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Impacts of The Asymmetric Oil Price Volatility on Iranian Stock Returns: A Quantile Approach
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Impacts of The Asymmetric Oil Price Volatility on Iranian Stock Returns: A Quantile Approach

Author

Listed:
  • Monjazeb, Mohammad Reza

    (Associate Professor of Economics, Kharazmi University)

  • Matani , Masoud

    (Master of Economics,Kharazmi University)

  • Movahedi , Seyyed Farhad

    (Ph.D. student of Economics, Mazandaran University)

Abstract

This study seeks to investigate the asymmetric effect of oil price volatility on Iranian stock market returns using seasonal data from autumn 2008 to autumn 2021. For this purpose, the quantile regression model was examined in the quantiles of 0.10 (lower), 0.50 (middle), and 0.90 (higher) quantails which refer to Bearish, Normal and Bullish conditions in the stock market, respectively. The results show that the quantile estimation is not symmetrical and the positive fluctuations of oil prices in the bearish and bullish situations of the stock market have a negative and significant effect on the stock returns, and in the normal state, it does not have a significant effect on the stock returns. The effect of negative oil price fluctuations is positive and significant in all three situations of the stock market, but in the bullish situation, it has a greater effect on the stock returns than in the bearish situation. In the normal state of the stock market, oil price fluctuations should be considered symmetrically; This means that the effect of reducing oil price fluctuations is the same as the effect of its increase on the return of the Iranian stock market. Due to the fluctuating nature of oil prices in the world markets, some economic indicators of oil exporting countries, including the capital market, are subject to instability, and to predict the behavior of capital market investors, different market conditions must be analyzed differently from each other.

Suggested Citation

  • Monjazeb, Mohammad Reza & Matani , Masoud & Movahedi , Seyyed Farhad, 2023. "Impacts of The Asymmetric Oil Price Volatility on Iranian Stock Returns: A Quantile Approach," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 9(4), pages 97-132, March.
    • Handle: RePEc:ris:qjatoe:0289
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    More about this item

    Keywords

    Oil Price Fluctuations; Stock Market Returns; Quantile Regression;
    All these keywords.

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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