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Transmission of World Oil Price Volatility to Chemical Industry’ Stock Price Index (A VAR-BEKK-GARCH Approach)
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Abstract: (5894 Views) |
The study of the impact of volatile oil prices on stock market indices is important for understanding stock market’s efficiency, asset portfolio choice and asset pricing. Given the importance of the chemical industry and its subset such as petrochemical industry in the Tehran stock exchange, we study the spillover impact of world oil price volatility on the index of chemical industries in Iran. To this end we study the pattern of changes in daily oil prices and value of chemical industries index in Tehran for the period 2011 to 2014 using the VAR-GARCH models within the BEKK framework. Our results indicate that oil price changes have a determining effect on stock prices of chemical industries. We do not observe any reverse relationship from chemical industry stock prices on international oil prices. Changes in oil prices have a positive effect on the chemical industries’ stock prices.
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| Keywords: Stock Price Index, VAR-BEKK-GARCH Model, World Oil Price, Chemical Industries |
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Full-Text [PDF 576 kb]
(2369 Downloads)
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Type of Study: Research |
Subject:
Energy Economic
Received: 2016/02/27 | Accepted: 2017/07/18 | Published: 2017/12/19 | ePublished: 2017/12/19
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