خلاصة:
Using daily data, this study examined asymmetric pass-through of Iran’s oil price to banking stock index in Tehran Stock Exchange at different time horizons. Based on the results, the coefficient of long-run pass-through of oil price to banking stock index was estimated to be 0.63. Furthermore, based on the short-term ARDL-CECM models, the relationship between the positive components of the banking stock index and those of oil price was estimated, which was significant and equivalent to 0.44. In another model, the influence of negative components of oil price on banking stock index was estimated to be 0.38. Accordingly, by comparing the coefficients of the analyzed components of the oil variables with the corresponding components of the banking stock index, it was found that the value of these two coefficients was different, which is an evidence for an asymmetric relationship between banking stock index and oil price. In the short-term equation (ECM), the ECT value was significant and equivalent to -0.12 confirming the fact that if a shock upsets the long-term balance of the model variables in the short term, the effect of this index will wear off after about 83 periods.
ملخص الجهاز:
Furthermore, based on the short-term ARDL-CECM models, the relationship between the positive components of the banking stock index and those of oil price was estimated, which was significant and equivalent to 0.
Accordingly, researchers in different oil exporting countries argue that oil price changes have had a positive effect on the stock market, and the macroeconomic indexes also confirm such a relationship (Komijani et al.
, 2017; Filis, 2010; Chen, 2009; Miller & Ratti, 2009; O'Neill et al.
17 Stationary The results presented in Table 1 show that the positive components of both variables of the study are non-stationary at level while their negative components are stationary, which is indicative of a asymmetric co-integration relationship between banking stock index and oil price.
It shows that even if the short-term relationship between the negative shocks of the mentioned variables is significant, the long-term relationship between them will not make sense scientifically whereas the positive components of oil price and banking stock index are first-order stationary.
LBSp 0/44 0/63 LOILp t : (4/99) (7/ 77) (13) The results of the this equation were compatible with the short-term dynamic model, and it means that the positive components of oil price in long-term has direct and significant relationship with the positive components of banking stock index.
Another interesting finding of the present study was the affectability of banking stock index by oil price changes such that, as inferred from theoretical concepts, this relationship had different degrees of effect in the short and long term.