An investigation the impact of crude oil price shocks on stock returns of listed companies in Tehran Stock Exchange

Abstract: Considering the Iranian economy's dependence on oil revenues and the impact of various economic sectors, including Tehran Stock Exchange, on oil price volatility, the purpose of this study was to investigate the effect of crude oil price shocks on stock returns of listed companies in Tehran Stock Exchange during the period of 2012 to 2016. Fllowing to Khalil Jebran et al. (2017), three factors have been used to measure oil price shocks, including oil price, oil price momentum and oil sales momentum. For this purpose, three hypotheses were formulated. Analysis and testing of hypotheses by generalized least squares regression (EGLS) and with panel data approach have been done. The results show that there is not a significant relationship between oil price and stock returns in Iranian capital market, While there is a negative and significant relationship between oil price momentum and stock returns, there is a positive and significant relationship between oil sales momentum and stock returns in stock exchange companies.