The Impact of Oil Revenue Shocks on the Volatility of Iran s Stock Market Return

Sina Davoudi, Alireza Fazlzadeh, Firouz Fallahi and Hossein Asgharpour
Additional contact information
Sina Davoudi: MA in Financial Management, Management Department, Faculty of Economics, Management, and Business, University of Tabriz, Iran
Alireza Fazlzadeh: Associate Professor, Management Department, Faculty of Economics, Management, and Business, University of Tabriz, Iran,
Hossein Asgharpour: Associate Professor, Management Department, Faculty of Economics, Management, and Business, University of Tabriz, Iran.
Authors registered in the RePEc Author Service: Hossein asgharpur ()

International Journal of Energy Economics and Policy, 2018, vol. 8, issue 2, 102-110

Abstract: The aim of this study was to examine the impact of oil revenue shocks on the volatility of Tehran s stock market return, by applying GARCH (Generalized Auto Regressive Conditional Heteroscedasticity) model with seasonal data from January 1993 to March 2014. After calculating the volatility stock returns via GARCH models, we employed ARDL (Auto Regressive Distributed Lag) model to estimate the oil shocks effects. The population is consisted of all active companies in Tehran s stock market during the period of this research. Study results showed that oil shocks are associated with positive effects on the stock market volatility, representing that this shocks are one of the main motivators of stock price index growth in Iran s case. More ever, exchange rate and liquidity had same effects on the stock market return through increasing the volatility. On the other hand our results indicated that there were no relations between consumer price index and stock market volatility. Other result of this study refers to effects of sanctions imposed by the US and Europe, which elicits the increase of stock market volatility from the day they have been taken place.

Keywords: Oil revenue; stock market returns volatility; sanctions; exchange rate; consumer price index; portfolio management. (search for similar items in EconPapers)
JEL-codes: E10 G11 M21 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://www.econjournals.com/index.php/ijeep/article/download/6208/3602 (application/pdf)
https://www.econjournals.com/index.php/ijeep/article/view/6208/3602 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2018-02-13

Access Statistics for this article

International Journal of Energy Economics and Policy is currently edited by Ilhan Ozturk

More articles in International Journal of Energy Economics and Policy from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().