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مقالات فارسیISIکنفرانسهاژورنالها

The Effect of Covid-۱۹ Outbreak on Registered Oil Companies at Tehran Stock Exchange

محل انتشار: فصلنامه بررسی تجارت نفت، دوره: 4، شماره: 4
سال انتشار: 1399
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 156

فایل این مقاله در 11 صفحه با فرمت PDF قابل دریافت می باشد

استخراج به نرم افزارهای پژوهشی:

لینک ثابت به این مقاله:
https://civilica.com/doc/1181972

شناسه ملی سند علمی:

JR_PBR-4-4_006

تاریخ نمایه سازی: 30 فروردین 1400

چکیده مقاله:

The goal of this paper is to study the effect of Covid-۱۹ outbreak on oil markets volatility.Covid-۱۹ as a pandemic has a significant negative effect on global economy.  Alongside the global economy, stock markets responded to the outbreak immediately. The first case appeared in February ۲۰ in Iran.  The outbreak has different implication for Iranian economy. Using daily data on return of oil companies registered at Tehran Stock Exchange (TSE), change in new cases integrated into the E-GARCH model as a proxy for the virus outbreak form February ۲۰, ۲۰۲۰ until December ۱۲, ۲۰۲۰, it applies an E-GARCH model to derive volatilities in index. To test the effect of Covid-۱۹ outbreak on the volatilities in oil companies’ index, change in daily new cases integrated into the E-GARCH model as a proxy for the virus outbreak. The results show that, despite of fresh money pumped into the market and increase in market transactions and volume of trade, during the first phase of outbreak, Covid-۱۹ has negatively affected returns of oil companies’ prices.

کلیدواژه ها:

Pandemic ، COVID-۱۹ ، Stock market ، Oil Markets ، GARCH Models GLE

نویسندگان

Mortaza Baky Haskuee

Assistant Professor, Visiting Professor, York University, faculty of Liberal Art

Parisa Rouhi Fard

M.S. Student, Financial Engineering, Khaje Nassir Toosi University, Tehran, Iran.

Afrooz Farazandeh

M.S. Student, Financial Engineering, Khaje Nassir Toosi University, Tehran, Iran

Abdolreza Shakeri

Assistant Professor, Islamic Azad University, West Tehran Branch, Faculty of Humanities, Department of Accounting, Tehran, Iran.

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