Investigating the Integration between Oil Price Changes and Iranian Stock Market Returns and the Countries of the Persian Gulf

Considering the significant role of oil and its sales and prices in the economy of Iran and the Persian Gulf countries, as well as the popularity of the general public and economic activists and foreign investors to operate in the Iranian capital market, examining changes in oil prices and stock market returns is very important. Therefore, the main purpose of this study is to investigate the integration between changes in oil prices and stock market returns of Iran and the Persian Gulf countries. The data are collected through the official website of APEC Organization and the archive of stock exchange indices of each member country during the beginning of 2012 until the end of the first half of 2018 and on a monthly basis using the two-variable GARCH-BEKK model, VAR model. Granger causality was examined. The results show that changes in oil prices without calculating structural failure affect the stock markets of OPEC member countries. However, when structural failure is used, the results will be different