LINKAGES BETWEEN BRENT OIL PRICE AND IRAN STOCK MARKET: NEW EVIDENCE FROM THE CORONA PANDEMIC

Vida Varahrami, Masoome Dadgar

Abstract


This article reviews the relationship between the oil market and the stock market during the Corona outbreak. The hypothesis of this paper is whether while oil prices shocks happen due to business cycle fluctuations and some other reasons like political reasons occur; the correlations between changes in Brent oil prices and stock market indices tend to be affected by named corona indexes. Forecasting the stock market in each period has been difficult and the value of stock index has been affected by various factors. Among these factors has been the oil and gas sector, especially in countries dependent on the revenue from their sales. This study examines relationship between Brent oil price and Iran stock market Index during the outbreak of corona pandemic. Research method is, vector autoregression model (VAR) which using daily data covering the period from February 20, 2020 to August 21, 2020. The findings of this study suggest that a negative causal effect from Brent oil price changes to the Iran stock market Index. Also, the results of impulse response functions and variance decompositions showed that some corona pandemic indicators have significant effects on the stock index.

Keywords: Corona virus, oil price, stock market index, VAR, Covid-19, Brent oil price, Tehran stock Index, Gold price, Media Hype Index, fake news Index, Media Coverage Index and Panic

JEL Classification: I18, E44, Q4, C5.


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References


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