[Home ] [Archive]   [ فارسی ]  
:: Main :: About :: Archive :: Search :: Submit :: Contact ::
Main Menu
Home::
Journal Information::
Articles archive::
For Authors::
For Reviewers::
Registration::
Contact us::
Site Facilities::
Webmail::
::
Search in website

Advanced Search
..
Receive site information
Enter your Email in the following box to receive the site news and information.
..
:: Volume 5, Issue 20 (9-2015) ::
2015, 5(20): 193-216 Back to browse issues page
The Dynamic Relationship between the Oil Price and the Capital Market Indices in Iranian Economy
Reza Gاanbarian , Ali Saghafi
Abstract:   (5789 Views)

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.

Keywords: بررسی رابطۀ پویا بین قیمت نفت و شاخص های بازار سرمایه‌ در ایران
     
Type of Study: Applicable | Subject: پولی و مالی
Received: 2014/06/23 | Accepted: 2014/09/22 | Published: 2015/09/19
Send email to the article author

Add your comments about this article
Your username or Email:

CAPTCHA


XML   Persian Abstract   Print


Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

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


Rights and permissions
Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Volume 5, Issue 20 (9-2015) Back to browse issues page
فصلنامه تحقیقات مدلسازی اقتصادی Journal of Economic Modeling Research
Persian site map - English site map - Created in 0.09 seconds with 37 queries by YEKTAWEB 4665