The Stock Market Response to Oil Price Shocks in Selected Oil-Importing Countries
Publish place: International Economics Studies، Vol: 51، Issue: 2
Publish Year: 1400
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_IESUI-51-2_003
تاریخ نمایه سازی: 24 مهر 1401
Abstract:
As one of the most important components of the financial market, the stock market plays a significant role in facilitating the transfer of financial resources to the productive sector; therefore, identifying the factors that influence this market and the response of this market to shocks that occur has always attracted the interest of policymakers and analysts. The present study focuses on the response of stock market returns of major oil-importing countries to the oil price shock, oil supply shock, and aggregate demand shock over the period ۲۰۱۰-۲۰۱۹ using the Panel Vector Autoregressive (PVAR) method. Based on the extracted impulse response functions (IRFs), the response of the stock market index to the oil price shock and the oil supply shock is negative, while the response of the stock market index to the aggregate demand shock is generally positive. The results of variance analysis show that the oil price shock, oil supply shock, and aggregate demand shock have the largest impact on the fluctuations of the stock market index, and indicate the selected oil-importing countries have taken measures to hedge their stock market against the oil price shock during the crisis period.JEL Classification: C۵۸, E۴۴, G۱۰, Q۴۳
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Authors
Hamid Sepehrdoust
Department of Economics, Faculty of Economics and Social Sciences, Bu-Ali Sina University, Hamedan, Iran
Seyed Ehsan Hosseinidoust
Department of Economics, Faculty of Economics and Social Sciences, Bu-Ali Sina University, Hamedan, Iran
Zahra Mohamadi Mehr
Department of Economics, Faculty of Economics and Social Sciences, Bu-Ali Sina University, Hamedan, Iran
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