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Asymmetric impact of oil price volatility on investor sentiments in Tehran Stock Exchange with NARDL approach
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Hassan Masoudi alavi1   , Mohammad Nadiri *2 |
1- University of Tehran
2- University of Tehran , m.nadiri@ut.ac.ir |
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Abstract: (912 Views) |
| This research investigates the relationship between oil price Volatility and investors' sentiments in the Tehran Stock Exchange. Oil is one of the most important sources of energy in the world and is necessary for many industries. Oil price Volatilities directly and indirectly impact the economy and financial markets. In this research, the monthly relationship between oil price Volatility and investors' sentiments was investigated using the Nonlinear Autoregressive Distributed Lag Model (NARDL) in the period from April 2011 to March 2023. The results showed that there is a significant relationship between oil price Volatility and investors' sentiment index, asymmetrically in the short term and symmetrically in the long term, that is, the price of oil in the ups and downs of the market has a different impact in the short term and a similar impact in the long term on sentiments. investors, and on the other hand, in the short and long term, oil price Volatilities impact investors' sentiment with different intensity, Therefore, stock market investors should have a different analysis in forming their portfolio for oil price Volatilities in the ups and downs of the market. |
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| Keywords: Investor sentiments, oil price Volatility, Tehran Stock Exchange, Nonlinear Autoregressive Distributed Lag Model. |
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Full-Text [PDF 4998 kb]
(194 Downloads)
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Type of Study: Thesis(M.A.) |
Subject:
Energy Economic
Received: 2024/03/18 | Accepted: 2024/07/31 | Published: 2024/07/31 | ePublished: 2024/07/31
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