Uncertainty in oil price and Tehran Stocks Exchange’Return (Using VAR-BEKK methods)

The stock market as the main institution of the capital market is an integral part of the financial system of the economy. Among the factors that affect stock market returns are changes in oil prices. This issue can be especially important in relation to oil exporting countries. The aim of this paper is surveying the effects of oil price uncertainty on Tehran stock exchange’ return . For this, bivariate GARCH model and VAR-BEKK method was used on the base of data for 2008:3 to 2020:3. The results show that oil price uncertainty affects Tehran stock exchange’ return. Also, Tehran stock exchange’ return, affected by its own past shock and the oil price. On the other hand, there have been spillover of fluctuations from the oil price return to Tehran stock exchange’ return and vice versa.