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Published in: Journal of Economics and Finance 4/2022

30-06-2022

Examining the spillover effects of volatile oil prices on Iran’s stock market using wavelet-based multivariate GARCH model

Authors: Siab Mamipour, Sanaz Yazdani, Elmira Sepehri

Published in: Journal of Economics and Finance | Issue 4/2022

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Abstract

Fluctuations in the oil market can significantly influence various sectors of the economy, such as the stock markets of countries that rely heavily on oil revenues. Oil prices are one of the key influential external factors affecting the stock exchange index of oil-dependent Iran. This paper investigates the spillover effects of oil prices on Iran’s stock exchange index weekly from March 2009 to March 2020. Using a time-series wavelet decomposition approach, a series of OPEC oil prices and Iran’s total stock market index were decomposed into various time scales (4 levels) to analyze oil market spillover into the stock market using the multivariate GARCH TBEKK model. The results confirmed that volatility spillover from the oil to the stock market occurred in all the time scales (short, medium, and long term). However, the spillover in the long term is more pronounced than over the short, demonstrating that stock market volatility is strongly influenced by long-term exogenous oil price fluctuations. Hence, oil market shocks are one of the influential factors affecting stock market turbulence in Iran.
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Metadata
Title
Examining the spillover effects of volatile oil prices on Iran’s stock market using wavelet-based multivariate GARCH model
Authors
Siab Mamipour
Sanaz Yazdani
Elmira Sepehri
Publication date
30-06-2022
Publisher
Springer US
Published in
Journal of Economics and Finance / Issue 4/2022
Print ISSN: 1055-0925
Electronic ISSN: 1938-9744
DOI
https://doi.org/10.1007/s12197-022-09587-7

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