Reaction of Stock Market Index to Oil Price Shocks
عنوان مقاله: Reaction of Stock Market Index to Oil Price Shocks
شناسه ملی مقاله: JR_IER-24-1_005
منتشر شده در در سال 1399
شناسه ملی مقاله: JR_IER-24-1_005
منتشر شده در در سال 1399
مشخصات نویسندگان مقاله:
Masoud Shirazi - Faculty of Economics, Allameh Tabataba’i University, Tehran, Iran
Ali Emami Meibodi - Faculty of Economics, Allameh Tabataba’i University, Tehran, Iran
خلاصه مقاله:
Masoud Shirazi - Faculty of Economics, Allameh Tabataba’i University, Tehran, Iran
Ali Emami Meibodi - Faculty of Economics, Allameh Tabataba’i University, Tehran, Iran
T his study examines how oil price shocks interact with the stock market index within a nonlinear autoregressive distributed lag model in Iran. Based on quarterly data for the period from ۱۹۹۱ to ۲۰۱۷, the findings revealed statistically significant evidence of short-run and long-run asymmetric behavior of stock market index in response to the positive and negative shocks occurring in oil price, industrial production and lending rate. In particular, Unanticipated short-run and long-run positive (negative) oil price shocks trigger an addition (reduction) in the stock market index. Moreover, both short-run and long-run results present that the stock market index is more affected by positive changes in oil prices than the negative ones. Furthermore, the cumulative dynamic multipliers point out a significant asymmetric reaction of the stock market index to oil price shocks and other macroeconomic determinants. The aforementioned multipliers also show that the speed of response and time required to reach a new equilibrium state are sensitive to the direction of changes in the macroeconomic fundamentals. Consequently, the results prescribe that financial participants, energy policymakers and the government should adjust their respective strategies to changes in oil prices and consider the asymmetry when forecasting and managing the negative impacts of unexpected events.
کلمات کلیدی: Keywords: Oil Price Shocks, Stock Market Index, Nonlinear Autoregressive Distributed Lag Model, Dynamic Multiplier. JEL Classification: E۳۲, G۱۷, Q۴۳
صفحه اختصاصی مقاله و دریافت فایل کامل: https://civilica.com/doc/1779132/