Investigating the Correlation Between Crude Oil Prices and the Stock Market in Iran: A multivariate GARCH approach and wavelet

Subject Areas : Financial Economics

Nasim Amin ¹ , Roya Aleemran ² , Rasoul Baradaran Hassanzadeh ³ , Amir Ali Farhang ⁴

1 - Department of Economics, Tabriz branch, Islamic Azad University, Tabriz, Iran,
2 - Department of Economics, Tabriz Branch, Islamic Azad University, Tabriz, Iran (corresponding author
3 - Accounting Department,Tabriz Branch ,Islamic Azad University
4 - Department of Economics, Payam Noor University, Iran

Received: 2023-07-12 Accepted : 2023-08-30 Published : 2023-09-23

Keywords: Stock, Multivariate GARCH, Key Words: Oil, Wawlet, Iran JELcode: C58, D53,

Abstract :

Abstract The purpose of this article is to investigate the correlation between TEPIX index and Brent oil prices in the weekly period from September 2009 to December 2016. In this regard, the DCC-GARCH and CWT approachs have been used. The results show the correlation between the two indicators changes under the influence of economic and political conditions of society. Also, this situation is affected by the corona pandemic conditions from February 2020 to May 2020, so that in this period the correlation between the two indicators is negative and in the period before and after this period is positive. The results of the wavelet approach also show the dependence between the market pairs under study is low in the short term and higher in some periods in the medium and long term. Therefore, investors should invest in these two markets, depending on the time horizon and the economic and political conditions.

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