Oil price fluctuations and their impact on the return of the Iraq Stock Exchange Index (ISX60) With a template framework (COPULA-CoVaR-MODWT) * For the period (1/2/2020-3/312023)

Abstract

       The research aimed to measure the impact of crude oil price fluctuations on the return of the Iraq Stock Exchange (ISX60), as well as to explain the most important factors that lead to the occurrence of these fluctuations, with the aim of examining the long-term and short-term impact of oil markets on the Iraq Stock Exchange Index (ISX60), which Destination points out the importance of understanding the complex relationship between oil prices and stock markets and how they change over time. This can help investors and decision makers develop better investment strategies and understand expected volatility in financial markets as these investigations provide evidence of the impact of crude oil prices on the financial sector.

Daily data was collected for the period extending from 1/2/2020 to 3/31/2023, with a number of (1185) views, to measure the impact of oil price fluctuations on the return of the Iraq Stock Exchange Index (ISX60) by employing marginal (marginal) distribution models. Represented by the Copula-CoVaR model and the wavelet analysis represented by the Maximal Overlap Discrete Wavelet Transform (MODWT) model to describe and analyze the dependence (mutual correlation) model between oil prices as an independent variable and the return of the Iraq Stock Exchange ISX60 Index as a dependent variable.

The research concluded that the volatility of the oil market positively and strongly affects the return of the Iraqi stock market index and that this relationship is statistically significant, i.e. an increase in oil prices is accompanied by an increase in the return of the Iraqi stock market index and vice versa. Therefore, the fluctuations of oil prices towards the return of the Iraqi Stock Exchange Index are very positive and strong in the short term, but the strength of this positive relationship quickly decreases in the long term, according to the changing MODWT values during the different levels. We recommend increasing the efficiency of the Iraqi Stock Exchange in order to be able to face sharp fluctuations in oil prices in times of crises and unrest.