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Effect of Oil Shocks on Stock Markets in Iran and Norway

Afkhamizadeh, Mostafa | 2012

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 42704 (01)
  4. University: Sharif University of Technology
  5. Department: Industrial Engineering
  6. Advisor(s): Modarres Yazdi, Mohammad
  7. Abstract:
  8. In this study, the effect of oil price shocks on stock markets is examined for Iran and Norway as two oil-exporting countries. To do this, an unrestricted Vector Auto-regression model is applied based on monthly data from April 2001 to March 2011. The variables used in the model are Brent oil price shocks, interest rate, consumer price index and stock returns. To find the relationship between oil price shocks and stock markets and determine the effects of oil shocks on stock markets, impulse-response analysis and variance decomposition are employed. To compare the effects of positive and negative oil price shocks, a Chi-square test is used. The proposed model is applied on different types of linear, non-linear and asymmetric oil price shocks. The empirical results show that oil price shocks have no statistically significant effect on Iran’s stock market. Unlike Iran, most oil price shocks have statistically significant negative effects on Norway’s stock market, although these effects are not consistent for different oil price shocks specifications. The negative effects of oil price shocks on stock markets in Norway are against its nature as an oil-exporting country and differ with the results of previous studies. Also the difference between the effects of positive and negative oil price shocks on stock markets in Iran and Norway is statistically significant
  9. Keywords:
  10. Stock Market ; Variance Decomposition ; Vector Autoregressive Model ; Oil Price Shocks ; Impulse-Response Function

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