The effect of oil price on stock market performance and petrochemical stock value using NARDL

Year 2024, Volume: 6 Issue: 1, 25 - 33, 19.05.2024

Mohammad Amri-asrami , Elahe Ebadi Jamkhane

https://doi.org/10.58251/ekonomi.1430729

Abstract

The aim of the study is to examine the impact of oil prices on the stock market performance and the stock value of petrochemical companies on the Tehran Stock Exchange (TSE). For this, it utilizes the Non-linear autoregressive distributed lag during 2011 to 2021 using time series data with monthly frequency. The results showed that in the short run, the oil price has an asymmetric impact on the stock value of petrochemical industries and also on the performance of the stock market, while in the long run, this effect is symmetrical. So, the influence of bouncing up the oil price is greater than the impact of its moving down. Then, the asymmetric effect happens through the increase in oil prices. Therefore, ups and downs in oil prices lead to fluctuations in the stock market returns, especially in petrochemical companies. Based on the results, capital market participants should watch the informational content of oil price fluctuations to make buying and selling decisions and invest in companies' shares according to these fluctuations.

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Keywords

Nonlinear autoregressive distributed lag (NARDL), Asymmetric effect, Oil price, Petrochemical industry index, Stock value.

Ethical Statement

Hello dears, This article is the result of our research and has not been submitted to another journal and is not under review. We will wait until the results of the arbitration are determined. Thank you for your cooperation

Supporting Institution

This study is part of the master's thesis research work.

Thanks

Thank you for your cooperation

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