خلاصة:
In this paper we investigate the effect of oil price shocks on stock market index in Iran, by using of a structural VAR (SVAR) approach. We used four variables in the model namely Kilian index, global oil supply, real oil price and real stock market index. The data are monthly and spanning the period 1997M10-2014M12. We identify the effect of four different shocks on stock market including oil supply shock, aggregate demand shock, other oil-specific shock and other stock-specific shock. Empirical evidences from impulse response functions (IRFs) indicate that oil supply shock is not significant, and the impact of other three shocks persists for about 3, 6 and 2 months respectively. Variance decomposition (VD) of stock market index indicates “other stock-specific shock” is the most important explainer of its variations. These findings are consistent with the findings of other oil-exporting countries including Saudi Arabia, Kuwait, Mexico, Norway, Russia, Venezuela and Canada except the effect of oil supply shock in variance decomposition of stock market index.
ملخص الجهاز:
These findings are consistent with the findings of other oil-exporting countries including Saudi Arabia, Kuwait, Mexico, Norway, Russia,Venezuela and Canada except the effect of oil supply shock in variance decomposition of stock market index .
The main goal of this paper is to investigate the oil price shocks on the stock market index in Iran as an oil exporting country.
, 2011; Scholtens and Yurtsever, 2012; Lee et al.
And according to linear–logarithmic model, the logarithm of cash, the price index of Stock market with a lag, Logarithm of oil export incomes of Iran, the exchange rate and the dummy variable affect TEDPIX in Iran.
(2013) examined oil price shocks and stock market activities for oil-importing (US, Japan, Germany, France, UK, Italy, China, Korea and India) and oil-exporting (Saudi Arabia, Kuwait, Mexico, Norway, Russia, Venezuela and Canada) countries.
Their main finding can be summarized as follows: First, the magnitude, duration, and even direction of response by stock market in a country to oil price shocks highly depend on whether the country is a net importer or exporter in the world oil market, and whether changes in oil price are driven by supply or aggregate demand.
Kilian and Park (2009) related stock returns to measures of demand and supply shocks in the world crude oil market.
Except effect of oil supply shock in variance decomposition of real stock market index.
, et al (2013) Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries, Journal of Comparative Economics 41,1220–1239.