The Effect of World Oil Price Fluctuations on the Return of the Energy Intensive Industries Stock in Iran

Bordbar, Nooshin; Heidari, Ebrahim

doi:10.29252/jemr.7.27.177

Volume 8, Issue 27 (3-2017) jemr 2017, 8(27): 177-205 | Back to browse issues page

‎ 10.29252/jemr.7.27.177

‎ 20.1001.1.22286454.1396.7.27.6.8

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Bordbar N, Heidari E. The Effect of World Oil Price Fluctuations on the Return of the Energy Intensive Industries Stock in Iran. jemr 2017; 8 (27) :177-205
URL: http://jemr.khu.ac.ir/article-1-1448-en.html

The Effect of World Oil Price Fluctuations on the Return of the Energy Intensive Industries Stock in Iran

Nooshin Bordbar ^*

¹, Ebrahim Heidari²

1- Persian Gulf University , noshin1090@yahoo.com
2- Persian Gulf University

Abstract: (7604 Views)

The present article studies the interactive relationships between oil price volatility and industries stocks of basic metals, petroleum and chemical products by using Vector Auto Regressive (VAR) and Multivariate Generalized Autoregressive Conditional Heteroskedastisity (GARCH) models from March 2004 to March 2015 empirically . In this research, the VAR-GARCH model is proposed, which is developed by Ling and McAleer (2003). The model survives the return and volatility problems among the considered series and this is the VAR-GARCH advantage. The results show that there are Average effects between oil market and stocks market of basic metals and petroleum products, But this effects are not true for chemical industry market. The volatility effects between world oil price and chemical and basic metals industry markets is not existed, but between oil market volatility and petroleum products stock volatility, Significant negative relationship is existed. There for, the investors should reduce their portfolios basket dependences on oil price as much as possible.

Keywords: Oil Price Volatility, Return Energy Intensive Industries Stock, VAR-GARCH.

Full-Text [PDF 2683 kb] (3931 Downloads)

Type of Study: Applicable | Subject: پولی و مالی
Received: 2016/03/7 | Accepted: 2017/01/17 | Published: 2017/05/17

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