The Impact of Symmetric and Asymmetric Oil Shocks on the Total Price Index in the Tehran Stock Exchange Market

اقتصاد پولی مالی

Article 2, Volume 21, Issue 8, January 2015, Pages 30-61   

Document Type: پژوهشی

DOI: 10.22067/pm.v21i8.45852

Authors

ali hassanzadeh^* ; Mehran Kianvand

Abstract

Abstract
With regarding importance of oil price changes in oil income variation and their impressions in Iran oil dependent economy, in this paper, we investigate the impacts of oil price shocks on the main stock exchange index (stock price index) in Iran as an oil exporting country.
Our data cover monthly time series from 1991:4 to 2011:12. For investigating the relationship between oil price and stock price, in addition to oil price and stock price index variables, real exchange rate and liquidity has been added to our model. We applied three different yardsticks for illustrating oil shocks: linear shocks, scaled shocks and net shocks. Statistical analysis has been done in the time series framework consist of the GARCH and the Vector Autoregressive (VAR) models.
According ouz results, oil shocks have positive effects on stock indices so that with increasing in oil price, stock indices increase. Also our findings show that monetary shocks are more powerful than oil shocks in affecting stock prices. Asymmetric effect tests couldn’t prove any asymmetric impression on stock price index.

Keywords

Oil Shock; Stock Exchange Index; Time Series

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