Abstract:
The present research aims to evaluate impacts of crude oil price return index,
Bloomberg Petroleum Index and Bloomberg energy index on stock market returns
of 121 companies listed in Tehran stock exchange in a 10 years' period from early
2006 to April 2016. First, explanatory variables were aligned with petroleum
products index mostly due to application of dollar data. Subsequently, to check
variables stationary, Dickey-Fuller generalized test was considered and ARCH
test was adopted to check for Heteroscedasticity in error terms and residual values.
Finally, EGARCH was used to address model heteroscedasticity. The results
showed that variations of Petroleum Bloomberg index, crude oil price and
Bloomberg energy index could explain changes in Tehran stock exchange index
returns. Any rise in oil prices increases total Stock Exchange returns. On the other
hand, Stock Exchange index returns is aligned with Petroleum Bloomberg index.
at the same time changes in Tehran stock exchange index returns was reversely
correlated with changes in energy index return among others.
Machine summary:
Effect of Oil Price Volatility and Petroleum Bloomberg Index on Stock Market Returns of Tehran Stock Exchange Using EGARCH Model Gholamreza Zomorodiana,*, Laleh Shabani Barzegarb, Soghra Razi Kazemib,Mohammad Poortalebic aDepartment of Management, Islamic Azad University Central Tehran Branch, Tehran, Iran.
bDepartment of Management Accounting, University of Rasht, Rasht, Iran c Department of Management, University of Tehran, Tehran, Iran Article Info Article history: Received 21 October 2016 Accepted 14 January 2017 Keywords: Oil price volatility Petroleum products index Tehran Stock Exchange index EGARCH model ABSTRACT The present research aims to evaluate impacts of crude oil price return index, Bloomberg Petroleum Index and Bloomberg energy index on stock market returns of 121 companies listed in Tehran stock exchange in a 10 years' period from early2006 to April 2016.
The results showed that variations of Petroleum Bloomberg index, crude oil price and Bloomberg energy index could explain changes in Tehran stock exchange index returns.
For this, the present research aims to evaluate im- pacts of crude oil price return index, Bloomberg Petroleum Index and Bloomberg energy index on stock market returns of companies listed in Tehran stock exchange using EGARCH model.
results of the present research in terms of significance and correlation and relationship be- tween oil prices and stock market returns are in line with findings of Naifar and Al Dohaiman [16], Roberti and Rivera Castro, Rahman and Slorits [17], Chen and Hsu [14], Joher Ahmed et al [15], Veimin [15], Aloui, and Jammazi [20].