تأثیر چند متغیری نرخ ارز بر روی رابطه بین سهام نفت: شواهد از چین و روسیه

Dramatic oil price movements could spill over to the stock market, which may be weakened or reinforced by the exchange rate, particularly for net oil importing and exporting countries. Unlike previous studies considering the relationship between the stock market and the oil price quoted in USD, we explore the impact of real oil price quoted in corresponding currency on the stock markets of China and Russia by involving the nominal exchange rates through various time horizons during the sample period from January 2000 to October 2015. Furthermore, the relationship between the effective exchange rate and the oil-stock nexus is examined in a dynamic manner. The main results are as follows: first, Russian stock market responds greater to the combined influence of the oil price and exchange rate than Chinese stock market. Specifically, the bidirectional Granger causality relations running between the real oil price and stock markets are in scale 1 and 6 for China, but exist in scales 1–6 for Russia. Compared with previous studies, we infer that the exchange rate weakens the response of Chinese stock market to the oil price but close Russian oil-stock nexus. Moreover, the oil price increase could depress Chinese stock market in scale 6, while such increase has positive effect on Russian stock market in scales 2–6. Further dynamic analysis demonstrates that the correlations between the effective exchange rates and the oil-stock nexuses for both China and Russia are high and fluctuated in scales 1–4, but decrease after 2014 when the effective exchange rates of China and Russia move in the opposite direction in the long term.