The Impact of Oil Price Shocks on the Stock Returns of Tehran Stock Exchange (TSE)

Subject Areas : Financial Knowledge of Securities Analysis

کیومرث شهبازی ¹ (مسئول مکاتبات)
ابراهیم رضایی ² (ندارد)
یاور صالحی ³ (ندارد)

Received: 2012-11-05 Accepted : 2013-03-10 Published : 2013-09-11

Keywords: Stock Returns, oil prices, demand shocks, supply shocks,

Abstract :

The objective of this study is to investigate the influence of the oil shocks caused bycrude oil supply and demand on stock returns of Tehran Stock Exchange (TSE). For thispurpose, a Structural Vector Autoregressive model (SVAR) has been estimated based onthe monthly data (1991 to 2010) including world crude oil supply, world demand forindustrial products, real price of the crude oil and real stock returns in TSE variables.Fluctuations of the real price of the crude oil are attributed to three structural shocks:World crude oil supply shocks, world crude oil demand shocks and world industrialproducts demand shocks. Furthermore, effects of these shocks on the real stock returns ofTSE have been studied in this study. The results show that the oil supply shock has nosignificant impact on the stock returns, but the global demand shock and the oil specificdemand shock have a significantly positive impact on the Stock Returns of Tehran StockExchange (TSE).

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