THE IMPACT OF OIL PRICE SHOCKS ON THE STOCK RETURNS OF TEHRAN STOCK EXCHANGE (TSE)

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SHAHBAZI K.; REZAEI E.; SALEHI Y.

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

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2013 | Volume:6 | Issue:18 Page(s): 125-136

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Title

THE IMPACT OF OIL PRICE SHOCKS ON THE STOCK RETURNS OF TEHRAN STOCK EXCHANGE (TSE)

Author(s)

SHAHBAZI K. | REZAEI E. | SALEHI Y. | Issue Writer Certificate

Keywords

STOCK RETURNSQ3

OIL PRICESQ3

DEMAND SHOCKSQ3

SUPPLY SHOCKSQ3

Abstract

The objective of this study is to investigate the influence of the oil shocks caused by crude oil supply and demand on STOCK RETURNS of Tehran Stock Exchange (TSE). For this purpose, a Structural Vector Autoregressive model (SVAR) has been estimated based on the monthly data (1991 to 2010) including world crude oil supply, world demand for industrial products, and real price of the crude oil and real STOCK RETURNS in TSE variables. Fluctuations of the real price of the crude oil are attributed to three structural shocks: World crude oil SUPPLY SHOCKS, world crude oil DEMAND SHOCKS and world industrial products DEMAND SHOCKS. Furthermore, effects of these shocks on the real STOCK RETURNS of TSE have been studied in this study. The results show that the oil supply shock has no significant impact on the STOCK RETURNS, but the global demand shock and the oil specific demand shock have a significantly positive impact on the STOCK RETURNS of Tehran Stock Exchange (TSE).

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APA: Copy

SHAHBAZI, K., REZAEI, E., & SALEHI, Y.. (2013). THE IMPACT OF OIL PRICE SHOCKS ON THE STOCK RETURNS OF TEHRAN STOCK EXCHANGE (TSE). FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 6(18), 125-136. SID. https://sid.ir/paper/200128/en

Vancouver: Copy

SHAHBAZI K., REZAEI E., SALEHI Y.. THE IMPACT OF OIL PRICE SHOCKS ON THE STOCK RETURNS OF TEHRAN STOCK EXCHANGE (TSE). FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2013;6(18):125-136. Available from: https://sid.ir/paper/200128/en

IEEE: Copy

K. SHAHBAZI, E. REZAEI, and Y. SALEHI, “THE IMPACT OF OIL PRICE SHOCKS ON THE STOCK RETURNS OF TEHRAN STOCK EXCHANGE (TSE),” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 6, no. 18, pp. 125–136, 2013, [Online]. Available: https://sid.ir/paper/200128/en

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