The impact of oil price shocks on the stock market volatility: evidence from Iran
| Main Authors: | Samira Mansouri, Reza Eyvazlu |
|---|---|
| Format: | Proceeding |
| Bahasa: | fas |
| Terbitan: |
, 2021
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| Subjects: | |
| Online Access: |
https://zenodo.org/record/4482597 |
Daftar Isi:
- We study the effects of crude oil price shocks on the stock market volatility of the BRICS economies and Iran's economy. We rely on a structural VAR model to identify the causes underlying the oil price shocks and gauge the differential impact that oil supply and oil demand innovations have on financial volatility does not respond to oil supply shocks. The result of the analysis showed that short-term and long-term oil shocks did not affect the Tehran stock market volatility. In contrast to the overall demand shocks, the immediate increase in stock return volatility in the short time. The supply shock has not had a significant effect on stock market volatility in the short and long term. The impact of long-term oil shocks and the overall demand shock in the short term was not confirmed in any of the BRICS countries, while this was confirmed in the long run.