz

Түйін. Бұл мақалада мұнай бағасының құбылмалылығы жағдайында қор нарығының кірістері талданады. Мұнайға жоғары баға мұнай экспорттаушы елдер үшін оң әсер етеді. Мұнай бағасының өсуі елге салықтар мен кедендік баж салығын береді, бұл барлық бюджет кірістерінің негізін құрайды. Сондықтан мұнайдың жоғары бағасы мұнай өнеркәсібімен тікелей байланысты салаларда ғана емес, тіпті мұнаймен жанама байланысы жоқ адамдарға да тапсырыс пен өндірістің өсуіне себеп болады. Бұл мақалада қор нарығының кірістілігінің мұнай бағасының құбылмалылық күйзелістеріне тәуелділігінің себептері келтірілген.

Түйінді сөздер: қор нарығы, қайтарымдылық, құбылмалылық, мұнай бағалары, нарықтық капиталдандыру, ақша массасы.

МРНТИ 06.35.31