Sharif Digital Repository

This study investigates the effect of commodity price shock, including oil and base metals prices, on Tehran exchange and industries stock returns. These industries have the largest market share in Tehran exchange and may heavily depend on global prices. Using weekly data from 1387 to 1396, Multifactor and VAR models are performed to analyze the variance decomposition and impulse response function of each industry to 1% price shock. In addition to global prices, some macroeconomic factors that are likely to affect stock returns are considered. The results show that commodities price shocks have dynamic and significant effects on stock returns  

The commodity market as a noteworthy section of the capital market plays a prominent role in the economy of a nation. Base metals, which are widely utilized as industrial raw materials, account for a part of the costs imposed on a nation’s economy. Hence the price levels and volatility of such metals have been under close observation by the capital markets and in the process of monetary policy. In this research we investigate the impacts of the monetary policy of the Federal Reserve on the return of base metals based on daily data and also on the stock return of the corporates which are associated with these metals by using intraday data. This poster employs Federal Funds Futures Contracts... 

Are the returns of the mineral companies in Tehran Stock Exchange affected by the changes in the commodity price at the Iran Mercantile Exchange? By implementing a Multi-Factor Model we will calculate the firms’ value elasticity to the commodity price changes. We try to explain the estimated elasticities on the basis of the firm’s fundamental variables using a discounted cash flow valuation model. An unbalanced panel data estimation is employed for this purpose. Afterwards, we will suggest a novel model on the ground of the assumption that the commodity prices and firm values follow the Geometric Brownian Motion. The result of the model is that the elasticity can be explained by commodity...