Quarterly Publication

Document Type : Original Article

Authors

1 Visiting Professor, York University, School of Liberal Art, ON, Canada

2 Master of Financial Engineering, Khaje Nassir Toosi University, Tehran, Iran.

3 Master of Financial Engineering, Khaje Nassir Toosi University, Tehran, Iran

4 Assistant Professor, Islamic Azad University, West Tehran Branch, Faculty of Humanities, Department of Accounting, Tehran, Iran.

10.22050/pbr.2021.265950.1160

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. ‎

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