STOCK MARKET AND EXCHANGE RATES INTERACTIONS WITH RESPECT TO OIL SHOCKS

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KESHAVARZ HADAD GH.R.; MANAVI S.H.

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Journal Paper

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Journal: Iranian Journal of Economic Research Year:2009 | Volume:10 | Issue:37 Page(s): 155-177

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Information Journal Paper

Title

STOCK MARKET AND EXCHANGE RATES INTERACTIONS WITH RESPECT TO OIL SHOCKS

Author(s)

KESHAVARZ HADAD GH.R. | MANAVI S.H. | Issue Writer Certificate

Keywords

FINANCIAL ECONOMICSQ3

STOCK MARKETQ2

EXCHANGE MARKETQ3

CAUSALITY RELATIONSHIPQ2

OIL SHOCKSQ2

Abstract

This study examines short run dynamic linkages between exchange rates and stock prices in for an oil exporting country of Iran, during upward and downward periods of oil price for the period 1999 to 2006. We consider two normal and crisis periods with respect to the STOCK MARKET activities. We use a VAR model and the Granger causality tests developed by Toda and Yamamoto (1995). Our results show that there is a significant causal relation from oil prices to stock prices and then from stock prices to exchange rates during the periods of increasing oil prices periods. Furthermore, we do not find a significant causality between stock prices and exchange rates during these increasing oil price periods. during the crisis period, however, the interactions between markets would collapse.

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APA: Copy

KESHAVARZ HADAD, GH.R., & MANAVI, S.H.. (2009). STOCK MARKET AND EXCHANGE RATES INTERACTIONS WITH RESPECT TO OIL SHOCKS. IRANIAN ECONOMIC RESEARCH, 10(37), 155-177. SID. https://sid.ir/paper/2594/en

Vancouver: Copy

KESHAVARZ HADAD GH.R., MANAVI S.H.. STOCK MARKET AND EXCHANGE RATES INTERACTIONS WITH RESPECT TO OIL SHOCKS. IRANIAN ECONOMIC RESEARCH[Internet]. 2009;10(37):155-177. Available from: https://sid.ir/paper/2594/en

IEEE: Copy

GH.R. KESHAVARZ HADAD, and S.H. MANAVI, “STOCK MARKET AND EXCHANGE RATES INTERACTIONS WITH RESPECT TO OIL SHOCKS,” IRANIAN ECONOMIC RESEARCH, vol. 10, no. 37, pp. 155–177, 2009, [Online]. Available: https://sid.ir/paper/2594/en

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