Petroleum University of Technology Petroleum Business Review 2645-4726 4 4 2020 10 01 The Effect of Covid-19 Outbreak on Registered Oil Companies at Tehran Stock Exchange 77 87 122579 10.22050/pbr.2021.265950.1160 EN Mortaza Baky Haskuee Assistant Professor, Visiting Professor, York University, faculty of Liberal Art, Email: m.baky@isu.ac.ir,mbaky@yorku.ca Parisa Rouhi Fard M.S. Student, Financial Engineering, Khaje Nassir Toosi University, Tehran, Iran. Afrooz Farazandeh M.S. Student, Financial Engineering, Khaje Nassir Toosi University, Tehran, Iran Abdolreza Shakeri Assistant Professor, Islamic Azad University, West Tehran Branch, Faculty of Humanities, Department of Accounting, Tehran, Iran. Journal Article 2020 08 02 <span class="H5CharChar">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.</span> https://pbr.put.ac.ir/article_122579_3ab9908e72be3f7922dfc68a17730c23.pdf