THE EFFECT OF OIL PRICE CHANGES ON TEHRAN STOCK EXCHANGE RETURNS BY NON-LINE CO-INTEGRATION TEST

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MIRZAEI HOSSEIN; DAYANI MEHDI; ASADI ZEYDABADI FATEME; GORJI LEILA

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Journal: STRATEGIC STUDIES OF PUBLIC POLICY (STRATEGIC STUDIES OF GLOBALIZATION JOURNAL) Year:2017 | Volume:7 | Issue:24 Page(s): 159-177

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Title

THE EFFECT OF OIL PRICE CHANGES ON TEHRAN STOCK EXCHANGE RETURNS BY NON-LINE CO-INTEGRATION TEST

Author(s)

MIRZAEI HOSSEIN | DAYANI MEHDI | ASADI ZEYDABADI FATEME | GORJI LEILA | Issue Writer Certificate

Keywords

OIL PRICE CHANGESQ1

STOCK RETURNSQ1

EXCHANGE RATESQ2

NONLINEAR COEXISTENCEQ1

Abstract

Given the high role of oil and its sales and its price in Iran's economy, as well as the popularity of the general public and economic activists and foreign investors in the Tehran Stock Exchange, the relationship between the changes in crude oil prices and STOCK RETURNS is significant. This study examines the coexistence and causal relationship between crude oil prices and Tehran Stock Exchange. It seems that the price of crude oil and the stock exchange is related to the exchange rate in the economy, which in fact changes in the price of crude oil have a direct effect on the exchange rate and the exchange rate changes affect the stock exchange. In order to investigate the hypotheses of this study, data on bourse yield, exchange rate and daily OPEC basket price were used during the period of 1383-1393. Also, to investigate the relationship between the variables, the co-integration test has been used. Finally, the co-integration among the variables has been confirmed, and a long-term relationship between the variables studied has been discovered. In fact, there is a coincidence that there is asymmetry in shifting OIL PRICE CHANGES to stock exchanges. In the opinion of investors, aggregation of stocks and oil prices, the diversification of investment portfolio by holding capital in the oil and gas market simultaneously does not significantly increase market risk and long-term profitability.

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APA: Copy

MIRZAEI, HOSSEIN, DAYANI, MEHDI, ASADI ZEYDABADI, FATEME, & GORJI, LEILA. (2017). THE EFFECT OF OIL PRICE CHANGES ON TEHRAN STOCK EXCHANGE RETURNS BY NON-LINE CO-INTEGRATION TEST. STRATEGIC STUDIES OF PUBLIC POLICY (STRATEGIC STUDIES OF GLOBALIZATION JOURNAL), 7(24 ), 159-177. SID. https://sid.ir/paper/229904/en

Vancouver: Copy

MIRZAEI HOSSEIN, DAYANI MEHDI, ASADI ZEYDABADI FATEME, GORJI LEILA. THE EFFECT OF OIL PRICE CHANGES ON TEHRAN STOCK EXCHANGE RETURNS BY NON-LINE CO-INTEGRATION TEST. STRATEGIC STUDIES OF PUBLIC POLICY (STRATEGIC STUDIES OF GLOBALIZATION JOURNAL)[Internet]. 2017;7(24 ):159-177. Available from: https://sid.ir/paper/229904/en

IEEE: Copy

HOSSEIN MIRZAEI, MEHDI DAYANI, FATEME ASADI ZEYDABADI, and LEILA GORJI, “THE EFFECT OF OIL PRICE CHANGES ON TEHRAN STOCK EXCHANGE RETURNS BY NON-LINE CO-INTEGRATION TEST,” STRATEGIC STUDIES OF PUBLIC POLICY (STRATEGIC STUDIES OF GLOBALIZATION JOURNAL), vol. 7, no. 24 , pp. 159–177, 2017, [Online]. Available: https://sid.ir/paper/229904/en

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