查看更多>>摘要：This paper examines whether or not the oil structure of economies, the source of oil shocks, and regime changes affect stock price responses. After dividing the entire period into two regimes (bull and bear market) and considering three different oil shocks: global oil price, global oil demand, and global oil supply, we attempted to select countries that are considered developed economies while demonstrating differences and similarities in their oil structures. To this end, we compare the effects of oil shocks on the stock prices of Norway and Canada, two oil-exporting countries, to China and Japan, two oil-importing countries, using the Threshold Structural Vector Autoregression (TSVAR) analysis for the period 1990:1-2020:4. The results indicate that the structure of the oil and the source of the oil shocks have a significant effect on the responses. In this regard, the responses of oil-exporting countries are strikingly similar to one another and dissimilar to those of the two oil-importing countries. All of the oil shocks considered thus far have had a short-term effect but have been neutral in the medium and long term (except for oil demand shocks in the bull market). Additionally, the stock market's responses to oil shocks have been regime-dependent, with most responses being more sharply in a bear market than in a bull market. According to the findings, there is a strong link between the stock market, the source and type of oil shocks (positive or negative), economics' oil structures, and regime changes, which may influence policymakers' response to various oil shocks in different stock market conditions.
查看更多>>摘要：The main aim of this paper is to investigate the influence of global oil and gold prices on the Iran stock market during the Covid-19 pandemic. The approach used in this study is the quantile regression method and the effective parameters on the stock price index in the deciles of 0.1-0.9 were studied. The daily data from February 20, 2020 until January 30, 2021 were used in order to achieve the purposes aforementioned. The results showed that there is not a significant relationship between the global gold price and the stock price Iran stock exchange index. In addition, in all studied deciles, there is a negative and significant relationship between OPEC oil prices and the Tehran Stock Exchange index. Therefore, it is necessary for investors and policymakers to consider the impact of changes in these variables on stock returns.
NSTL
Elsevier