Effect of Oil Price Volatility and Petroleum Bloomberg Index on Stock Market Returns of Tehran Stock Exchange Using EGARCH Model
The present research aims to evaluate impacts of crude oil price return index, Bloomberg Petroleum Index and Bloomberg energy index on stock market returns of 121 companies listed in Tehran stock exchange in a 10 years' period from early 2006 to April 2016. First, explanatory variables were ali...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Islamic Azad University of Arak
2016-11-01
|
| Series: | Advances in Mathematical Finance and Applications |
| Subjects: | |
| Online Access: | http://amfa.iau-arak.ac.ir/article_527821_46e34cc0acb8a8f95fd3cb319883bd15.pdf |