پرویز حاجیانی

Background: Focusing on the links between stock markets and world oil price embodies interesting empirical consequences. The main economical reason mentions this fact that world oil price fluctuations have impacts on corporate gains and cash-flows, and it potentially influences stock market indices. Policymakers and investors can make important investment decisions in local markets investigating the links between stock markets and oil price. Aim: The purpose of this study is to investigate the interactive relationships between oil price volatility and the Iran stock market. Methodology: The study aims at investigating the links between world oil price and stock sector markets in Iran over the montly period from March 20, 2004 until March 20, 2015. To that effect, we make use of the VAR-GARCH process developed by Ling and McAleer (2003), which has the advantage to address the issue of return and volatilitys among the series we consider. Findings: Empirical evidence for the period March 2004 to March 2015, indicates that oil price changes had no effect on total stock market returns and stock chemical industry except Industries stocks of basic metals and petroleum products. Conclusions: our results manifest that the overall stock returns and the sector indices are not affected simultaneously by mo vements in oil prices and stock sector markets returns are mostly driven by oil price shocks.