Reinvestigation of Oil Price-Stock Market Nexus in Iran: A SVAR Approach

Eisa Maboudian () and Khashayar Seyyed Shokri
Additional contact information
Eisa Maboudian: Department of Economics, Islamic Azad University, Central Tehran Branch, Iran.
Khashayar Seyyed Shokri: Department of Economics, Islamic Azad University, Central Tehran Branch, Iran.

Iranian Economic Review (IER), 2015, vol. 19, issue 1, 81-90

Abstract: In this paper we investigate the effect of oil price shocks on stock market index in Iran, by using of a structural VAR (SVAR) approach. We used four variables in the model namely Kilian index, global oil supply, real oil price and real stock market index. The data are monthly and spanning the period 1997M10-2014M12. We identify the effect of four different shocks on stock market including oil supply shock, aggregate demand shock, other oil-specific shock and other stockspecific shock. Empirical evidences from impulse response functions (IRFs) indicate that oil supply shock is not significant, and the impact of other three shocks persists for about 3, 6 and 2 months respectively. Variance decomposition (VD) of stock market index indicates “other stock-specific shock” is the most important explainer of its variations. These findings are consistent with the findings of other oil-exporting countries including Saudi Arabia, Kuwait, Mexico, Norway, Russia, Venezuela and Canada except the effect of oil supply shock in variance decomposition of stock market index.

Keywords: Iran; Oil Price; Stock Market; Structural VAR. (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
ftp://80.66.179.253/eut/journl/20151-6.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eut:journl:v:19:y:2015:i:1:p:81

Access Statistics for this article

Iranian Economic Review (IER) is currently edited by Dr.Hossien Abbasinejad

More articles in Iranian Economic Review (IER) from Faculty of Economics,University of Tehran.Tehran,Iran Contact information at EDIRC.
Bibliographic data for series maintained by [z.rahimalipour] ().