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Information Journal Paper

Title

Co-Movement Between Oil Price and Iranian Stock Market Returns: Wavelet Analysis Method

Pages

  55-68

Abstract

 In the Iranian economy, the oil sector has a significant position,So that changes in Oil Price affect various economic sectors and markets, including the stock market. The stock market is one of the principal financial markets that can potentially attract the country's uncontrolled savings and liquidity in the form of an efficient channel and improve economic growth and development by turning it into investment. Therefore, it is essential to examine the relationship between Oil Price and Iran's stock market returns. Given the importance of the issue, the purpose of this paper is to investigate the co-movement between OPEC Oil Price and returns of the Tehran Stock Exchange market. To analyze the relationship between two variables, applied the wavelet Coherence approach and utilized daily data during the period of 2009-2021. Findings show there is a positive correlation between Oil Prices and stock market returns. Comparison of the data in annual time-frequency scale indicated that the Oil Price and stock market returns are in phase from 2009 to 2011, and is observed a positive relationship between them. From December 2011 to August 2015, both variables are in phase, and Oil Price is the leading factor in the stock market. During the period 2015 to 2021, both variables are in phase, but coherency between Oil Price and stock market returns is not observed.

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    APA: Copy

    FOTROS, M.H., & MAABOUDI, R.. (2021). Co-Movement Between Oil Price and Iranian Stock Market Returns: Wavelet Analysis Method. JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, 10(38 ), 55-68. SID. https://sid.ir/paper/1048801/en

    Vancouver: Copy

    FOTROS M.H., MAABOUDI R.. Co-Movement Between Oil Price and Iranian Stock Market Returns: Wavelet Analysis Method. JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN[Internet]. 2021;10(38 ):55-68. Available from: https://sid.ir/paper/1048801/en

    IEEE: Copy

    M.H. FOTROS, and R. MAABOUDI, “Co-Movement Between Oil Price and Iranian Stock Market Returns: Wavelet Analysis Method,” JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, vol. 10, no. 38 , pp. 55–68, 2021, [Online]. Available: https://sid.ir/paper/1048801/en

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