Stock Market and Exchange RatesMarkets Interactions With with Respect to Oil Shocks

This study examines short run dynamic linkages between exchange rates and stock prices in for an oil exporting country of Iran, during upward and downward periods of oil price for the period 1999 to 2006. We consider two normal and crisis periods with respect to the stock market activities. We use a Our findings are robust with respect toVAR model and the Granger causality tests developed by Toda and Yamamoto (1995). Our empirical results show that there is a significant causal relation from oil prices to stock prices and then from stock prices to exchange rates during the periods of increasing oil prices periods. Furthermore, we do not find ano significant causality between stock prices and exchange rates during these increasing oil price periods. Also, Dduring the crisis period, however, the interactions between markets would collapse. Our findings also indicate that the linkages vary with respect to exchange rate regimes.