ASSESSING THE EFFECTS OF OIL PRICE SHOCKS ON TEHRAN EXCHANGE STOCK RETURNS: USING WAVELET DECOMPOSITION AND MARKOV SWITCHING

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HOSSEINI NASAB EBRAHIM; KHEZRI MOHSEN; RASOLI AHMAD

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Journal: ENERGY ECONOMICS REVIEW Year:2011 | Volume:8 | Issue:29 Page(s): 30-60

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Title

ASSESSING THE EFFECTS OF OIL PRICE SHOCKS ON TEHRAN EXCHANGE STOCK RETURNS: USING WAVELET DECOMPOSITION AND MARKOV SWITCHING

Author(s)

HOSSEINI NASAB EBRAHIM | KHEZRI MOHSEN | RASOLI AHMAD | Issue Writer Certificate

Keywords

WAVELET ANALYSISQ2

OIL SHOCKSQ2

REGIME SWITCHESQ2

TEHRAN EXCHANGEQ2

Abstract

Given the impact of oil price volatility on different aspects of Iranian economy and importance of financial markets in growth and economic development, this paper studies the impact of oil price shocks on stock returns of Tehran Stock Exchange over the period from February 1997 to August 2009. The study uses WAVELET ANALYSIS (in order to reduce noise of time series data) and Markov Switching Vector Autoregressive (MS-AR) approach. We show that oil price shocks positively affect stock returns during bull markets whether with high or low volatiliy and recession phases of stock return with high volatility. However, oil price shocks have a negative correlation with stock returns during recession phases of stock returns with limited volatility. The empirical findings will prove extremely useful to investors and policy makers who need to detect the exact effect of oil price changes on stocks return.

Cites

THE EFFECT OF MACROECONOMIC VARIABLES(OIL PRICES, EXCHANGE RATES AND SWELLING) PERFORMANCE OF LISTED COMPANIES IN TEHRAN STOCK EXCHANGE (TSE)

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APA: Copy

HOSSEINI NASAB, EBRAHIM, KHEZRI, MOHSEN, & RASOLI, AHMAD. (2011). ASSESSING THE EFFECTS OF OIL PRICE SHOCKS ON TEHRAN EXCHANGE STOCK RETURNS: USING WAVELET DECOMPOSITION AND MARKOV SWITCHING. ENERGY ECONOMICS REVIEW, 8(29), 30-60. SID. https://sid.ir/paper/99514/en

Vancouver: Copy

HOSSEINI NASAB EBRAHIM, KHEZRI MOHSEN, RASOLI AHMAD. ASSESSING THE EFFECTS OF OIL PRICE SHOCKS ON TEHRAN EXCHANGE STOCK RETURNS: USING WAVELET DECOMPOSITION AND MARKOV SWITCHING. ENERGY ECONOMICS REVIEW[Internet]. 2011;8(29):30-60. Available from: https://sid.ir/paper/99514/en

IEEE: Copy

EBRAHIM HOSSEINI NASAB, MOHSEN KHEZRI, and AHMAD RASOLI, “ASSESSING THE EFFECTS OF OIL PRICE SHOCKS ON TEHRAN EXCHANGE STOCK RETURNS: USING WAVELET DECOMPOSITION AND MARKOV SWITCHING,” ENERGY ECONOMICS REVIEW, vol. 8, no. 29, pp. 30–60, 2011, [Online]. Available: https://sid.ir/paper/99514/en

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