Investigation the effect of the oil price shocks on the stock market performance in Iran

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Zeinoldini Shabnam; KARIMI MOHAMMAD SHARIF; KHANZADI AZAD

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Journal: Financial Economics Year:2020 | Volume:14 | Issue:50 Page(s): 145-169

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Title

Investigation the effect of the oil price shocks on the stock market performance in Iran

Author(s)

Zeinoldini Shabnam | KARIMI MOHAMMAD SHARIF | KHANZADI AZAD | Issue Writer Certificate

Keywords

Tehran Stock ReturnsQ1

Oil PriceQ2

macro-economic variablesQ2

Quantile RegressionQ1

Abstract

This paper aims to investigate the relationship between the changes in real Oil Prices and stock returns. Besides, in this study, the effect of four other macro-economic variables consisting of the inflation rate, exchange rate, interest rate, and industrial production as effective variables on the Tehran stock exchange total price index have been investigated. For this purpose, the annular data from 1988 till 2017 were used. Using the Quantile Regression method, the relationship between stock index return and macro-economic variables has been evaluated. The results show that the change of interest rate has an insignificant influence on the stock index return and Oil Price, industrial production, and the exchange rate has a significant effect. On the other hand, the inflation rate does not have significant influence on this index return. In addition, the Bootstrap re-sampling confirmed the result of the Quantile Regression.

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APA: Copy

Zeinoldini, Shabnam, KARIMI, MOHAMMAD SHARIF, & KHANZADI, AZAD. (2020). Investigation the effect of the oil price shocks on the stock market performance in Iran. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 14(50 ), 145-169. SID. https://sid.ir/paper/379610/en

Vancouver: Copy

Zeinoldini Shabnam, KARIMI MOHAMMAD SHARIF, KHANZADI AZAD. Investigation the effect of the oil price shocks on the stock market performance in Iran. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2020;14(50 ):145-169. Available from: https://sid.ir/paper/379610/en

IEEE: Copy

Shabnam Zeinoldini, MOHAMMAD SHARIF KARIMI, and AZAD KHANZADI, “Investigation the effect of the oil price shocks on the stock market performance in Iran,” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 14, no. 50 , pp. 145–169, 2020, [Online]. Available: https://sid.ir/paper/379610/en

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