Subject This article explores a nonlinear cointegration between crude oil Brent price and RTS index for the period from 1 February 2006 to 1 February 2017. Objectives The objective of the study is to investigate the impact of international oil prices on the Russian stock market, as well as to identify possible structural breaks in time series data. Methods I apply the Gregory-Hansen test for threshold cointegration to investigate possible shifts of the endogenous and non-linear relationship between RTS index and oil price. The study also uses the Toda-Yamamoto version of Granger causality test. It represents the modified Wald test for identification of causal relationship between price oil movements and RTS index, after which it is possible to view the route of influence between variables. Results The tests revealed structural breaks in the movements of variables and showed an increasing dependence between changes in oil prices and the Russian stock market after the 2008–2009 financial crisis. The research results may be applied to simulate the factor relationship of the Russian stock market. Conclusions The impact of changes in international oil prices and other significant factors should be taken into account when making investment decisions and developing the financial policy of the State.
Keywords: RTS Index, crude oil Brent, Gregory-Hansen test, Toda-Yamamoto test
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