Oil price shocks and stock market in oil-exporting countries: evidence from Iran stock market

Seyyed Ali Paytakhti Oskooe

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Oil price shocks and stock market in oil-exporting countries: evidence from Iran stock market

机译：石油出口国的油价冲击和股市：来自伊朗股市的证据

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This study adopts causality in mean and variance approach to investigate dynamic relationship between stock market in an oil-exporting country (Iran) and the international oil market. The empirical results imply that in view of underlying data-generating process of the series, the variance of oil price fluctuations does not cause the variance of Iran stock returns. This means that there is no volatility spillover effect between Iran stock market and international oil market.

机译：本研究采用均值和方差因果关系方法研究石油出口国（伊朗）的股票市场与国际石油市场之间的动态关系。实证结果表明，鉴于该序列的基础数据生成过程，油价波动的方差不会导致伊朗股票收益率的方差。这意味着伊朗股票市场和国际石油市场之间没有波动溢出效应。

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来源
《OPEC energy review》 |2012年第4期|396-412|共17页
作者
Seyyed Ali Paytakhti Oskooe;
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作者单位

Department of Economics, Tabriz Branch, Islamic Azad University, 5157944533, Tabriz, Iran;

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6. Relationships among Energy Price Shocks Stock Market and the Macroeconomy: Evidence from China [O] . Rong-Gang Cong, Shaochuan Shen 2013

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7. Regime-Switching in the Impact of Oil Price Shocks on Stock Market Volatility: Evidence from Oil-Importing and Oil-Exporting Countries [O] . Sapkota Kishmat 2015

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Oil price shocks and stock market in oil-exporting countries: evidence from Iran stock market

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