Brent Crude

About: Brent Crude is a research topic. Over the lifetime, 548 publications have been published within this topic receiving 9879 citations.

Relationships between Oil Price and Stock Market: An Empirical Analysis from Istanbul Stock Exchange (ISE)

Abstract: The present study examined long-term relationships and short-term dynamics between National 100, National 50 and National 30 Index of Istanbul Stock Exchange (ISE) and international Brent oil price by using various econometric techniques. The study, in which relationships of three index with oil price are sought separately, encompasses the period between 04.01.2000 and 04.01.2010 and was performed with data consisting of 2437 days. As a result of applied Johansen cointegration test, it was determined that there was a cointegrated relationship between each index and oil price, with other words, there was a long term relationship between each of the three index and oil price. As a result of Granger causality analysis, it was observed that there was one way causality relationship from all index of the stock exchange market to oil price, but oil price was not the causal of each of the three index.

Fundamentals, Derivatives Market Information and Oil Price Volatility

Abstract: We investigate price volatility in the West Texas Intermediate (WTI) and Brent crude oil markets between 2000 and 2014. We provide empirical evidence of a relationship between the term structure of option-implied volatilities and global macroeconomic conditions, physical market fundamentals (OPEC surplus output capacity, oil storage) and economy-wide financial uncertainty (captured by the equity VIX). Based on public data regarding trader positions in U.S. futures markets, the intensity of oil speculation is statistically insignificant. Unexpected disruptions in the crude oil space are associated with large regression residuals. Our findings suggest that derivatives (“paper”) market contain information on the magnitude and duration of major oil market disruptions.

Responses of international stock markets to oil price surges: a regime-switching perspective

Abstract: We propose an enhanced regime-switching model to investigate the relationships between oil price surges and stock market cycles in five oil-dependent countries Our model accounts for the joint effects of the West Texas Intermediate (WTI) and Brent oil markets and simultaneously captures asymmetry, volatility persistence and regime shifts contained in the underlying financial data We find that stock market returns strongly exhibit a regime-switching behaviour, but they react differently to the increases in the price of oil More precisely, the conditional volatility of studied stock markets during the bear market phases is found to be less affected by oil price surges than during the bull market phases Whether the effects of oil shocks are positive or negative depends greatly on the degree of reliance on imported oil, the share of the cost of oil in the national income and the degree of improvement in energy efficiency of a given country Finally, the relatively opposite effects of the WTI and Brent oil

Oil and Gas Budget Revenues in Russia after Crisis in 2015

Abstract: The paper propose the energy market crisis impact on the Russian budget revenues in 2015. We develop the model to forecast the impact of oil prices on budget revenues in Russia. The practical significance of this work lies in the structuring of existing knowledge on oil crisis impact on the Russian budget. Brent crude oil prices were in the range of 115-79 dollars per barrel in 2014. The cyclical strengthening of US dollar and political factors have led to an increase in supply in the oil market by more than 20%. In 2015, we saw a decline in oil prices below $ 40 per barrel. The strengthening of the United States dollar was a major factor in the decline, as it was in the middle of 2001, when the price fell by about a one third before starting a long-term sharp increase.