The main purpose of the present study is to evaluate the relationship between the oil price shocks and the indexes of the Stock Exchange Market of Tehran. The present study is conducted by using from the data obtained from the common working days between world oil market and the Stock Exchange Market of Tehran between 8 December 2008 and 19 Mars 2014. In the present study the nested test, Johansen's co-integration test, vector error correction model and Engle- Granger method have been used in order to represent the long run relationship between the variables. The empirical findings of this paper indicate that there is a significant and positive long-run equilibrium between the OPEC oil price and six indices of capital market (total stock index, industry index, the price index of 50 companies, top 50 indices, return and price index, Index of 30 large companies). Also there is no significant long run equilibrium relationship between the OPEC oil prices and three indexes namely first market, second market and free float indexes.
Gاanbarian R, Saghafi A. The Dynamic Relationship between the Oil Price and the Capital Market Indices in Iranian Economy. Journal title 2015; 5 (20) :193-216 URL: http://jfm.khu.ac.ir/article-1-1048-en.html