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 da More
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).
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Studying the spillover between markets is an important and controversial topic in the financial field. The purpose of this study was to investigate the spillover between OPEC oil prices and the stock market of Iran and GCC countries considering trade cycles and structur More
Studying the spillover between markets is an important and controversial topic in the financial field. The purpose of this study was to investigate the spillover between OPEC oil prices and the stock market of Iran and GCC countries considering trade cycles and structural failure. The data were collected monthly through the OPEC official web site and the archives of each of the countries listed on the stock exchange index from the beginning of 2012 until the end of the first half of 2018, using bivariate GARCH-BEKK, correlation models and Granger Causality test. The results show that the spillover of OPEC oil price volatility without affecting structural breakdown affects the stock markets of the target countries. But when it comes to structural failure, the results will be different. The results of Granger Causality test also show that there is no causal link between OPEC oil price and Tehran Stock Exchange index, but in some of GCC countries such as Saudi Arabia and Bahrain, oil prices at different intervals is due to changes in the stock market index.
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Forecasting the stock market in each period has been difficult and the value of stock trading has been affected by various factors. Among these factors have been the oil and gas sector, especially in countries that depend on the revenue from their sales. On the other ha More
Forecasting the stock market in each period has been difficult and the value of stock trading has been affected by various factors. Among these factors have been the oil and gas sector, especially in countries that depend on the revenue from their sales. On the other hand, the outbreak of Covid-19 pandemic has led to profound changes in both areas. Therefore, in this article, the relationship between oil prices and the Iranian stock market is examined with respect to the prevalence of the Corona pandemic. Understanding the behavior dynamics of the stock exchange value index can help to more accurately predict the future behavior of this variable. Accordingly, the main purpose of this paper is to analyze the asymmetric relationship between oil prices, as well as the simultaneous impact of the corona pandemic news and the rate of corona virus infection on the value of the Iranian stock exchange. In the present paper, nonlinear Autoregressive Distributed Lag (NARDL) in the time period (1399: 05: 15-1398: 11: 30) has been used. The results show that in the long run, rising oil prices have a significant asymmetric effect on stock exchange value. On the other hand, in the short run, the rate of Covid-19 patients has a positive relationship without meaning and the Covid-19 media index has a negative relationship with meaning with the value of stock exchange trading.
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Investing in the stock market is very important as a profitable opportunity in the economy. The purpose of this article is to investigate the asymmetry in the amount and direction of the influence of exchange rate impulses and global crude oil prices on stock returns in More
Investing in the stock market is very important as a profitable opportunity in the economy. The purpose of this article is to investigate the asymmetry in the amount and direction of the influence of exchange rate impulses and global crude oil prices on stock returns in the Tehran Stock Exchange. For this purpose, daily data (2011:11:26--2021:3:19) and the Nonlinear Autoregressive Distributed Lag Model approach of NARDL have been used. The results of Pesaran et al.'s co-integration test (2001) showed the existence of long-term relationship between stock returns with exchange rate and global crude oil price. In the following, based on the results of the Wald test and the research model, the asymmetric effects of exchange rate shocks on stock returns in the short and long term were confirmed. In the short term, positive exchange rate impulses on stock returns were not significant. Also, in the long term, the effect of negative exchange rate shocks is more than its positive shocks on stock returns. The impact of oil prices on stock returns was confirmed in the short term. The findings of the research showed that the exchange rate has a greater impact on stock returns in the Tehran Stock Exchange than the price of oil.
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The purpose of this paper is to investigate the long-term and short-term relationships between the behavior of gas and oil prices in regional markets and their impact on each other using the VECM correction method during the period 2000-2019. For this purpose, due to th More
The purpose of this paper is to investigate the long-term and short-term relationships between the behavior of gas and oil prices in regional markets and their impact on each other using the VECM correction method during the period 2000-2019. For this purpose, due to the wide range of variables in each region, proxy technique has been used to analyze the markets of gas and oil regions. The findings show that among the regional prices of the gas and oil market in Asia and Europe (unlike the US market), due to the relationship of aggregation, the influence of oil market fluctuations is very high. Due to the importance of the role of financial markets in facilitating oil and gas transactions, it is suggested that the major supply of oil and gas through the energy exchange be considered.
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This paper investigates the threshold effect of oil prices on bilateral trade balances in Iran and 14 main trading countries during 1992 - 2010 by using a Panel Smooth Transition Regression (PSTR) model. oil prices is selected as the variable of transition. The empirica More
This paper investigates the threshold effect of oil prices on bilateral trade balances in Iran and 14 main trading countries during 1992 - 2010 by using a Panel Smooth Transition Regression (PSTR) model. oil prices is selected as the variable of transition. The empirical results indicate a strong nonlinear relationship between the trade balance and dependent variables. The threshold value and transition parameter are -0.44 and 12.99 representing the average adjustment speed. Moreover, it is sufficient to consider one transition function by one threshold to estimate a nonlinear model. In the first regime, oil prices have a positive impact on the trade balance. This effect becomes negative when passing from the threshold value and in the second regime. The results suggest that by high levels of oil prices, the increases have a negative impact on bilateral trade balances indicating that the dependence of economy on oil should be reduced.
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نوسانات قیمت نفت، منبع اصلی آشفتگی اقتصاد کشورهای متکی به درآمدهای نفتی بوده و اقتصاد کشورهای واردکننده و صادرکننده نفت را متاثر میکند. بررسی آثار شوک نفتی در تحقیقات مختلف بررسی شده و در این پژوهش برای نخستین بار به بررسی تأثیر قیمت نفت بر رشد اقتصادی، تورم، بیکاری و More
نوسانات قیمت نفت، منبع اصلی آشفتگی اقتصاد کشورهای متکی به درآمدهای نفتی بوده و اقتصاد کشورهای واردکننده و صادرکننده نفت را متاثر میکند. بررسی آثار شوک نفتی در تحقیقات مختلف بررسی شده و در این پژوهش برای نخستین بار به بررسی تأثیر قیمت نفت بر رشد اقتصادی، تورم، بیکاری و کسری بودجه در ایران پرداخته شده که از نظر جامعیت، دارای نوآوری میباشد. نوع دادهها به صورت سری زمانی سالانه بوده و جامعه آماری شامل رشد اقتصادی، تورم، بیکاری و کسر بودجه در کشور ایران از سال 1363 تا 1398 بود. نتایج نشان داد که شوک قیمت نفتی بر رشد اقتصادی و بیکاری تأثیر مستقیم داشته و بر تورم و کسری بودجه تأثیری نداشته است. بدین صورت که هرگونه تغییر ناگهانی بر قیمت نفت، میتواند آثار سوء بر رشد اقتصادی و بیکاری دارد. البته دوره دو ساله پایانی این تحلیل، به فشار حداکثری آمریکا علیه ایران مرتبط بوده که این اثر در مطالعات لحاظ نگردیده و پیشنهاد میشود که در تحقیقات آتی مورد استفاده قرار گیرد.
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Abstract
The macroeconomic variables have been affected by the volatilities and changes in oil price in the world countries and they have faced with serious challenges and lead to consider various tactics to avoid the negative effects of these shocks. However the instability of the oil market will make long-run planning impossible for policy making which is based on oil revenues in the oil exporting countries. Hence the purpose of this study is to evaluate the effect of volatility of oil price on the trade balance in Iranian economy during 1357-1390 with ARDL method.
The results of this study indicate that the coefficients of oil prices and the output gap are significant in the 95% level and their relationships are negative with the trade balance. Moreover, the coefficient of exchange rate on the trade balance is positive and is statistically significant in 99% level. According the estimated relationship between oil price and the trade balance, policymakers can adopt suitable strategies in the face of volatiles in oil price and utilize it in economic development, codify social programs, set the annual budgets of the country and design appropriate policies to maintain economic stability.
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This study deals with the changing trend of producing petroleum by non-member states and its effect on the global price of the petroleum. Using vector error correction model, the hypothesis of this research, i.e., " the petroleum supplied by OPEC non-member states is on More
This study deals with the changing trend of producing petroleum by non-member states and its effect on the global price of the petroleum. Using vector error correction model, the hypothesis of this research, i.e., " the petroleum supplied by OPEC non-member states is one of the factors affecting the price of petroleum in the global markets", have been studied. The period of study starts 1991 to the end of 2006 and the variables are used on a seasonal basis. The results of the static experiment, Johansson convergence test and the vector error correction model suggest that there has been a convergent relationship between the petroleum supply variable in the non-OPEC member states and the price of petroleum both in the long run and short term and there is a negative relationship between the variable of petroleum supply by nonmember states on the variable of price and this proves the hypothesis.
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Today, markets, especially the coin market, are one of the most important sectors of the economy. What we are seeing today is that a conventional economy cannot respond to immediate market decisions, we have to accept that our economy is traditional; We can not manage t More
Today, markets, especially the coin market, are one of the most important sectors of the economy. What we are seeing today is that a conventional economy cannot respond to immediate market decisions, we have to accept that our economy is traditional; We can not manage the market based on traditional theories, the attitudes of people and the environment and cultural influences affect the market, markets are always a reflection of our performance, they show the impact of our performance. The main purpose of this study is to investigate the factors affecting coin market fluctuations and their ranking in Iran during the years 94 to 97.The present research is correlational in terms of applied purpose and descriptive research method. The statistical population studied in this study is the Iranian coin market (gold price) during the years 1394 to 1397. The results show that changes in gold prices have a positive and significant effect on exchange rate changes at the level of 5%.
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