The long run relationship between oil price risk and Tehran stock exchange returns in presence of structural breaks

摘要

This paper aims to examine the relationship between oil price risk and Tehran stock exchange returns during the period 2003-2014. Due to the existence of great shocks for oil price in the period and therefore its effect on the trend of Tehran stock exchange, the risk of oil price is calculated under The Value at risk (VaR) model in this study. Hence, we apply three approaches including Gregory & Hansen, Saikkonen & Liitkepohl, and Johansen trace test which are performed in the framework of structural breaks existence in order to evaluate the long-run relations among the variables. The results indicate a long-term relationship between oil price risk and Tehran stock market returns. The results also show a significant impact of international sanctions imposed on the Iranian nuclear file on the Tehran stock exchange