Relationship Between Oil Prices Shocks And Stock Price Indexes In Iran
Ключові слова:
Ціни на нафту, процентні ставки, ринкова інтеграція, причинний зв'язок, коінтеграція, векторна авторегресія
Анотація
Дослідження розглядає довгострокову та короткотермінову динаміку цін на нафту, процентних ставок та цін на акції в Ірані за останній 15-річний період 1999-2014 років. Використовуючи тест інтеграції Джохансена, ми знаходимо існування довгострокових відносин рівноваги між ринком нафти та ринком капіталу в Ірані. Короткострокова динаміка між двома ринками аналізується за допомогою автоматичної регресії, причинності VAR. Ми знаходимо односпрямованість причинності від ринку капіталу до ринку нафти. Вплив доміно вгору на ринку капіталу є позитивним для нафтового ринку і залишається статистично значущим протягом декількох тижнів, при цьому має протилежну тенденцію до іноземних процентних ставок. Ці результати мають більш широкі наслідки для інтеграції ринку, політиків та аналітиків у цілому. Оскільки ці ринки є інтегрованими, а не сегментованими, з точки зору інвестицій, скорочення ризику не може бути досягнуто в довгостроковій перспективі шляхом утримання активів з цих ринків в одному портфелі. Однак можливості короткострокової диверсифікації не виключаються.
Завантаження
Дані завантаження ще не доступні.
Посилання
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2. Arouri Mohamed El Hedi, Lahiani Amine, Nguyen DucKhuong (2011), “Return and volatility transmission between world oil prices and stock markets of the GCC countries”, Economic Modelling 28: 1815–1825.
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4. Berument, M. Hakan, NildagBasakCeylan, and NukhetDogan. 2010. The impact of oil price shocks on the economic growth of selected MENA countries. Energy Journal 31 (1): 149-76.
5. Chen Shiu-Sheng (2010) “Do higher oil prices push the stock market into bear territory?”, Energy Economics, 32: 490–495.
6. ElyasianiElyas, Mansur Iqbal, OdusamiBabatunde (2011), “Oil price shocks and industry stock returns” Energy Economics, 33: 966–974.
7. Fayyad Abdallah, Daly Kevin (2011), “The impact of oil price shocks on stock market returns: Comparing GCC countries with the UK and USA”, Emerging Markets Review, 12: 61–78.
8. Filis George, Degiannakis Stavros, Floros Christos (2011), “Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries”, International Review of Financial Analysis, 20: 152–164.
9. Ghobadi, Mohsen. 2014. “PROFITABILITY OF TECHNICAL ANALYSIS INDICATORS TO EARN ABNORMAL RETURNS IN INTERNATIONAL EXCHANGE MARKETS.” International Scientific Journal Theoretical & Applied Science. ISSN: 2308-4944. Year: 2014 Issue: 11 Volume: 19 . 20-26.
10. Ghosh, Neal, Chris Varvares, and James Morley. 2009. The effects of oil price shocks on output. Business Economics : The Journal of the National Association of Business Economists. 44 (4): 220.
11. Hamilton, James D. 2009. Causes and consequences of the oil shock of 2007–08. Brookings Papers on Economic Activity 1 : 215-61.
12. Jimenez-Rodriguez, Rebeca, and Marcelo Sanchez. 2009. Oil shocks and the macro-economy:A comparison across high oil price periods. Appl.Econ.Lett.Applied Economics Letters 16 (16): 1633-8.
13. Jimenez-Rodriguez, Rebeca. 2008. The impact of oil price shocks: Evidence from the industries of six OECD countries. Energy Economics 30 (6): 3095-108.
14. Kilian, Lutz. 2009. Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. American Economic Review 99 (3): 1053-69.
15. Malik Farooq, Ewing Bradley T. (2009), “Volatility transmission between oil prices and equity sector returns”, International Review of Financial Analysis, 18: 95-100
16. Masih Rumi, Peters Sanjay, Mello Lurion De (2011), “Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea”, Energy Economics, 33: 975–986
17. Mohanty Sunil K., Nandha Mohan, Turkistani Abdullah Q., AlaitaniMuhammed Y. (2011), “Oil price movements and stock market returns: Evidence from Gulf Cooperation Council (GCC) countries”, Global Finance Journal, 22: 42–55
18. Narayan Paresh Kumar, Sharma Susan Sunila (2011), “New evidence on oil price and firm returns”, Journal of Banking & Finance, 35: 3253–3262
19. Report on global foreign exchange market activity in 2010” downloaded from http://www.bis.org/publ/rpfxf10t.pdf.
20. SharifiFar, Ghobadi. 2015. “EFFECT OF U.S DOLLAR RATE SHOCKS ON TSE MAIN INDICES REACTION” International Scientific Journal Theoretical & Applied Science. ISSN: 2308-4944. Year: 2015 Issue: 02 Volume: 22 . 88-95.
21. Zhang C. and Chen X.(2011), “The impact of global oil price shocks on China’s stock returns: Evidence from the ARJI(-ht)-EGARCH model”, Energy, doi:10.1016/j.energy.2011.08.052: 1-7.
22. Zhang,Y-F., Fan,Y., Tsai,H-T. andWei,Y-M. (2008), “Spillover effect of US dollar interest rate on oil prices”, Journal of Policy Modeling, 30: 973-991
2. Arouri Mohamed El Hedi, Lahiani Amine, Nguyen DucKhuong (2011), “Return and volatility transmission between world oil prices and stock markets of the GCC countries”, Economic Modelling 28: 1815–1825.
3. Basher Syed Abul, Haug Alfred A., Sadorsky Perry(2010), “Oil Prices, Interest rates and Emerging Stock Markets”, Economic Discussion Papers (September 2010) doi:10.1016/j.eneco.2011.10.005 downloaded from www.business.otago.ac.nz/econ/ research/.../DP_1014.pdf.
4. Berument, M. Hakan, NildagBasakCeylan, and NukhetDogan. 2010. The impact of oil price shocks on the economic growth of selected MENA countries. Energy Journal 31 (1): 149-76.
5. Chen Shiu-Sheng (2010) “Do higher oil prices push the stock market into bear territory?”, Energy Economics, 32: 490–495.
6. ElyasianiElyas, Mansur Iqbal, OdusamiBabatunde (2011), “Oil price shocks and industry stock returns” Energy Economics, 33: 966–974.
7. Fayyad Abdallah, Daly Kevin (2011), “The impact of oil price shocks on stock market returns: Comparing GCC countries with the UK and USA”, Emerging Markets Review, 12: 61–78.
8. Filis George, Degiannakis Stavros, Floros Christos (2011), “Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries”, International Review of Financial Analysis, 20: 152–164.
9. Ghobadi, Mohsen. 2014. “PROFITABILITY OF TECHNICAL ANALYSIS INDICATORS TO EARN ABNORMAL RETURNS IN INTERNATIONAL EXCHANGE MARKETS.” International Scientific Journal Theoretical & Applied Science. ISSN: 2308-4944. Year: 2014 Issue: 11 Volume: 19 . 20-26.
10. Ghosh, Neal, Chris Varvares, and James Morley. 2009. The effects of oil price shocks on output. Business Economics : The Journal of the National Association of Business Economists. 44 (4): 220.
11. Hamilton, James D. 2009. Causes and consequences of the oil shock of 2007–08. Brookings Papers on Economic Activity 1 : 215-61.
12. Jimenez-Rodriguez, Rebeca, and Marcelo Sanchez. 2009. Oil shocks and the macro-economy:A comparison across high oil price periods. Appl.Econ.Lett.Applied Economics Letters 16 (16): 1633-8.
13. Jimenez-Rodriguez, Rebeca. 2008. The impact of oil price shocks: Evidence from the industries of six OECD countries. Energy Economics 30 (6): 3095-108.
14. Kilian, Lutz. 2009. Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. American Economic Review 99 (3): 1053-69.
15. Malik Farooq, Ewing Bradley T. (2009), “Volatility transmission between oil prices and equity sector returns”, International Review of Financial Analysis, 18: 95-100
16. Masih Rumi, Peters Sanjay, Mello Lurion De (2011), “Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea”, Energy Economics, 33: 975–986
17. Mohanty Sunil K., Nandha Mohan, Turkistani Abdullah Q., AlaitaniMuhammed Y. (2011), “Oil price movements and stock market returns: Evidence from Gulf Cooperation Council (GCC) countries”, Global Finance Journal, 22: 42–55
18. Narayan Paresh Kumar, Sharma Susan Sunila (2011), “New evidence on oil price and firm returns”, Journal of Banking & Finance, 35: 3253–3262
19. Report on global foreign exchange market activity in 2010” downloaded from http://www.bis.org/publ/rpfxf10t.pdf.
20. SharifiFar, Ghobadi. 2015. “EFFECT OF U.S DOLLAR RATE SHOCKS ON TSE MAIN INDICES REACTION” International Scientific Journal Theoretical & Applied Science. ISSN: 2308-4944. Year: 2015 Issue: 02 Volume: 22 . 88-95.
21. Zhang C. and Chen X.(2011), “The impact of global oil price shocks on China’s stock returns: Evidence from the ARJI(-ht)-EGARCH model”, Energy, doi:10.1016/j.energy.2011.08.052: 1-7.
22. Zhang,Y-F., Fan,Y., Tsai,H-T. andWei,Y-M. (2008), “Spillover effect of US dollar interest rate on oil prices”, Journal of Policy Modeling, 30: 973-991
Переглядів анотації: 89 Завантажень PDF: 30
Опубліковано
2015-09-04
Як цитувати
(1)
Ghobadi, M.; Sharifi, E. Relationship Between Oil Prices Shocks And Stock Price Indexes In Iran. fp 2015, 92-101.
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