The Impact of Oil Price Shocks on the Stock Returns of Tehran Stock Exchange (TSE)

Subject Areas : Financial Knowledge of Securities Analysis

کیومرث شهبازی ¹ , ابراهیم رضایی ² , یاور صالحی ³

1 - مسئول مکاتبات
2 - ندارد
3 - ندارد

Received: 2012-11-05 Accepted : 2013-03-10 Published : 2013-09-11

Keywords: Stock Returns, oil prices, demand shocks, supply shocks,

Abstract :

The objective of this study is to investigate the influence of the oil shocks caused bycrude oil supply and demand on stock returns of Tehran Stock Exchange (TSE). For thispurpose, a Structural Vector Autoregressive model (SVAR) has been estimated based onthe monthly data (1991 to 2010) including world crude oil supply, world demand forindustrial products, real price of the crude oil and real stock returns in TSE variables.Fluctuations of the real price of the crude oil are attributed to three structural shocks:World crude oil supply shocks, world crude oil demand shocks and world industrialproducts demand shocks. Furthermore, effects of these shocks on the real stock returns ofTSE have been studied in this study. The results show that the oil supply shock has nosignificant impact on the stock returns, but the global demand shock and the oil specificdemand shock have a significantly positive impact on the Stock Returns of Tehran StockExchange (TSE).

References:

صمدی، سعید، شیرانی فخر، زهرا و داورزاده، مهتاب (1386)، "بررسی میزان اثر¬پذیری شاخص قیمت سهام بورس اوراق بهادار تهران از قیمت جهانی نفت و طلا" فصلنامه بررسی-های اقتصادی، دوره 4، شماره2، 25-51.
    کشاورز حداد، غلام رضا و معنوی، حسن " تعامل بازار سهام و ارز در ایران با تأکید بر تکانه¬های نفتی" فصلنامه پژوهش¬های اقتصادی ایران، سال دوازدهم، شماره 37، 137-169.
    صادقی حسین، کیوان شهاب لواسانی و محمود باغجری (1389)، اثرات تعدیل قیمت حامل-های انرژی بر متغیرهای کلان اقتصادی با استفاده از یک مدل خودرگرسیون برداری ساختاری (SVAR)، فصلنامه تحقیقات مدل-سازی اقتصادی، سال اول، شماره 1، 76-49.
    Akanni Olomola Philip (2007), “Oil wealth and economic growth in oil exporting African countries”, AERC Research Paper 170, African Economic Research Consortium.
    Balke, N. S., Brown, S. P. A., Yucel, M. K. (2002), “Oil price shocks and the U.S. Economy: where does the asymmetry originate ?” Energy Journal 23(3), 27-52.
    Blanchard; Oliver and Danny Quah. (1989) The Dynamic Effect of Aggregate Demand and Supply Disturbances, American Economic Review 79, 655-673.
    Chen, N.-F., R. Roll, and  S. A. Ross, (1986) “Economic Forces and the Stock Market,” Journal of Business 59, 383–403.
    Clarida,R., Gali,J. (1994). “Sources of Real Exchange Rate Fluctuation: How Important Are Nominal Shocks? ” Carenegie-Rocherester Conference Series on Public Policy 41,1-56.
    Cong, R.G, Wei, Y.M, Jiao, J.L and Y. Fan (2008). Relationships between oil price shocks and stock market: An empirical analysis from China. Energy Policy, 36, pp.3544– 3553.
    Hamilton, J. D. (1983), “Oil and Macroeconomy Since Word War II,” Journal of Political Economy 92, 228-248.
    Huang, R.D., Masulis, R.W. and H.R. Stoll, (1996), “Energy shocks and financial markets“, Journal of Futures Markets, Vol. 16, No. 1, 1-27.
    Jones, C. M., Kaul, G., (1996). “Oil and the Stock Market.” Journal of Finance 51, 463-491.
    Kilian, L (2011), “Structural vetor autoregresions,” Working paper, University of Michigan.
    26- Kilian, L. and C. Park (2009), “The Impact of Oil Price Shocks on the U.S. Stock Market”, International Economic Review, forthcoming.
    Kilian, L. (2008), “Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market,” American Economic Review, 99:3, 1053–1069.
    Kilian, L. (2009), “The Impact of Oil Price Shocks on The U.S. Stock Market” , American Economic Review, Vol. 50, No. 4, November.
    Kling, J. L., (1985) “Oil Price Shocks and Stock-Market Behavior,” Journal of Portfolio Management  12, 34–9.
    Mory .J.F(1993). “Oil prices and Economic Activity: is the relationship symmetric?”,The Energy Journal14, page151-161.
    O’ Neil, T. J., J. Penm, and R. D. Terrell (2008), “The Role Higher Oil Prices: A Case of Major Developed Countries,” Research in Finance 24, 287-299.
    Park, J. and R. A. Ratti (2008), “Oil Price Shock Markets in the U.S. and 13 European Countries,” Energy Economics, 30, 2587-2608.
    Sadorsky, P., (1999). “Oil Price Shocks and Stock Market Activity.” Energy Economics 21, 449-469.
    Sadorsky, Perry(2003) The Macroeconomic Determinants of Technology Stock Price Volatility; Review of Financial Economics, Volume 12, Issue 2, PP. 191-205.
    Wei, C. (2003), “Energy, the Stock Market, and the Putty-Clay Investment Model,” American Economic Review 93, 311-323