Iranian Energy Economics

Volatilities in Global Oil, Gold, and Dollar Market s and Their Role in Stock Market Fluctuations among OPEC-Plus Member Countries

Articles in Press

Document Type : Research Paper

Authors

parisa Mohajeri 1
reza taleblou 2
samaneh ranjkhah zenuzghi 3

1 Allemeh Tabataba'i University, Associate professor

2 Associate Professor of Economics

3 master student of economics

https://doi.org/10.22054/jiee.2024.78826.2077
Abstract
This study employs a vector autoregression approach with time-varying parameters (TVP-VAR) to investigate the spillover of volatility and risk among the stock markets of 13 OPEC and OPEC+ member countries, alongside Gold, Brent Oil, OPEC Oil, and the Dollar index. Daily data spanning from March 1, 2014, to March 1, 2023, is utilized for analysis. Our findings reveal several key insights. First, the average systemic risk within the network of investigated variables has escalated in the years following the onset of the COVID-19 pandemic. Second, among the investigated countries, the stock markets of Saudi Arabia, Kuwait, UAE, Russia, Malaysia, and Nigeria serve as transmitters of fluctuations within the network, while the stock markets of Bahrain, Kazakhstan, Venezuela, Oman, Iran, Iraq, and Mexico act as receivers of volatilities. Third, significant volatilities in Iran's stock market returns originate from idiosyncratic shocks, with variables such as OPEC oil prices and the stock markets of Bahrain, Iraq, and Kuwait playing pivotal roles in explaining these fluctuations. Fourth, approximately 60% of the volatility in gold returns and the dollar index can be attributed to idiosyncratic risks. Fifth, compared to other OPEC+ member countries, the Saudi stock market's volatility exerts a more substantial influence on the volatilities observed in the global oil, gold, and dollar markets.

Keywords

Oil Market
OPEC plus
Stock Market
Time-Varying Parameter Vector Autoregressive
Volatility Spillovers
Subjects
Iranian Energy Economics

Articles in Press, Accepted Manuscript
Available Online from 09 July 2024

  • Receive Date 13 March 2024
  • Revise Date 02 July 2024
  • Accept Date 09 July 2024
  • First Publish Date 09 July 2024
  • Publish Date 09 July 2024

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