Impact of global oil and gold prices on the Iran stock market returns during the Covid-19 pandemic using the quantile regression approach

Sh Zeinedini, M. Sh Karimi and A. Khanzadi

Resources Policy, 2022, vol. 76, issue C

Abstract: The main aim of this paper is to investigate the influence of global oil and gold prices on the Iran stock market during the Covid-19 pandemic. The approach used in this study is the quantile regression method and the effective parameters on the stock price index in the deciles of 0.1–0.9 were studied. The daily data from February 20, 2020 until January 30, 2021 were used in order to achieve the purposes aforementioned. The results showed that there is not a significant relationship between the global gold price and the stock price Iran stock exchange index. In addition, in all studied deciles, there is a negative and significant relationship between OPEC oil prices and the Tehran Stock Exchange index. Therefore, it is necessary for investors and policymakers to consider the impact of changes in these variables on stock returns.

Keywords: Oil price; Gold price; Stock returns; Quantile regression; Covid-19 (search for similar items in EconPapers)
JEL-codes: C32 G10 G11 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:76:y:2022:i:c:s0301420722000526

DOI: 10.1016/j.resourpol.2022.102602

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