Shahram Molavi Bisetoni - Department of Industrial Management, Kish International Branch, Islamic Azad University, Kish Island, Iran.
Kiamars Fathi Hafshejani - Department of Management, South Tehran Branch, Islamic Azad University, Tehran, Iran
Aboutorab Alirezaei - Department of Management, South Tehran Branch, Islamic Azad University, Tehran, Iran
Ghanbar Abbaspour Esfadan - Department of Management, South Tehran Branch, Islamic Azad University, Tehran, Iran

The primary purpose of this study is twofold: Firstly, using the Markov Regime Switching model throughout December ۲۰۰۸ to February ۲۰۲۰, it investigates and compares the nonlinear impacts of exchange rate movements and monetary policies on Petroleum Stock Index, PSI, in Iran. Accordingly, some control variables, such as OPEC oil price, inflation rate, and international sanctions, have also been used to model these relationships more accurately. Secondly, it is an empirical attempt to trace the historical changes in the PSI behavior through distinguishing the precise regime numbers, and the relationships between the exogenous variables and the PSI. Our results confirm that the effects of both exchange rate movements and monetary policies on the petroleum stock market return are direct and significant. More interestingly, the more we move from regime one to regime three, the greater the effects of the research variables on the index, except for the impact of OPEC oil prices. Our empirical findings further suggest as the effects of sanctions intensify, the influences of monetary policy and exchange rate movements would have a more significant impact on the petroleum stock index returns.

Petroleum Stock Index, Exchange rate, Monetary Policy, Markov Regime Switching Model