Dynamic Correlation between Oil Markets and Financial Markets and Oil and Petrochemical Industries in Iran

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GHASEMI ABDOLRASOUL; MOHAMADI TEYMOUR; Hossein Tavakolian; Sadeghein Ali

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Journal: ENERGY ECONOMICS REVIEW Year:2020 | Volume:16 | Issue:65 Page(s): 1-34

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Title

Dynamic Correlation between Oil Markets and Financial Markets and Oil and Petrochemical Industries in Iran

Author(s)

GHASEMI ABDOLRASOUL | MOHAMADI TEYMOUR | Hossein Tavakolian | Sadeghein Ali | Issue Writer Certificate

Keywords

Brent OilQ1

Financial MarketsQ2

PortfolioQ1

Risk ManagementQ2

volatility spilloversQ1

Abstract

In this paper we study the effect of volatility in Brent Oil prices on the important indices of Financial Markets in Iran, as well as the return on gold, from 2008 to 2018 using the Multivariate Exponential GARCH Model (MVEGARCH). We also use the ADCC-FIGARCH model to examine the asymmetric dynamic conditional correlation between Brent Oil prices and Financial Markets in Iran. The results of this study indicate significant volatility spillovers and dynamic correlation between Brent Oil volatility and Financial Markets and oil and petrochemical industries in Iran. In addition, Portfolio diversification is effective in reducing risk, and the optimal asset weight and hedging are entirely dependent on financial market conditions. The experimental results of this study reveal that adding the Brent index to the model increases Portfolio yields and decreases their risk. We find the addition of Brent prices to be most helpful in Risk Management during periods of financial crisis. In addition, the dynamic correlation coefficient between Brent Oil and gold fluctuations is about 0. 26 and this coefficient for Brent Oil and Tehran stock exchange index is about 0. 08.

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APA: Copy

GHASEMI, ABDOLRASOUL, MOHAMADI, TEYMOUR, Hossein, Tavakolian, & Sadeghein, Ali. (2020). Dynamic Correlation between Oil Markets and Financial Markets and Oil and Petrochemical Industries in Iran. ENERGY ECONOMICS REVIEW, 16(65 ), 1-34. SID. https://sid.ir/paper/371193/en

Vancouver: Copy

GHASEMI ABDOLRASOUL, MOHAMADI TEYMOUR, Hossein Tavakolian, Sadeghein Ali. Dynamic Correlation between Oil Markets and Financial Markets and Oil and Petrochemical Industries in Iran. ENERGY ECONOMICS REVIEW[Internet]. 2020;16(65 ):1-34. Available from: https://sid.ir/paper/371193/en

IEEE: Copy

ABDOLRASOUL GHASEMI, TEYMOUR MOHAMADI, Tavakolian Hossein, and Ali Sadeghein, “Dynamic Correlation between Oil Markets and Financial Markets and Oil and Petrochemical Industries in Iran,” ENERGY ECONOMICS REVIEW, vol. 16, no. 65 , pp. 1–34, 2020, [Online]. Available: https://sid.ir/paper/371193/en

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