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Analysis of oil price uncertainty on stock market uncertainty: GARCH-VAR model combination
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Satyed Amin Mansouri *   1, Seyed Morteza Afghah2 , Seyede Maryam Tajgardoon2 |
1- Shahid Chamran University of Ahvaz , sa.mansouri@scu.ac.ir
2- Shahid Chamran University of Ahvaz |
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Abstract: (847 Views) |
This study seeks to investigate the effect of uncertainty caused by oil shocks on the stock market in the Tehran Stock Exchange. For this purpose, in this research, first using Box and Jenkiz approach and using the family of Garch models, for the daily period of 2008 to 2021 (4632 days in total), first the oil price uncertainty index and the Tehran Stock Exchange index are extracted. The effects of these two variables on each other were then investigated using VAR analysis. The results show that the global oil price has a significant effect on the stock market index and oil price fluctuation has a significant effect on the stock market index fluctuation. There is also a positive relationship between oil prices and stock return index using causality test; This means that the increase in oil prices leads to an increase in the stock return index in the Tehran securities market. Also, the results of the instantaneous reaction functions emphasize the positive relationship between oil price shocks and the stock return index.
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| Keywords: Uncertainty, GARCH, VAR, stock market, oil prices, Iran |
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Full-Text [PDF 2031 kb]
(263 Downloads)
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Type of Study: Thesis(M.A.) |
Subject:
Oil-Market
Received: 2022/04/20 | Accepted: 2023/12/31 | Published: 2023/12/31 | ePublished: 2023/12/31
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