Oil prices and stock markets: An empirical analysis from Russia, Canada, U.S. and Japan

This study tries to widen understanding of the relationship between oil prices and stock markets at the aggregate and sector level in countries which have different characteristics. Reaction of stock markets and sectoral stock indices to oil price changes in Russia, Canada, Japan and United States have been observed. Russia and Canada are net oil exporters while United States and Japan are net oil importer countries. The study has been realized in the period between 2002:1–2016:12 (Some sectors' indices were formed after 01:01:2002, so their analyses has begun from formation date of that indices) and Johansen cointegration analysis and Granger causality tests have been applied. At the end of the study, empirical evidence has proved that there are significant and mostly positive relationships between Russian MOEX stock market indices and crude oil prices. Since Russia is an oil exporter, this result is compatible with the financial and economic theory. However; significant Johansen cointegration between Brent Crude Oil prices and most of the Canadian, U.S. and Japanese stock market aggregate and sectoral indices could not be figured out.