Impacts of Crude Oil Price Changes on Capital Market Indexes: Empirical Evidence from Tehran Securities Exchange and Tadawul Exchange Comparison

Akbarzadeh, Alireza; Jaimand, Kamyar

doi:10.22050/pbr.2023.390456.1294

Impacts of Crude Oil Price Changes on Capital Market Indexes: Empirical Evidence from Tehran Securities Exchange and Tadawul Exchange Comparison

Document Type : Original Article

Authors

Alireza Akbarzadeh

Kamyar Jaimand

Management Department, Faculty of Management and Economics, Sharif University of Technology, Tehran, Iran

https://doi.org/10.22050/pbr.2023.390456.1294

Abstract

Several studies in the field of capital markets indicate that changes in macroeconomic parameters, including crude oil price changes in many cases, have significant effects on capital market indexes. The present study seeks to investigate the effect of crude oil price changes on the indexes of Tehran Stock Exchange and Saudi Stock Exchange also known as The Tadawul Exchange using the two-factor capital asset pricing model with samples gathered from years 2016-2022 from both markets. The results of the study show that, both markets are relatively sensitive to the oil price index and despite severe economic sanctions imposed on Iran, Its capital market, having more significantly oil-related indexes, is still more oil-dependent than that of Saudi Arabia. The results also suggest the asymmetric relation with oil price movements in both countries due to their oil-exporting nature where both markets are more sensitive to negative oil price movements rather than its positive ones. Also, it is concluded that due to the diversity of industries in Tehran Stock Exchange, the economic sanctions imposed on Iran have a more directed impact on its capital market rather than affecting it through a mediator parameter such as oil price movements.

Keywords

Economic Sanctions

Saudi Stock Exchange

Tehran Stock Exchange

WTI Oil

Subjects

Oil and Gas Economics and Management

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