| تعداد نشریات | 24 |
| تعداد شمارهها | 877 |
| تعداد مقالات | 7,848 |
| تعداد مشاهده مقاله | 14,537,456 |
| تعداد دریافت فایل اصل مقاله | 12,272,590 |
The Impact of Oil and Gold Prices’ Shock on Tehran Stock Exchange: A Copula Approach | ||
| Iranian Journal of Economic Studies | ||
| مقاله 2، دوره 1، شماره 2، اسفند 2012، صفحه 23-47 اصل مقاله (607.85 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22099/ijes.2014.1560 | ||
| نویسندگان | ||
| Amir T. Payandeh Najafabadi* 1؛ Marjan Qazvini2؛ Reza Ofoghi2 | ||
| 1Mathematical Sciences Department Shahid Beheshti University | ||
| 2E.C.O College of Insurance Allameh Tabatabai University | ||
| چکیده | ||
| There are several researches that deal with the behavior of SEs and their relationships with different economical factors. These range from papers dealing with this subject through econometrical procedures to statistical methods known as copula. This article considers the impact of oil and gold price on Tehran Stock Exchange market (TSE). Oil and gold are two factors that are essential for the economy of Iran and their price are determined in the global market. The model used in this study is ARIMA-Copula. We used data from January 1998 to January 2011 as training data to find the appropriate model. The cross validation of model is measured by data from January 2011 to June 2011. We conclude that: (i) there is no significant direct relationship between gold price and the TSE index, but the TSE is indirectly influenced by gold price through other factors such as oil; and (ii) the TSE is not independent of the volatility in oil price and Clayton copula can describe such dependence structure between TSE and the oil price. Based on the property of Clayton copula, which has lower tail dependency, as the oil price drops, stock index falls. This means that decrease in oil price has an adverse effect on Iranian economy. | ||
| کلیدواژهها | ||
| Stock Exchange market (SE)؛ Oil؛ Gold؛ Copula؛ ARIMA processes | ||
| مراجع | ||
|
Abbasian, E. A., Moradpour Ouladi, M., and Abbasioun, V. (2008). The impact of macroeconomic variables on the SE: Evidence from Tehran Stock Exchange. Iranian Economic Research, 36, 135-152.
Arouri, M. (2011). Does crude oil move SE in Europe? A sector investigation. Economic Modeling,28, 1716-1725.
Arouri, M., Lahiani, A., and Ngugen, D. (2011). Return and volatility transmission between world oil prices and SEs of the GCC countries. Economic Modeling, 28, 1815-1825.
Arouri, M. and Rault, C. (2010). Oil prices and SEs: What drives what in the Gulf Corporation Council Countries? ESIFO working paper No. 2934. Category 10: Energy and Climate Economics.
Basher, S. A. and Sadorsky, P. (2006). Oil price risk and emerging SEs. Global Finance Journal, 17, 224–251.
Bashiri, N. (2011). The study of relationship between stock exchange index and gold price in Iran and Armenia. 5, http//:www.armef.com/pdfs/Neda_Bashiri.pdf/.
Brockwell, P. J. and Davis, R. A. (2009). Time Series: Theory and methods. New York: Springer.
Cherubini U., Luciano E., and Vecchiato W. (2004). Copula methods in finance, England: Wiley.
Clayton, D. G. (1978). A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence. Biometrika, 65, 141–151.
Constantinos, K., Ektor, L., and Dimitrios, M. (2010). Oil price and SE linkages in a small and oil dependent economy: the case of Greece. The Journal of Applied Business Research,26, 55–63.
Denuit, M., Dhaene, J., Goovaerts, M., and Kaas, R. (2005). Actuarial theory for dependent risks, measures, orders and models, Wiley, England.
El-Sharif, I., Brown, D., Burton, B., Nixon, B., and Russel, A. (2005). Evidence on the nature and extent of the relationship between oil prices and equity values in the UK. Energy Economics, 27, 819–830.
Eslamlouian, K. and Zare, H. (2007). The impact of macro variables and alternative assets on stock price movement in Iran: An ARDL model. Iranian Economic Research,29, 17-46.
Farzanegan, M. R. and Markwardt, G. (2009). The effect of oil price shocks on the Iranian economy. Energy Economics,31, 134–151.
Foster, K. and Kharazi, A. (2008). Contrarian and momentum returns on Iran’s Tehran Stock Exchange, The Journal of International Financial Markets. Institutions and Money,18, 16–30.
Frees, E. W. and Valdez, E. A. (1998). Understanding relationships using copulas. North American Actuarial Journal, 1, 1–25.
Frees, E. W. and Wang, P. (2005). Credibility using copula. North American Actuarial Journal, 2, 31–48.
Furstenberg, G. M. and Bang, N. J. (1989). International stock price movements: links and messages. Brookings Papers on Economic Activity, 1, 125–179.
Genest, C. and Favre, A. C. (2007). Everything you always wanted to know about copula but were afraid to ask. Journal of Hydrologic Engineering, 12, 347–368.
Genest, C. Rémillard, B. and Beaudoin, D. (2009). Goodness-of-fit tests for copulas: A review and a power study. Insurance: Mathematics and Economics,44, 199–213.
Grégoire, V., Genest, C., and Gendron, M. (2008). Using copulas to model price dependence in energy market. Energy Risk,5, 58–64.
Hammoudeh, S., and Aleisa, E. (2004). Dynamic relationships among GCC SEs and Nymex oil futures. Contemporary Economic Policy, 22, 250–269.
Hammoudeh, S., and Choi, K. (2006). Behaviour of GCC SEs and impacts of US oil and financial markets. Research in International Business and Finance, 20, 22–44.
Harvey, A. C. (1993). Time series models 2ed, The MIT Press, UK.
Hastie, T., Tibshirani R., and Friedman, J. (2009). The elements of statistical learning, data mining, inference, and prediction, 2nd ed., Springer, USA.
IMF (2004). Islamic Republic of Iran: Selected Issues, IMF Country Report No. 04/308.
IMF (2010). Islamic Republic of Iran: Selected Issues, IMF Country Report No. 10/76.
IMF (2011). Islamic Republic of Iran: Selected Issues, IMF Country Report No. 11/242
Jawadi F., Arouri M., and Bellalah M. (2010). Nonlinear linkages between oil and SEs
in developed and emerging countries. International Journal of Business, 15, 19–31.
Jondeau, E., and Rockinger, M. (2006). The Copula-GARCH model of conditional dependencies: An international SE application. Journal of International Money and Finance, 25, 827–853.
Keshavarz, H. G., and Manavi, S. H. (2009). SE and exchange rates interactions with respect to oil shocks. Iranian Economic Research, 37, 147-169.
Kilian, L., and Park, C. (2009). The impact of oil price shocks on the US SE. International Economic Review, 4, 1267–1287.
Kojadinovic, I., and Yan, J. (2010). Modeling multivariate distributions with continuous margins using the copula R package. Journal of Statistical Software, 9, 1–20.
Lehmann, E. L., and Romano, J. P. (2005). Testing statistical hypothesis, 3rd ed. Springer, New York, USA.
Lin, C., Fang, C., and Cheng, H. (2009). Relationship between oil price shocks and SE: An empirical analysis from the Greater China.
Malik, F., and Hammoudeh, S. (2007). Shock and volatility transmission in the oil, US and Gulf equity markets. International Review of Economics and Finance, 16, 357–368.
Mashayekh, S., Haji Moradkhani, H., and Jafari, M. (2011). Impact of macroeconomic variables on SE: The case of Iran. 2nd International conference on business and economic research (2nd ICBER 2011).
Masron, T. A., and Fereidouni, H.G. (2010). Performance and diversification benefits of housing investment. International Journal of Economics and Finance, 4, 7–11.
Melo Mendes, B. V., and Ai’ube, C. (2011). Copula based models for serial dependence. International Journal of Managerial Finance, 7, 68–82.
Mohanty, S., Nandha, M., and Bota, G. (2010). Oil shocks and stock returns: The case of the Central and Eastern European (CEE) oil and gas sectors. Emerging Markets Review, 11, 358–372.
Mun, J. (2006). Real options analysis: Tools and techniques for valuing strategic investments and decisions. 2nd ed. Wiley Finance.
Nandha, M., and Hammoudeh, S. (2007). Systematic risk, and oil price and exchange rate sensitivities in Asia-Pacific SEs. Research in International Business and Finance,21, 326–341.
Nelsen, R. (2006). An introduction to copulas,2nd, Springer, New York.
Ning, C. (2010). Dependence structure between the equity market and the foreign exchange market- A copula approach. Journal of International Money and Finance, 29, 743–759.
Papachristou, D. (2004). Modelling dependencies. The Actuary, April, 24–27.
Park, J. W., and Ratti, R. A. (2007). Oil price shocks and SEs in the US and 13 European countries, Department of Economics, University of Missouri-Colombia, USA.
Pesaran, M. H., and Shin, Y. (1999). An autoregressive distributed lag modeling approach to cointegration analysis. (ed) S. Strom, Econometrics and Economic Theory in the 20th Century: The Ragner Frisch Centennial Symposium, chapter 11.Cambridge University Press, Cambridge.
Roch, O., and Alegra, A. (2006). Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish SE. Computational Statistics and Data Analysis, 51, 1312–1329.
Reboredo, J. (2011). How do crude oil prices co-move? A copula approach. Energy Economics, 33, 948-955.
Saeidi, P., and Amiri, A. (2009). Relation between macroeconomic variables and general index in Tehran Stock Exchange. Economic Modeling,(Iran), 2, 111-130.
Samadi, S., Shirani, Z., and Davarzadeh, M. (2007). Investigating the influence of world price of gold and oil on the Tehran Stock Exchange Index: modeling and forecasting. Quarterly Journal of Quantitative Economics,4, 25–51.
Wang, K., Chen, Y., and Huang, S. (2011). The dynamic dependence between the Chinese market and other international SEs: A time-varying copula approach. International Review of Economics and Finance,20, 654–664.
Zare, H., and Rezaei, Z. (2006). The effects of foreign exchange, gold coin and housing markets on Tehran SE: A vector error correction model. Research Bulletin of Isfahan University (Humanities),21, 99–112.
Zhang, Y., and Wei, Y. (2010). The crude oil market and the gold market: Evidence for cointegration, causality and price discovering. Resources Policy,35, 168–177.
http://www.cbi.ir/.
http://www.indexmundi.com/.
http://www.tse.ir/.
http://tsd.cbi.ir/.
R Development Core Team (2011). R: A language and environment for statistical computing. R Foundation for Statistical Computing, Vienna, Austria. ISBN 3-900051-07-0, URL http://www.R-project.org/. | ||
|
آمار تعداد مشاهده مقاله: 12,059 تعداد دریافت فایل اصل مقاله: 4,519 |
||