Investigating the Asymmetric relation between the Global Crude Oil Market and Iran's Capital Market during the Covid-19 Pandemic

The Covid-19 pandemic has negatively affected the world economy, especially the crude oil industry, due to the decrease in crude oil demand, quarantine, and uncertainty related to the global economic recession, and at the same time, the price war between Saudi Arabia and Russian. In this study, using weekly data from March 2020 to September 2021, which coincides with the outbreak of the Covid-19 disease in the world, the asymmetric effects of crude oil price changes on Iran's capital market will be investigated. To check the assumptions of this research and verify the long-term nonlinear relationships, the boundary test approach is used and the long-term and short-term asymmetric coefficients are estimated simultaneously with the NARDL_ECM model. Also, the rate of government treasury bonds, the number of confirmed cases and the value of retail transactions have been used as control variables. The results show that the positive oil price changes have a stronger significant positive effect on the Iranian capital market than the negative changes. This point shows that when the global crude oil is increasing, buying shares can be profitable for market participants. In addition, due to the weak and insignificant correlation of the capital market with the negative oil price changes, when the price is falling due to unforeseen events such as the epidemic of Covid-19, market participants should avoid excitement and negative emotions in selling shares.