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Measuring Contagion Effects between Crude Oil and Iran Stock Market Sectors

Yazdani, Vida | 2020

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 53179 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Zamani, Shiva
  7. Abstract:
  8. The Contagion of markets to each other, due to their role in the occurrence of financial crises and the transmission of shocks, is an important topic in the financial literature. In this dissertation, we study this issue by examining the number of positive and negative co-exeedances in the oil market and Tehran Stock Exchange. The data examined are the daily time series of Tehran Stock Market Index and Oil Prices (WTI) in the period of 2009 to 2019.First of all we find the time cut-off rate of the daily returns of the stock indexes of different industries and of oil prices, using the generalized Pareto distribution (GPD). Then we count the number of days when the returns have negative or positive co-exeedances with the oil market returns. In this study, the impact of the oil market to different segments of the stock market is estimated using the multinomial logit method. In fact, this technique allows us to examine the relationship between Iranian stock market segments and the sharp changes in crude oil prices. The results show that oil prices have had a significant impact on the stock market. This means that contagions exist between the oil market and different segments of the stock market. It can also be seen that the number of days when the oil and stock markets have had positive co-exceedances are greater than the number of oil and stock market negative co-exceedances. This means that the contagion between of the oil market and stock market is asymmetric
  9. Keywords:
  10. Contagion ; Tehran Stock Exchange ; Generalized Pareto Distribution ; Oil Price Shocks ; Stock Price ; Multinomial Logit Model ; Co-Exceedances

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