Comparative study of impact of oil price and exchange rate volatility on stock price (case study Iran and selected countries

Subject Areas : Applied Economics

کامبیز پیکارجو ¹ , تیمور محمدی ² , موسی تاتار ³

1 - ندارد
2 - ندارد
3 - مسئول مکاتبات

Received: 2011-10-05 Accepted : 2011-11-24 Published : 2011-09-23

Keywords: Stock Price, exchange rate, oil price, Impulse Response Function, Variance Decomposition,

Abstract :

The study examines impact of oil price and exchange rate volatility on stock price of Iran, Mexico, Canada, Norway, Chile, Australia, New Zealand and Swiss. In this study we used Multivariate VAR analysis and monthly data ranging: stock price, oil price and exchange rate over 2000 to 2010. The results of impulse response function show positive response of stock price to an oil price shock in all countries except Swiss. According to variance decomposition analysis in average approximately 67 percent of the variation of stock price explained by stock shocks and exchange rate and oil price contribute 30 and 3 percent respectively. The Granger causality test indicates that causation run from exchange rate and oil price to stock price in New Zealand and Swiss.. A negative response of stock price to an exchange rate shock and positive response of stock price to a generalized impulse shock in all countries except Swiss.