COMPARATIVE ANALYSIS OF OIL PRICE AND EXCHANGE RATE VOLATILITY IN INDUSTRIES RETURN RELATING TO PETROLEUM BASED ON ARBITRAGE PRICING THEORY AND DYNAMIC REGRESSION MODEL

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

RAHNAMAYE ROODPOSHTI FEREYDOON; TAJMIR RIYAHI HAMED; ESMAEELI ATOOIE SALMAN

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: INVESTMENT KNOWLEDGE Year:2012 | Volume:1 | Issue:1 Page(s): 43-65

Download Full-Text

Persian Verion

View:

1,999

Download:

Cites:

Information Journal Paper

Title

COMPARATIVE ANALYSIS OF OIL PRICE AND EXCHANGE RATE VOLATILITY IN INDUSTRIES RETURN RELATING TO PETROLEUM BASED ON ARBITRAGE PRICING THEORY AND DYNAMIC REGRESSION MODEL

Author(s)

RAHNAMAYE ROODPOSHTI FEREYDOON | TAJMIR RIYAHI HAMED | ESMAEELI ATOOIE SALMAN | Issue Writer Certificate

Keywords

ARBITRAGE PRICING THEORYQ2

OIL PRICEQ2

EXCHANGE RATEQ2

TEHRAN STOCK EXCHANGE INDUSTRIES RETURNQ2

DYNAMIC REGRESSIONQ2

Abstract

Macroeconomic factors are important for multifactor asset pricing at the industry level. Apart from OIL PRICEs, the market portfolio is a significant pricing factor in all industry excess returns. EXCHANGE RATEs are also an influential factor for excess returns.This paper aims to examine the impact of crude OIL PRICEs and EXCHANGE RATE on industry relating to petroleum stock returns. Multifactor static and dynamic models consider crude oil and EXCHANGE RATE as pricing factors in the industries excess returns from 1384 to 1388. The macroeconomic factors comprise the market portfolio, OIL PRICEs, and EXCHANGE RATEs.Oil prices are an important determinant of returns in all of the studying industries. The findings also suggest OIL PRICE movements are persistent. Nonetheless, the proportion of variation in excess returns explained by the one to three lagged OIL PRICEs appears to have significant for just oil products industry and one month lag is significant for plastic industry and finally no legs are significant for remaining industries.

Cites

اثرات متغیرهای کلان اقتصادی بر شاخص کل بورس اوراق بهادار تهران

References

Cite

APA: Copy

RAHNAMAYE ROODPOSHTI, FEREYDOON, TAJMIR RIYAHI, HAMED, & ESMAEELI ATOOIE, SALMAN. (2012). COMPARATIVE ANALYSIS OF OIL PRICE AND EXCHANGE RATE VOLATILITY IN INDUSTRIES RETURN RELATING TO PETROLEUM BASED ON ARBITRAGE PRICING THEORY AND DYNAMIC REGRESSION MODEL. INVESTMENT KNOWLEDGE, 1(1), 43-65. SID. https://sid.ir/paper/188049/en

Vancouver: Copy

RAHNAMAYE ROODPOSHTI FEREYDOON, TAJMIR RIYAHI HAMED, ESMAEELI ATOOIE SALMAN. COMPARATIVE ANALYSIS OF OIL PRICE AND EXCHANGE RATE VOLATILITY IN INDUSTRIES RETURN RELATING TO PETROLEUM BASED ON ARBITRAGE PRICING THEORY AND DYNAMIC REGRESSION MODEL. INVESTMENT KNOWLEDGE[Internet]. 2012;1(1):43-65. Available from: https://sid.ir/paper/188049/en

IEEE: Copy

FEREYDOON RAHNAMAYE ROODPOSHTI, HAMED TAJMIR RIYAHI, and SALMAN ESMAEELI ATOOIE, “COMPARATIVE ANALYSIS OF OIL PRICE AND EXCHANGE RATE VOLATILITY IN INDUSTRIES RETURN RELATING TO PETROLEUM BASED ON ARBITRAGE PRICING THEORY AND DYNAMIC REGRESSION MODEL,” INVESTMENT KNOWLEDGE, vol. 1, no. 1, pp. 43–65, 2012, [Online]. Available: https://sid.ir/paper/188049/en

Related Journal Papers