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Oil price shocks and stock market in oil‐exporting countries: evidence from Iran stock market
Author(s) -
Oskooe Seyyed Ali Paytakhti
Publication year - 2012
Publication title -
opec energy review
Language(s) - English
Resource type - Journals
eISSN - 1753-0237
pISSN - 1753-0229
DOI - 10.1111/j.1753-0237.2012.00217.x
Subject(s) - economics , stock market , oil price , volatility (finance) , spillover effect , financial economics , stock (firearms) , stock market bubble , econometrics , monetary economics , macroeconomics , mechanical engineering , paleontology , horse , biology , engineering
This study adopts causality in mean and variance approach to investigate dynamic relationship between stock market in an oil‐exporting country (Iran) and the international oil market. The empirical results imply that in view of underlying data‐generating process of the series, the variance of oil price fluctuations does not cause the variance of Iran stock returns. This means that there is no volatility spillover effect between Iran stock market and international oil market.