Investigating the Relationship between Stock Price Index, Oil Price and Exchange Rate in OPEC Members
Subject Areas :Elham Nobahar 1 , Sima Nasib parast 2
1 - Associate Prof. in Economics, Faculty of Economics and Management, University of Tabriz, Tabriz, Iran
2 - PhD in Economics, Faculty of Economics and Management, University of Tabriz
Keywords: Keywords: Stock Index, Exchange Rate, Oil Price, OPEC Countries, Dumitrescu-Hurlin Causality.,
Abstract :
Elham Nobahar Sima Nasib parast Abstract One of the most important economic sectors that plays a significant role in achieving sustainable development is the capital market. Stock market is one of the most important examples of capital markets and its nature and interrelationship with other markets have always been of interest to researchers and financial economists. Accordingly, it can be expected that this market has a two-way relationship with other markets, including exchange market and oil market. Therefore, considering the importance of the stock market on the one hand and its interrelationship with other markets such as exchange market and oil market on the other hand, the present study aims to examine the causal relationships between stock index with exchange rate and oil price in OPEC countries during the period of 2009-2021 applying Dumitrescu-Hurlin causality approach (2012). The results of this study indicate that there is a one-way causal relationship from the exchange rate to the stock index. Thus, the exchange rate has an effect on the stock index, but the stock index does not affect the exchange rate. In addition, the causal relationship between stock index and oil price is one-way from stock index to oil price. This means that the oil price does not affect stock index, but stock index has an effect on oil price. Also, there is a two-way causal relationship between oil price and exchange rate.