Examining the spillover effects of volatile oil prices on Iran’s stock market using wavelet-based multivariate GARCH model

Siab Mamipour (), Sanaz Yazdani () and Elmira Sepehri ()
Additional contact information
Siab Mamipour: Kharazmi University
Sanaz Yazdani: Semnan University
Elmira Sepehri: Department of Economics, York University

Journal of Economics and Finance, 2022, vol. 46, issue 4, No 10, 785-801

Abstract: Abstract Fluctuations in the oil market can significantly influence various sectors of the economy, such as the stock markets of countries that rely heavily on oil revenues. Oil prices are one of the key influential external factors affecting the stock exchange index of oil-dependent Iran. This paper investigates the spillover effects of oil prices on Iran’s stock exchange index weekly from March 2009 to March 2020. Using a time-series wavelet decomposition approach, a series of OPEC oil prices and Iran’s total stock market index were decomposed into various time scales (4 levels) to analyze oil market spillover into the stock market using the multivariate GARCH TBEKK model. The results confirmed that volatility spillover from the oil to the stock market occurred in all the time scales (short, medium, and long term). However, the spillover in the long term is more pronounced than over the short, demonstrating that stock market volatility is strongly influenced by long-term exogenous oil price fluctuations. Hence, oil market shocks are one of the influential factors affecting stock market turbulence in Iran.

Keywords: Volatility Spillover; Stock Market; Oil Prices; Wavelet Transformation; Multivariate GARCH Model (search for similar items in EconPapers)
JEL-codes: C32 C51 G12 Q34 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://link.springer.com/10.1007/s12197-022-09587-7 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:jecfin:v:46:y:2022:i:4:d:10.1007_s12197-022-09587-7

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/12197/PS2

DOI: 10.1007/s12197-022-09587-7

Access Statistics for this article

Journal of Economics and Finance is currently edited by James Payne

More articles in Journal of Economics and Finance from Springer, Academy of Economics and Finance Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().