Oil price shocks and stock market in oil‐exporting countries: evidence from Iran stock market
- 3 December 2012
- journal article
- research article
- Published by Wiley in OPEC Energy Review
- Vol. 36 (4) , 396-412
Abstract
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.Keywords
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