Title of article :
The Effect of Covid-19 Outbreak on Registered Oil Companies at Tehran Stock Exchange
Author/Authors :
Haskuee, Mortaza Baky York University - faculty of Liberal Art , Fard, Parisa Rouhi Financial Engineering - Khaje Nassir Toosi University - Tehran, Iran , Farazandeh, Afrooz Financial Engineering - Khaje Nassir Toosi University - Tehran, Iran , Shakeri, Abdolreza Islamic Azad University - West Tehran Branch - Faculty of Humanities - Department of Accounting - Tehran, Iran
Abstract :
The goal of this paper is to study the effect of Covid-19 outbreak on oil markets volatility.Covid-19 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 20 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 20, 2020 until December 12, 2020, it applies an E-GARCH model to derive volatilities in index. To test the effect of Covid-19 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-19 has negatively affected returns of oil companies’ prices
Keywords :
Stock Market , Covid-19 , Oil Markets , GARCH Models GLE , Pandemic
Journal title :
Petroleum Business Review (PBR)
