Document Type : Research Paper
Authors
1 Semnan University
2 Professor of Econometrics & Social Statistics, Department of Economics, Semnan University, Semnan, Iran
3 Department of Statistics, Faculty of Mathematics, Statistics and Computer Science University of Semnan, Semnan, Iran
Abstract
In this research, the effect of oil price shock on the return of the Iranian stock market has been evaluated using a new quantile-on-quantile approach. To do this, first, the oil price shock has been calculated using the structural vector Autoregression method, then the effect of the oil price shock on the return of the Iranian stock market has been investigated using the quantile-on-quantile approach. The statistical population consists of the data related to oil variables and the stock price index of the Iranian stock market. The statistical sample includes 200 observations of the monthly data related to the oil variables and the stock price index of the Iranian stock market during the period of 1385: 1 -1401: 12. The results of this research show that the effect of the oil price shock on the Iranian stock market varies across different quantiles of the Iranian stock market returns. A negative oil price shock has a larger effect on stock market returns when the stock market is bullish. Also, in the normal state of the stock market; Positive oil price shock have a large negative effect on stock market returns. Based on these observations, it is concluded that the relationship between oil price and stock market returns can depend on the nature of oil price shocks and the performance of the stock market.
Keywords
- Oil Price Shock
- Stock Market&rsquo؛ s Return
- Quantile on Quantile Regression
- Structural Vector Autoregression Method
Main Subjects
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