چکیده:
hile the relationship between stock market return and oil price is ofgreat interest to researchers, previous studies do not investigate stock market return with petrochemical products market. In this paper, we analyzed the relationship between prices of main petrochemical products and stock returns of petrochemical companies in Tehran stock exchange. Using a panel data model and GLS estimation method, we investigated the effect of methanol, propane, and urea prices along with financial variables on stock returns of six big petrochemical companies during 2001 to 2013. Results show that although changes in prices of petrochemical products have direct effect on stock returns of all petrochemical companies, this effect is much higher for smaller companies.
خلاصه ماشینی:
"Using a panel data model and GLS estimation method, we investigated the effect of methanol, propane, and urea prices along with financial variables on stock returns of six big petrochemical companies during 2001 to 2013.
The relationship between energy and stock market has widely been studied during the last few decades, but the concentration has been on the effect of oil price volatility on various economic variables (Cong et al.
2. Literature Review Many researchers have concentrated on the relationship between oil price changes and stock market returns in different countries.
Nguyen & Bhatti (2012) studied the relationship between oil price and China and Vietnam stock markets using Copula model.
Park & Ratti (2008) studied oil price shocks and stock markets in United States and other 13 European countries.
In addition to petrochemical products prices, other internal and external factors such as overall return of market, earning per share of each company, and a dummy variable for 2008 global economic crisis are also used as Table 1: Review of Method and Findings of Previous Researches Author Method Core analysis Chang et al.
As GLS estimator is more efficient than inter-group estimator (LSD), Under H0 hypothesis we have: (̂ ) − (̂ ) ≥ 0 Based on assumptions given for estimating stock return of considered companies, we have to define prices of petrochemical products as independent variables in the model.
Review of previous studies showed that researchers have mostly concentrated on investigating the effect of oil price fluctuations on overall return of stock markets."