The Impact of Oil and Gold Prices’ Shock on Tehran Stock Exchange: A Copula Approach

Document Type : Research Paper


1 Professor of Economics in Shahid Beheshti University

2 Ph.D. Student in Allameh Tabatabai University

3 pH.D. Student in Allameh Tabatabai University


There are several researches that deal with the behavior of SEs and their relationships with different economical factors. These range from papers dealing with this subject through econometrical procedures to statistical methods known as copula. This article considers the impact of oil and gold price on Tehran Stock Exchange market (TSE). Oil and gold are two factors that are essential for the economy of Iran and their price are determined in the global market. The model used in this study is ARIMA-Copula. We used data from January 1998 to January 2011 as training data to find the appropriate model. The cross validation of model is measured by data from January 2011 to June 2011. We conclude that: (i) there is no significant direct relationship between gold price and the TSE index, but the TSE is indirectly influenced by gold price through other factors such as oil; and (ii) the TSE is not independent of the volatility in oil price and Clayton copula can describe such dependence structure between TSE and the oil price. Based on the property of Clayton copula, which has lower tail dependency, as the oil price drops, stock index falls. This means that decrease in oil price has an adverse effect on Iranian economy.


Article Title [فارسی]

تاثیر قیمت نفت و طلا بر بازار بورس تهران: یک رویکرد مفصلی

Authors [فارسی]

  • امیر تیمور پاینده نجف‌آبادی 1
  • مرجان قزوینی 2
  • رضا افقی 3
1 دانشکده علوم ریاضی دانشگاه شهید بهشتی، تهران
2 کارشناس ارشد بیمه، دانشکده اکو دانشگاه علامه طباطبایی، تهران
3 دانشکده اکو دانشگاه علامه طباطبایی، تهران
Abstract [فارسی]

با استفاده از فاکتورهای اقتصادی، تحقیقات زیادی در مورد رفتار بازارهای بورس انجام گرفته است. این عوامل اقتصادی را می‌توان با استفاده از ابزار آماری با نام مفصل به طورهمزمان مورد بررسی قرار داد. مقاله حاضر تاثیر قیمت جهانی نفت و طلا را بر روی شاخص بورس تهران، با استفاده از یک مدل آریما-مفصل، مورد بررسی قرارمی دهد. این مقاله ابتدا با استفاده از اطلاعات دی 1376 الی دی 1389 یک مدل آریما- مفصل به داده‌ها برازش داده، سپس با استفاده از معیار اعتبار متقابل که به کمک داده‌ها دی 1389 الی تیر 1390 محاسبه می شود، مناسب بودن مدل از نظر قدرت پیش بینی مورد سنجش قرار می‌دهد. با استفاده از مدل برازش شده می‌توان نتیجه گرفت: (1) هیچ ارتباط مستقیم معنی داری بین قیمت جهانی طلا و شاخص بورس تهران وجود ندارد، (2) شاخص بورس تهران مستقل از قیمت جهانی نفت نبوده، بلکه با توجه به مفصل کلایتون می توان همبستگی کمی در دم‌ها را نتیجه گرفت. به عبارت دیگر کاهش قیمت نفت تاثیر معکوس بر روی شاخص بورس تهران و اقتصاد ایران می‌گذارد.

Keywords [فارسی]

  • بازار بورس
  • قیمت جهانی نفت و طلا
  • مفصل
  • فرآیندهای آریما
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