The Asymmetric Effects of the Oil Price Shocks on Iran Stock Market Price Index

اقتصاد پولی مالی

Article 2, Volume 22, Issue 9, January 2016, Pages 29-56   

Document Type: پژوهشی

DOI: 10.22067/pm.v22i9.52742

Authors

sayyed mohamad mirhashemi dehnavi¹; Mostafa Salimifar^{* 2}; Mohammad Ali Falahi²

¹Shiraz University

²Ferdowsi University Of Mashhad

Abstract

Iran’s economy and also stock market can affected by oil price shocks. With regarding importance of oil price changes on Iran economy, the aim of this study is to investigate the asymmetric impacts of oil price shocks on Tehran Exchange Price Index (TEPIX).
In this study, the relationship between oil price shocks and TEPIX from 2000:6 to 2010:11 have been investigated. For this aim, the mothod of vector autoregressive regression (VAR), impulse response function and variance decomposition with three control variables of liquidity, constraction price index and gold price have been used.
The investigation of the asymmetric effects of oil price shocks on TEPIX by Mork (1989) and Hamilton’s approach revealed that oil price shocks have asymmetric impacts on TEPIX and in both approaches, oil price decrease has greater share in explanation of forcasting error variance of TEPIX respect to oil price increase.

Keywords

Asymmetric Effects; Vector Autoregression (VAR); Impulse Response Function; Variance Decomposition; Tehran Stock Market Price Index

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