The Effect of Covid-۱۹ Outbreak on Registered Oil Companies at Tehran Stock Exchange
Publish place: Petroleum Business Review، Vol: 4، Issue: 4
Publish Year: 1399
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_PBR-4-4_006
تاریخ نمایه سازی: 30 فروردین 1400
Abstract:
The goal of this paper is to study the effect of Covid-۱۹ outbreak on oil markets volatility.Covid-۱۹ as a pandemic has a significant negative effect on global economy. Alongside the global economy, stock markets responded to the outbreak immediately. The first case appeared in February ۲۰ in Iran. The outbreak has different implication for Iranian economy. Using daily data on return of oil companies registered at Tehran Stock Exchange (TSE), change in new cases integrated into the E-GARCH model as a proxy for the virus outbreak form February ۲۰, ۲۰۲۰ until December ۱۲, ۲۰۲۰, it applies an E-GARCH model to derive volatilities in index. To test the effect of Covid-۱۹ outbreak on the volatilities in oil companies’ index, change in daily new cases integrated into the E-GARCH model as a proxy for the virus outbreak. The results show that, despite of fresh money pumped into the market and increase in market transactions and volume of trade, during the first phase of outbreak, Covid-۱۹ has negatively affected returns of oil companies’ prices.
Keywords:
Authors
Mortaza Baky Haskuee
Assistant Professor, Visiting Professor, York University, faculty of Liberal Art
Parisa Rouhi Fard
M.S. Student, Financial Engineering, Khaje Nassir Toosi University, Tehran, Iran.
Afrooz Farazandeh
M.S. Student, Financial Engineering, Khaje Nassir Toosi University, Tehran, Iran
Abdolreza Shakeri
Assistant Professor, Islamic Azad University, West Tehran Branch, Faculty of Humanities, Department of Accounting, Tehran, Iran.
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