Analysis of the the Impact of Symmetric and Asymmetric Shocks of Oil Price on Investor Sentiment in IRAN: Markovs-Switching Approach

Subject Areas : Financial Knowledge of Securities Analysis

Maryam Yosofinezhad ¹ , Hossein Sharifi-Renani ² , Saeed Daei-Karimzadeh ³

1 - Ph.D.Student of Economics, Islamic Azad University, Isfahan (Khorasgan) Branch, Isfahan, Iran
2 - Faculty of Humanities, Islamic Azad university, Isfahan (Khorasgan) Branch
3 - Associate Professor of Economics .Isfahan (Khorasgan)Branch.Islamic Azad University .Isfahan.Iran.

Received: 2022-05-07 Accepted : 2022-05-07 Published : 2022-02-20

Keywords: Positive and Negative Oil Pric, exchange rate, investor sentiment, Markovs-Switching Approach,

Abstract :

According to the special role of oil in the international economy and also the effect fluctuations of this global variable on the performance of financial market and its role in financial dicisions always has been considered by investors.Therefore, the role of oil in the economy is not only for macroeconomic indicators, rather it has affected on the stock market indicators and variables. Also, according to the special role of oil in the economy of Iran and foreign exchange earnings, the stock market can be affected by fluctuations of oil price. Therefore, determining and recognizing the impact of stock price has played a significant role in forcasting and the overall market trend. And it should also be considered important in the level of investor sentiments and desire to invest. One of the components that always fluctuate the investor sentiments is oil price. In countries such as Iran , Which are heavily dependent on oil revenues the effects of oil price fluctuations are also more sever.Considering that the result of oil exports is the entry of currency in to the country and these currencies are used by the government to developthe country.So the exchange rate is one of therelated  categories with investor sentiments.According to the description provided to achieve prosperity and stability development ,studing and recognizing the investor sentiments and the effective factors are special important.Accordingly , in present study using the monthly data for the years from 1391 to 1398 with the approach of markovs swiching  identify the factors affecting the investment.Research results show that fluctuation in oil prices, exchange rate , money supply and consumer price index can be effective on the investor sentiment.

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