Effect of Oil Shocks on Stock Markets in Iran and Norway, M.Sc. Thesis Sharif University of Technology ; Modarres Yazdi, Mohammad (Supervisor)
Abstract
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...
Cataloging briefEffect of Oil Shocks on Stock Markets in Iran and Norway, M.Sc. Thesis Sharif University of Technology ; Modarres Yazdi, Mohammad (Supervisor)
Abstract
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...
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