The Dynamic Effects of Oil Price Shock and Basemetals Price Shock on Tehran Stock Exchange Return and Commodity-based Industries Returns

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Gholami, Karimeh | 2018

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 51436 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Barakchian, Mahdi
Abstract:
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
Keywords:
Stock Return ; Industry ; Vector Autoregressive Model ; Commodity Price ; Tehran Stock Exchange ; Oil Price Shocks

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