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Investigating Short-Term and Long-Term Asymmetric Effects of Oil Price Shocks on Financial Development Index in Iran
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Moslem Jamshidi   , Sharareh Majedzadeh Tabatabaei * 1, Seyyed Nematollah Mousavi |
| 1- & Assistant Professor, Department of Management and Economics, Marvdasht Branch, Islamic Azad University, Marvdasht, Iran. , Sh_tabamajd@yahoo.com |
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Abstract: (271 Views) |
Considering the strong dependence of oil-rich countries on oil and the impact of their financial and economic development on the price fluctuations of this strategic product, the study of price fluctuations and the resulting shocks has gained a very important place in the research literature of these countries. Therefore, in this study, in order to investigate the impact of shocks resulting from oil price changes on financial development based on the stock market of Iran, using monthly data from 1990-2018, the impact of three important shocks of demand, supply and risk related to oil price changes It was estimated on the stock returns of Tehran Stock Exchange using autoregressive model with non-linear distribution interval (NARDL). The results indicate that it is only oil price risk and demand shocks that have an impact on Iran's stock returns, and the oil price supply shock was not an influential element. Therefore, the findings of this research support the view that the return of securities in Iran, especially stocks, reacts to oil price shocks.
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| Keywords: Financial Development, Stock Returns, Oil Price, Supply Shock, Demand Shock, Risk Shock |
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Full-Text [PDF 1732 kb]
(86 Downloads)
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Type of Study: Research |
Subject:
Oil Shocks
Received: 2024/05/29 | Accepted: 2024/11/12 | Published: 2024/12/30 | ePublished: 2024/12/30
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