Effect of Oil Price Volatility and Petroleum Bloomberg Index on Stock Market Returns of Tehran Stock Exchange Using EGARCH Model

Advances in Mathematical Finance and Applications

مقاله 6، دوره 1، شماره 2، بهمن 2016، صفحه 69-84   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2016.527821

نویسندگان

Gholamreza Zomorodian^{* 1}؛ Laleh Barzegar²؛ Soghra Kazemi²؛ Mohammad Poortalebi³

¹Department of Management, Islamic Azad University Central Tehran Branch, Tehran, Iran.

²Department of Management Accounting, University of Rasht, Rasht, Iran

³Department of Management, University of Tehran, Tehran, Iran

چکیده

The present research aims to evaluate impacts of crude oil price return index, Bloomberg Petroleum Index and Bloomberg energy index on stock market returns of 121 companies listed in Tehran stock exchange in a 10 years' period from early 2006 to April 2016. First, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. Subsequently, to check variables stationary, Dickey-Fuller generalized test was considered and ARCH test was adopted to check for Heteroscedasticity in error terms and residual values. Finally, EGARCH was used to address model heteroscedasticity. The results showed that variations of Petroleum Bloomberg index, crude oil price and Bloomberg energy index could explain changes in Tehran stock exchange index returns. Any rise in oil prices increases total Stock Exchange returns. On the other hand, Stock Exchange index returns is aligned with Petroleum Bloomberg index.at the same time changes in Tehran stock exchange index returns was reversely correlated with changes in energy index return among others.

کلیدواژه‌ها

Oil price volatility؛ Petroleum products index؛ Tehran stock exchange index؛ EGARCH model

مراجع

[1]   Ebrahimi, S. "effect of oil price shocks and exchange rate fluctuations and uncertainty of the economic growth of the country's oil", Journal of Commerce,2011, 59, P.83-105.

 

[2] Paitakhti Oskoee A, Shafi'i, Eh. analysis of oil price volatility on stock price change in Iran, Quarterly Economics and Energy Studies, 2014, 43, P.205-229.

 

[3 Hosseini-Nasab,E,  khezri, M and Rasouli , A, “the effect of oil price fluctuations on the stock return in Tehran Stock Exchange”: wavelet analysis and Markov switching, Journal of Economic Studies, 2011,  29, P.31-60.

 

[4] Heidari, Shirkavand, H.  Abolfazli , A, "investigation of  effects of oil price volatility and the price of gold on the Tehran Stock Exchange Price Index: Based on GARCH multivariate model ", Journal of Financial Engineering and Management issue of securities second ,2015,  P. 61-80.

 

[5] Delavari M, shirin bakhsh, SH and Dashtbozorgi, Z.  " effect of oil prices on economic growth in Iran using symmetric convergence", Journal of Energy Studies, 2009, 18, P. 65-80.

                                                                                       

[6] Roodposhti F, Asharioun Qomi, H. Tajmir Riahi, F; " financial models Encyclopedia ", author Frank  J.Febuzi, Termeh Publications, 2016 .

 

[7] Zomorodian G. "The explanatory power of parametric models) Econometrics (and nonparametric), Monte Carlo (the value of the portfolio at risk in order to determine the optimum portfolio investment companies in Iran capital market", Journal of financial engineering and document management securities, 2105; 20, p.164

 

[8] Zomorodian, Rostami, Karimi, A and Zand, M. "The explanatory power of parametric models (econometric) and neural networks in the value of portfolio risk in order to determine the optimal portfolio investment companies in Iran capital market", financial engineering and management of securities, 2014,  21, P. 55-74.

 

[9] Semnani A,  Khatib, M. and Shojaei, M and Ghiyasi Kh. "The effect of crude oil price fluctuations on returns Tehran Stock Exchange Index", Quarterly Journal of Economics, 201), 8,  29,  P. 89-113.

 

[10]   Souri A, "Advanced Econometrics",2013, Ethnography press

 

[11] Abbasi I, Hadi Nejad M. and  Karimi, J "asymmetric effects of oil price fluctuations on the stock market Tehran Stock Exchange using the model (MS-EGARCH)", Journal of procedure, the twenty-second year, 2015;   27,  P.105-127.

 

[12]  Mohammadzadeh P, Mehregan N, Haqqani M and Salmani, Y” a behavioral pattern of economic growth in response to crude oil price fluctuations: an application of Markov Switching GARCH models and regression”, Journal of Economic Modeling Research, 2013,   12, P. 73-101.

 

[13] Arouri, M. E. H., & Nguyen, D. K. “Oil prices, stock markets and portfolio investment: evidence from sector analysis in Europe over the last decade”. Energy Policy, 2010. 38, P. 4528− 4539.

 

[14] Chen, S.S. & Hsu, K.W. Reverse globalization: “Does high oil price volatility discourage international trade?”, Energy Economics, 2012, 34, P. 1634–1643.

 

[15] Joher, A, Bashar,H, Omar H.M.N, H. &. Mokhtarul Wadud, I.K.MThe Transitory and Permanent Volatility of Oil prices: What Implications Are There for the US Industrial Production?, Applied Energy, .2012,   92, P. 447–455

 

[16] Naifar, N., and Al Dohaiman, M.S., Nonlinear analysis among crude oil prices, stock markets’ return and macroeconomic variables. International Review of Economics and Finance. 2013, 27, P. 416-431.

 

 

[17] Rahman, S. & Serletis, A. Oil Price Uncertainty and the Canadian Economy: Evidence from a VARMA, GARCH-in-Mean, Asymmetric BEKK Model, Energy Economics, 2012, 34, P. 603–610.

 

[18] Reboredo, J.C., and Rivera-Castro, M.A., Wavelet-based evidence of the impact of oil prices on stock returns. International Review of Economics and Finance, 2013. http://dx.doi.org/10.1016/j.iref.2013.05.014

 

[19] Vo, Minh Oil and stock market volatility: A multivariate stochastic volatility perspective” journal of Energy Economics, 2011. 2078

 

[20] Aloui, C. and Jammazi, R.” The effects of crude oil shocks on stock market shifts

behaviour: A regime switching approach”. Energy Economics. 2009, 31, P.789-799.