THE IMPACT OF OIL SHOCKS ON TEHRAN STOCK EXCHANGE’S RETURN

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ABBASINEJAD HOSSEIN; EBRAHIMI SAJAD

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Journal: Journal of Economic Research and Policies Year:2014 | Volume:21 | Issue:68 Page(s): 83-108

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Information Journal Paper

Title

THE IMPACT OF OIL SHOCKS ON TEHRAN STOCK EXCHANGE’S RETURN

Author(s)

ABBASINEJAD HOSSEIN | EBRAHIMI SAJAD | Issue Writer Certificate

Keywords

STOCK RETURNQ2

OIL PRICE VOLATILITYQ2

MARKOV-SWITCHING MODELQ2

WAVELET ANALYSISQ2

Abstract

In this paper we study how oil price and OIL PRICE VOLATILITY affect STOCK RETURN and volatility of STOCK RETURN. In order to assess this effect Markov- Switching model has been used and furthermore HP filter, GARCH model and WAVELET ANALYSIS model have been used for extracting OIL PRICE VOLATILITY. Comparison of results shows that Wavelet method has more accurate and detailed results. Furthermore results show that oil price increases do not have significant effect on STOCK RETURNs and only will decrease of STOCK RETURN volatility. However OIL PRICE VOLATILITY in D1 (t) scale that extracting from Wavelet decomposition do not has significant effect on STOCK RETURN, but OIL PRICE VOLATILITY in D2 (t) and D3 (t)scales have positive effect on STOCK RETURN in market boom condition. In addition, results show that, transition matrix is sensitive to scaling on OIL PRICE VOLATILITY.

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APA: Copy

ABBASINEJAD, HOSSEIN, & EBRAHIMI, SAJAD. (2014). THE IMPACT OF OIL SHOCKS ON TEHRAN STOCK EXCHANGE’S RETURN. JOURNAL OF ECONOMIC RESEARCH AND POLICIES, 21(68), 83-108. SID. https://sid.ir/paper/89584/en

Vancouver: Copy

ABBASINEJAD HOSSEIN, EBRAHIMI SAJAD. THE IMPACT OF OIL SHOCKS ON TEHRAN STOCK EXCHANGE’S RETURN. JOURNAL OF ECONOMIC RESEARCH AND POLICIES[Internet]. 2014;21(68):83-108. Available from: https://sid.ir/paper/89584/en

IEEE: Copy

HOSSEIN ABBASINEJAD, and SAJAD EBRAHIMI, “THE IMPACT OF OIL SHOCKS ON TEHRAN STOCK EXCHANGE’S RETURN,” JOURNAL OF ECONOMIC RESEARCH AND POLICIES, vol. 21, no. 68, pp. 83–108, 2014, [Online]. Available: https://sid.ir/paper/89584/en

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