Energy Prices and Investor’s Sentiments in the Tehran Stock Exchange: An ARDL Bounds Testing Approach

Document Type : Research Paper


Department of Finance and Accounting, Faculty of Management and Accounting, College of Farabi, University of Tehran, Qom, Iran


­The main purpose of this study is to examine the relationship between energy prices (oil and natural gas) and individual investor sentiments on the Tehran stock exchange. Oil and natural gas are two strategic commodities among the world’s most important energy sources. Energy price fluctuations, directly and indirectly, affect the economy and financial markets, especially those oil-exporting and importing countries. We monthly examined the relationships between energy prices and investor sentiment using the Autoregressive Distributed Lag (ARDL) technique from 2010 to 2020. The results showed that crude oil prices positively affect investor sentiment both in the long and short run, which is consistent with the oil-exporting structure of the Iranian economy. Moreover, the results demonstrated neither a short-run nor a long-run association between gas prices and investor sentiment. The study’s findings suggest that oil prices could be used to predict investor sentiments and optimize an investor’s portfolio.


Main Subjects

Article Title [Persian]

قیمت انرژی و احساسات سرمایه‌گذاران در بورس اوراق بهادار تهران: کاربرد آزمون کرانه-ای ARDL

Authors [Persian]

  • محمد ندیری
  • سید حسن مسعودی علوی
گروه مدیریت مالی و حسابداری، دانشکدۀ مدیریت و حسابداری، دانشکدگان فارابی، دانشگاه تهران، قم، ایران
Abstract [Persian]

هدف اصلی این تحقیق بررسی رابطه بین قیمت انرژی (نفت خام و گاز طبیعی) با احساسات سرمایه گذاران در بورس اوراق بهادار تهران است. نفت و گاز طبیعی دو کالای استراتژیک بوده و از جمله منابع حیاتی انرژی در سراسر جهان هستند. نوسانات قیمت انرژی دارای تاثیرات مستقیم و نیز غیرمستقیمی بر اقتصاد کشورها و بازارهای مالی آنها است. در این مطالعه رابطه بین قیمت انرژی و احساسات سرمایه گذاران در بورس اوراق بهادار تهران در دوره طی دوره 1390 تا 1399 به شکل ماهانه با استفاده از رهیافت خود رگرسیونی با وقفه­های توزیعی (ARDL) بررسی شده است. نتایج به دست آمده حاکی از تاثیر مثبت و معنی­دار قیمت نفت خام بر احساسات سرمایه­گذاران در بورس اوراق بهادار تهران در کوتاه­مدت و بلندمدت است. این نتیجه با ساختار متکی بر صادرات نفت اقتصاد ایران سازگار است. همچنین نتایج تحقیق نشان داد که بین قیمت گاز و احساسات سرمایه گذاران در کوتاه­مدت و بلندمدت رابطه معنی­داری وجود ندارد. با توجه به یافته­های این تحقیق می­توان از قیمت نفت به عنوان عاملی برای پیش­بینی احساسات سرمایه­گذاران در بازار بورس ایران و در بهینه­سازی پرتفوی سرمایه­گذاری استفاده کرد.

Keywords [Persian]

  • احساسات سرمایه گذاران
  • بورس اوراق بهادار تهران
  • قیمت انرژی
  • مدل ARDL
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