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Information Journal Paper

Title

ASYMMETRIC EFFECTS OF OIL PRICE SHOCK ON THE STOCK PRICE INDEX: COMPARISON OF BOOTSTRAP CONFIDENCE INTERVAL IN IMPULSE RESPONSE FUNCTION

Pages

  115-144

Abstract

 Applied researches in many financial markets show that STOCK PRICE INDEX will fluctuate with changes in macroeconomic variables. Since the stock value in theory is equal to the sum of discounted future cash flows and these cash flows are affected by macroeconomic events. Therefore they can be also affected by oil shock. This study aims to investigate ASYMMETRIC EFFECTs of OIL PRICE SHOCKs on the STOCK PRICE INDEX in Iran. In this regard, SVEC model with BOOTSTRAP CONFIDENCE INTERVAL in IMPULSE RESPONSE FUNCTIONS are used.The estimation results of IMPULSE RESPONSE FUNCTIONS and Forecast Error Variance Decomposition indicate that positive OIL PRICE SHOCK has an increasing effect on STOCK PRICE INDEX while negative OIL PRICE SHOCK decreases the STOCK PRICE INDEX. Also the results show that the effects are asymmetric, So that the effect of negative OIL PRICE SHOCK on the STOCK PRICE INDEX is far larger and more lasting than the positive OIL PRICE SHOCK. The results of confidence intervals in IRFs indicate that impulse responses of stock price to oil shocks are reasonable and significant in all cases.

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    Cite

    APA: Copy

    EBRAHIMI, MOHSEN, & SHOKRI, NOOSHIN. (2012). ASYMMETRIC EFFECTS OF OIL PRICE SHOCK ON THE STOCK PRICE INDEX: COMPARISON OF BOOTSTRAP CONFIDENCE INTERVAL IN IMPULSE RESPONSE FUNCTION. JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, 1(2), 115-144. SID. https://sid.ir/paper/226556/en

    Vancouver: Copy

    EBRAHIMI MOHSEN, SHOKRI NOOSHIN. ASYMMETRIC EFFECTS OF OIL PRICE SHOCK ON THE STOCK PRICE INDEX: COMPARISON OF BOOTSTRAP CONFIDENCE INTERVAL IN IMPULSE RESPONSE FUNCTION. JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN[Internet]. 2012;1(2):115-144. Available from: https://sid.ir/paper/226556/en

    IEEE: Copy

    MOHSEN EBRAHIMI, and NOOSHIN SHOKRI, “ASYMMETRIC EFFECTS OF OIL PRICE SHOCK ON THE STOCK PRICE INDEX: COMPARISON OF BOOTSTRAP CONFIDENCE INTERVAL IN IMPULSE RESPONSE FUNCTION,” JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, vol. 1, no. 2, pp. 115–144, 2012, [Online]. Available: https://sid.ir/paper/226556/en

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