Regime-Switching in the Impact of Oil Price Shocks on Stock Market Volatility: Evidence from Oil-Importing and Oil-Exporting Countries

Research has highlighted the adequacy of Markov regime-switching model to address dynamic behavior in long term stock market movements. Employing a purposed Extended regime-switching GARCH(1,1) model, this thesis further investigates the regime dependent nonlinear relationship between changes in oil price and stock market volatility in Saudi Arabia, Norway and Singapore for the period of 2001-2014. Market selection is prioritized to national dependency on oil export or import, which also rationalizes the fitness of implied bivariate volatility model. Among two regimes identified by the mean model, high stock market return-low volatility regime reflects the stable economic growth periods. The other regime characterized by low stock market return-high volatility coincides with episodes of recession and downturn. Moreover, results of volatility model provide the evidence that shocks in stock markets are less persistent during the high volatility regime. While accelerated oil price rises the stock market volatility during recessions, it reduces the stock market risk during normal growth periods in Singapore. In contrast, oil price showed no significant notable impact on stock market volatility of target oil-exporting countries in either of the volatility regime. In light to these results, international investors and policy makers could benefit the risk management in relation to oil price fluctuation.

Determinants of capital expenditures: Evidence from oil and mining sectors in Russia

This master’s thesis investigates the significant macroeconomic and firm level determinants of CAPEX in Russian oil and mining sectors. It also studies the Russian oil and mining sectors, its development, characteristics and current situation. The panel data methodology was implemented to identify the determinants of CAPEX in Russian oil and mining sectors and to test derived hypotheses. The core sample consists of annual financial data of 45 publicly listed Russian oil and mining sector companies. The timeframe of the thesis research is a six year period from 2007 to 2013. The findings of the master’s thesis have shown that Gross Sales, Return On Assets, Free Cash Flow and Long Term Debt are firm level performance variables along with Russian GDP, Export, Urals and the Reserve Fund are macroeconomic variables that determine the magnitude of new capital expenditures reported by publicly listed Russian oil and mining sector companies. These results are not controversial to the previous research paper, indeed they confirm them. Furthermore, the findings from the emerging countries, such as Malaysia, India and Portugal, are analogous to Russia. The empirical research is edifying and novel. Findings from this master’s thesis are highly valuable for the scientific community, especially, for researchers who investigate the determinant of CAPEX in developing countries. Moreover, the results can be utilized as a cogent argument, when companies and investors are doing strategic decisions, considering the Russian oil and mining sectors.

Flow in porous media of oil-water systems

Fluid flow behaviour in porous media is a conundrum. Therefore, this research is focused on filtration-volumetric characterisation of fractured-carbonate sediments, coupled with their proper simulation. For this reason, at laboratory rock properties such as pore volume, permeability and porosity are measured, later phase permeabilities and oil recovery in function of flow rate are assessed. Furthermore, the rheological properties of three oils are measured and analysed. Finally based on rock and fluid properties, a model using COMSOL Multiphysics is built in order to compare the experimental and simulated results. The rock analyses show linear relation between flow rate and differential pressure, from which phase permeabilities and pressure gradient are determined, eventually the oil recovery under low and high flow rate is established. In addition, the oils reveal thixotropic properties as well as non-Newtonian behaviour described by Bingham model, consequently Carreau viscosity model for the used oil is given. Given these points, the model for oil and water is built in COMSOL Multiphysics, whereupon successfully the reciprocity between experimental and simulated results is analysed and compared. Finally, a two-phase displacement model is elaborated.