مطالب مرتبط با کلیدواژه

Stock Market


۱.

Comparative Study of Static and Dynamic Artificial Neural Network Models in Forecasting of Tehran Stock Exchange(مقاله علمی وزارت علوم)

نویسنده:
منبع: International Journal of Business and Development Studies Vol. ۸, No. ۱, (۲۰۱۶)

کلیدواژه‌ها: Forecasting Stock Market dynamic Neural Network Static Neural Network

حوزه‌های تخصصی:
تعداد بازدید : ۱۱۴۰ تعداد دانلود : ۷۶۵
During the recent decades, neural network models have been focused upon by researchers due to their more real performance and on this basis, different types of these models have been used in forecasting. Now, there is a question that which kind of these models has more explanatory power in forecasting the future processes of the stock. In line with this, the present paper made a comparison between static and dynamic neural network models in forecasting (uninvariable) the return of Tehran Stock Exchange (TSE) index in order to find the best model to be used for forecasting this series. The data were collected daily from 26/11/2009 to 17/10/2014. The models examined in this study included two static models (Adaptive Neuro-Fuzzy Inference Systems ""ANFIS"" and Multi-layer Feed-forward Neural Network ""MFNN"") and a dynamic model (nonlinear neural network autoregressive model ""NNAR""). The findings showed that based on the Mean Square Error and Root Mean Square Error criteria, ANFIS model had a much higher forecasting ability compared to other models.
۲.

Investigating the Asymmetric Effects of Banking Sector Development and Stock Market Development on Economic Growth in Iran Using Smooth Transition Regression (STR) Model(مقاله علمی وزارت علوم)

نویسنده:
منبع: Iranian Journal of Finance, Volume ۲, Issue ۲, Spring ۲۰۱۸ 131 - 150

کلیدواژه‌ها: Financial development Stock Market Banking sector economic growth Smooth Transition Regression (STR)

حوزه‌های تخصصی:
تعداد بازدید : ۴۷۷ تعداد دانلود : ۴۱۲
The purpose of this paper is to examine the asymmetric effects of banking sector and stock market development on economic growth in Iran. For this purpose, Smooth Transition Regression (STR) model used based on seasonal time series data during 1989-2017. The results indicate that the impact of financial and banking development indices on economic growth is different for economic growth rates above and below 6%. Therefore, if the economic growth rate is higher than 6%, then we have a regression and when economic growth is lower than 6% will have another regression in order to effect of financial development of economic growth. In addition, results show that that the relationship between private sector credit and economic growth is much stronger than the relationship between stock market and economic growth.
۳.

Financial Development as a Key Determinant of FDI Inflow to Developing Countries(مقاله علمی وزارت علوم)

نویسنده:
منبع: The International Journal of Humanities, Volume ۲۱, Issue ۳ (۲۰۱۴) 17-43
تعداد بازدید : ۳۴۶ تعداد دانلود : ۲۱۴
This paper investigates the key factors affecting the foreign direct investment (FDI) inflow to deve­­loping countries during the period (1995-2010) with emphasis on the financial development. Financial development, as an important factor in FDI absorption and a prerequisite for utilizing the benefits of FDI, not only increases the FDI inflow in developing countries, but also improve the absorption capacity and ability of these countries to utilize the benefits of FDI. Since the financial system consists of several components and provides a variety of services, various indicators, which represent the development of different aspects and components of financial system, have been applied in order to assess the impact of financial development on the FDI. Results indicate that development of various components of financial system (stock market and banking sector) as well as different aspects of financial development (size and activity level of financial system) all have positive and significant impact on the FDI inflow in developing countries during the studied period.
۴.

Financial Development as a Key Determinant of FDI Inflow to Developing Countries(مقاله علمی وزارت علوم)

نویسنده:
منبع: The International Journal of Humanities, Volume ۲۲, Issue ۳ (۲۰۱۵) 1-28
تعداد بازدید : ۳۹۶ تعداد دانلود : ۲۷۴
This paper investigates the key factors affecting the foreign direct investment (FDI) inflow to deve­­loping countries during the period (1995-2010) with emphasis on the financial development. Financial development, as an important factor in FDI absorption and a prerequisite for utilizing the benefits of FDI, not only increases the FDI inflow in developing countries, but also improve the absorption capacity and ability of these countries to utilize the benefits of FDI. Since the financial system consists of several components and provides a variety of services, various indicators, which represent the development of different aspects and components of financial system, have been applied in order to assess the impact of financial development on the FDI. Results indicate that development of various components of financial system (stock market and banking sector) as well as different aspects of financial development (size and activity level of financial system) all have positive and significant impact on the FDI inflow in developing countries during the studied period.
۵.

Identifying path of Global Financial Crisis Contagion Direction on Industries of Iran Stock Market(مقاله علمی وزارت علوم)

نویسنده:
منبع: Iranian Journal of Finance, Volume ۴, Issue ۱, Winter ۲۰۲۰ 25 - 54

کلیدواژه‌ها: Stock Market Global Financial Crisis DFGM contagion test Ornstein- Uhlenbeck process

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تعداد بازدید : ۵۲۳ تعداد دانلود : ۳۴۶
Simultaneous understanding of volatilities and changes in financial markets is very important to optimize the portfolio and risk management methods. The 2008 financial crisis led into devaluation of most assets, increased volatilities and endangered several institutional investors' survival. When the stock market' correlation is highly enhanced, risk and return management with the classic portfolio theory becomes severely challenging. In this study, to manage systematic and non-systematic risks by investors and policymakers in case of similar financial crises, the Effect of global financial crisis contagion is examined through the path of S&P500 global index, and DFM regional index of different industries of Iran Stock Market is examined using DFGM contagion test and stochastic Ornstein Uhlenbech process. The results show that Dubai Stock Market has an important role in crisis expansion into different sectors of Iran Stock Markets so that the fundamental contagion effects are channelled via this direction. Also, according to the results, the starting point of the global financial crisis contagion was the basic metals industry, and the contagin happened in metal ores and petroleum products sectors with different rates. Finally, the global financial crisis is spread into different industries of Iran Stock Market via financial links and not trough commercial ones. Identifying the direction of contagion of financial crisis provides an opportunity for investors to apply hedging and asset allocation strategies optimally.
۶.

Machine learning algorithms for time series in financial markets(مقاله علمی وزارت علوم)

نویسنده:
منبع: Advances in Mathematical Finance and Application, Volume ۵, Issue ۴, Autumn ۲۰۲۰ 479-490

کلیدواژه‌ها: Financial Markets Stock Market Machine Learning Forecasting Time series

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تعداد بازدید : ۵۰۹ تعداد دانلود : ۲۵۷
This research is related to the usefulness of different machine learning methods in forecasting time series on financial markets. The main issue in this field is that economic managers and scientific society are still longing for more accurate forecasting algorithms. Fulfilling this request leads to an increase in forecasting quality and, therefore, more profitability and efficiency. In this paper, while we introduce the most efficient features, we will show how valuable results could be achieved by the use of a financial time series technical variables that exist on the Tehran stock market. The suggested method benefits from regression-based machine learning algorithms with a focus on selecting the leading features to find the best technical variables of the inputs. The mentioned procedures were implemented using machine learning tools using the Python language. The dataset used in this paper was the stock information of two companies from the Tehran Stock Exchange, regarding 2008 to 2018 financial activities. Experimental results show that the selected technical features by the leading methods could find the best and most efficient values for the parameters of the algorithms. The use of those values results in forecasting with a minimum error rate for stock data.
۷.

The Effect of Covid-19 Outbreak on Registered Oil Companies at Tehran Stock Exchange(مقاله علمی وزارت علوم)

نویسنده:
منبع: Petroleum Business Review (PBR), Volume ۴, Issue ۴- Serial Number ۱۳, Autumn ۲۰۲۰ 77 - 87

کلیدواژه‌ها: pandemic COVID-19 Stock Market Oil Markets GARCH Models GLE

حوزه‌های تخصصی:
تعداد بازدید : ۴۶۵ تعداد دانلود : ۲۴۳
The goal of this paper is to study the effect of Covid-19 outbreak on oil markets volatility.Covid-19 as a pandemic has a significant negative effect on global economy.  Alongside the global economy, stock markets responded to the outbreak immediately. The first case appeared in February 20 in Iran.  The outbreak has different implication for Iranian economy. Using daily data on return of oil companies registered at Tehran Stock Exchange (TSE), change in new cases integrated into the E-GARCH model as a proxy for the virus outbreak form February 20, 2020 until December 12, 2020, it applies an E-GARCH model to derive volatilities in index. To test the effect of Covid-19 outbreak on the volatilities in oil companies’ index, change in daily new cases integrated into the E-GARCH model as a proxy for the virus outbreak. The results show that, despite of fresh money pumped into the market and increase in market transactions and volume of trade, during the first phase of outbreak, Covid-19 has negatively affected returns of oil companies’ prices.
۸.

An Investigation of Convergence Hypothesis of Price Index in Asian Stock Markets(مقاله علمی وزارت علوم)

نویسنده:
منبع: Journal of Money and Economy, Vol. ۱۲, No. ۱, Winter ۲۰۱۷ 73-88

کلیدواژه‌ها: Cluster Analysis Convergence Price Index Stock Market

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تعداد بازدید : ۲۸۵ تعداد دانلود : ۱۷۸
The capital market in each country is considered as the most important part of the economy and its fluctuations may reflect the economic situation of the country. In this paper, the hypothesis of convergence of stock market price indices in Asian countries during the period from January 2007 to February 2017 is investigated using cluster analysis method. The results show that there is no evidence of overall convergence among countries. However, there are three converging clusters between stock markets while the Jordanian stock market forms a non-convergent cluster. These findings should assist portfolio managers in the design and implementation of appropriate portfolio management strategies. Regulatory authorities can also benefit from the design of financial regulation.
۹.

The Effect of Derivative Instruments on the Contagion of Stock Markets in Developing Countries(مقاله علمی وزارت علوم)

نویسنده:
منبع: Journal of Money and Economy, Vol. ۱۴, No. ۴, Fall ۲۰۱۹ 475-494

کلیدواژه‌ها: Derivative Instruments Financial contagion Stock Market Developing Countries Copula Function

حوزه‌های تخصصی:
تعداد بازدید : ۲۵۹ تعداد دانلود : ۲۲۴
The 2008 Great Financial Crisis increased the fluctuations in the stock market in the US and other countries that were linked together through various channels. In this regard, derivative instruments, as one of the main elements of the world's financial markets, had an essential role in reducing the stock market fluctuations and contagion of the crisis. The primary purpose of this study is to examine the negative effect of the derivative instruments on the contagion of stock markets in developing countries, including Brazil, India, China, and Russia, using monthly stock and futures indices over the 2007:01 to 2018:08. By considering the United States of America as the source of the crisis, the hypothesis was tested with the Copula function and Kendall's tau (rank correlation coefficient). The results have confirmed the hypothesis. According to the findings, we suggest that the economy moving towards openness should develop the derivative instruments to minimize the fluctuations as well as reduce the devastating effects of crisis contagion. Also, by upgrading the information of the investors and speculators, it can decrease the depth and intensity of the fluctuations that originated from international crises.
۱۰.

Dynamic correlation between exchange rate and the listed industries stock index during the currency crises: The Implications for Optimal Portfolio Construction(مقاله علمی وزارت علوم)

نویسنده:
منبع: Iranian Journal of Finance, Volume ۵, Issue ۴, Autumn ۲۰۲۱ 25 - 51

کلیدواژه‌ها: Stock Market Exchange Rate Optimal portfolio Dynamic Conditional Correlation

حوزه‌های تخصصی:
تعداد بازدید : ۲۴۳ تعداد دانلود : ۱۸۶
In this study, we examine the correlation between stock returns of Export-oriented (EOIs) and Import-oriented (IOIs) industries and exchange rates, to derive stock-exchange optimal weights, attempting to manage the risk of investors in the capital market. To do so, the ADCC and DCC models are used. The data consists of the stock return of the listed industries, and the daily exchange rate from 2008 to 2020. The results suggest that EOIs have a dynamic asymmetric conditional correlation, and IOIs have a dynamic symmetric conditional correlation with the exchange rate. Moreover, the results indicate that in both currency crises, the weight of optimal portfolio in all industries except pharmaceuticals, in non-crisis period is over 50% and in the crisis period is less than 50%. Accordingly, and to reduce the risk of the portfolio, in the non-crisis period, investors should invest more than half of a one-Rial portfolio to dollar exchange, and in the crisis period, they should allocate less than half of a one-Rial portfolio to this currency. In case of the currency crisis, it is suggested that investors invest in the stock of basic metals, because this industry is a pioneer in attracting currency crisis and increasing stock value of the industry through future cash flow and replacement value, and reduce the stock of pharmaceuticals and computers in their portfolio, due to attracting negative effects of the exchange market.
۱۱.

Introduction of New Risk Metric using Kernel Density Estimation Via Linear Diffusion(مقاله علمی وزارت علوم)

نویسنده:
منبع: Advances in Mathematical Finance and Application, Volume ۷, Issue ۲, Spring ۲۰۲۲ 467-476

کلیدواژه‌ها: Risk measurement Generalized Co-Lower Partial Moment Portfolio optimization Nonparametric estimation Stock Market

حوزه‌های تخصصی:
تعداد بازدید : ۳۳۲ تعداد دانلود : ۲۰۲
Any investor in stock markets around the world has a deep concern about the shortfalls of allocation wealth to any stock without accurate estimation of related risks. As we review the literature of risk management methods, one of the main pillars for the risk management framework in defining risk measurement approach using historical data is the estimation of the probability distribution function. In this paper, we propose a new measure by using kernel density estimation via diffusion as a nonparametric approach in probability distribution estimation to enhance the accuracy of estimation and consider some distribution characteristics, investor risk aversion and target return which will make it more accurate, compre-hensive and consistent with stock historical performance and investor concerns.
۱۲.

The Stock Market Response to Oil Price Shocks in Selected Oil-Importing Countries(مقاله علمی وزارت علوم)

نویسنده:
منبع: International Economics Studies, ۵۱, Issue ۲, Summer and Autumn ۲۰۲۱ 23 - 36

کلیدواژه‌ها: Oil Price Shock Stock Market Oil - Importing Countries PVAR

حوزه‌های تخصصی:
تعداد بازدید : ۱۶۴ تعداد دانلود : ۱۴۴
As one of the most important components of the financial market, the stock market plays a significant role in facilitating the transfer of financial resources to the productive sector; therefore, identifying the factors that influence this market and the response of this market to shocks that occur has always attracted the interest of policymakers and analysts. The present study focuses on the response of stock market returns of major oil-importing countries to the oil price shock, oil supply shock, and aggregate demand shock over the period 2010-2019 using the Panel Vector Autoregressive (PVAR) method. Based on the extracted impulse response functions (IRFs), the response of the stock market index to the oil price shock and the oil supply shock is negative, while the response of the stock market index to the aggregate demand shock is generally positive. The results of variance analysis show that the oil price shock, oil supply shock, and aggregate demand shock have the largest impact on the fluctuations of the stock market index, and indicate the selected oil-importing countries have taken measures to hedge their stock market against the oil price shock during the crisis period. JEL Classification: C58, E44, G10, Q43
۱۳.

Investigating the effects of time variables of gold, crude oil and foreign exchange markets on herding behavior in Tehran Stock Foreign exchange(مقاله علمی وزارت علوم)

نویسنده:
منبع: Advances in Mathematical Finance and Application, Volume ۸, Issue ۴, Autumn ۲۰۲۳

کلیدواژه‌ها: Herding Behavior Sectional standard deviation Stock Market Time Variable Effects

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تعداد بازدید : ۱۵۶ تعداد دانلود : ۱۴۶
Due to overlap between stock markets and financial markets, this study was an attempt to examine the herding behavior in the Iranian stock market and the crude oil, foreign exchange and gold markets. For this purpose, in this research, monthly data between 2011 and 2020 for Tehran Stock Foreign exchange were used. The results of the study based on two criteria explaining herding behavior indicate the existence of herding behavior of the stock market and crude oil, gold and foreign exchange markets. The results also show that it has had different ef-fects on herding behavior in different periods. This issue has also been different in increasing and decreasing market periods. Therefore, gold is introduced as an important asset that influences herding behavior. Also, during the decreasing period of the stock market, herding behavior is not affected by the exchange and crude oil market, and in this period, the behavior of investors and investment risks in the stock market can be predicted without considering the exchange and crude oil market.
۱۴.

Social Media and Financial Performance in Tehran Stock Market(مقاله علمی وزارت علوم)

نویسنده:
منبع: International Journal of Business and Development Studies Vol. ۱۵, No. ۱, (۲۰۲۳) 57 - 70

کلیدواژه‌ها: social media fluctuations Financial performance Stock Market

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تعداد بازدید : ۱۰۶ تعداد دانلود : ۸۴
The function of social media and it's awareness and information can play a significant role in the changes in stock prices and investors' decision making. Fluctuation is an important measure of financial performance that reflects uncertainty or risk. In view of this, the present study investigated and analyzed the social media and the fluctuations of the Tehran Stock Market during the period of April 2011 to August 2021 using auto-regression model. The results show that the instantaneous reaction functions of the stock returns of active companies in the Tehran stock market to the changes in the social media, the number of shares of the companies, the infected and the dead of covid-19 were positive until the third and fourth periods, and after the mentioned periods of shock entered into the explanatory variables did not have an effect on the fluctuation of the companies' returns. Also, the results of the analysis of variance showed the high effects of the number of shares of the companies in the changes of the efficiency of the companies and the effect of social media in explaining very slight changes in fluctuations have been observed
۱۵.

Modeling price dynamics and risk Forecasting in Tehran Stock Exchange: Conditional Variance Heteroscedasticity Hidden Markov Models(مقاله علمی وزارت علوم)

نویسنده:
منبع: Iranian Journal of Finance, Volume ۷, Issue ۳, Summer ۲۰۲۳ 1 - 24

کلیدواژه‌ها: Stock Market VAR Hidden Markov Models risk Kupiec Test DQ Test

حوزه‌های تخصصی:
تعداد بازدید : ۱۰۲ تعداد دانلود : ۸۹
Volatility and risk measurement are essential parameters in risk management programs that can affect economic activities and public confidence in the stock market. Also, these two are the keys in the studies that connect the stock market, economic growth, and other financial factors. In recent years, due to the instability in the Tehran Stock Exchange, controlling the adverse effects caused by the volatility of stock prices, predicting and modeling price dynamics, and measuring risk have become necessary for the participants in this market. In the present research, the class of hidden Markovian index models of conditional variance Heteroskedasticity (HM-GARCH) is used to predict the volatility of stock prices and accounts of the Tehran Stock Exchange. For a comprehensive review, the models are selected to include the characteristics of volatility clustering, asymmetry in volatility (leverage effect), and heavy tail of stock returns (with t-student distribution). Based on RMSE and AME criteria, the HM-EGARCH-Normal Exponential GARCH model with normal distribution is more effective than other models in predicting stock market volatility. Therefore, leverage is necessary to analyze stock market risks using hidden Markov models, but heavy tail distribution is unnecessary. The results indicate that the HM-EGARCH-Normal model appropriately assesses volatility and improves market transparency and risk management forecasts. Also, the VaR and CVaR market risk assessment post-tests using Kupiec and DQ tests do not show evidence of overestimation or underestimation.
۱۶.

Can strengthening the stock market affect the value of the national currency? A study of stock-oriented models in the Iranian economy(مقاله علمی وزارت علوم)

نویسنده:
منبع: International Journal of Business and Development Studies Vol. ۱۶, No. ۱, (۲۰۲۴) 169 - 186

کلیدواژه‌ها: Stock Market national currency value stock-oriented models Iran

حوزه‌های تخصصی:
تعداد بازدید : ۱۳۲ تعداد دانلود : ۱۰۴
Objective: The stock market and the foreign exchange rate market have been sensitive segments of the financial market. These two markets are rapidly affected by fluctuations and business cycles in the economy and quickly reflect the economic change. At the same time, turmoil in one or both markets raises concerns among market policymakers. We also address the question of whether the national currency can be strengthened through the stock market.Methods: This study examines the stock market price on the value of the national currency of Iran using stock-oriented models and the Markov switching method in the period 1995 to 2021. In this study, the non-linear Markov switching method was used to estimate the model, and the LR- test method was used to check the linearity or non-linearity of the models. Akaike's test has also been used to determine the number of Markov switching regimes.Results: The research results show that for every one percent increase in stock prices, the exchange rate has decreased by 0.21 percent. Therefore, the results indicate the approval of stock-oriented models in the Iranian economy. In other words, the capital market is one of the determinants of the exchange rate.Conclusions: According to this model, lower stock prices reduce the wealth of domestic investors, which leads to lower demand for money with lower interest rates. Lower interest rates cause capital outflows to overseas markets, assuming other conditions remain stable, causing the domestic currency to depreciate and the exchange rate to rise.
۱۷.

تأثیرات قانون بازار اوراق بهادار 1384 بر مواعد قانونی مندرج در لایحه قانونی تجارت 1347(مقاله علمی وزارت علوم)

نویسنده:
منبع: پژوهش های حقوق تطبیقی سال ۲۷ زمستان ۱۴۰۲ شماره ۴ 1 - 22

کلیدواژه‌ها: Stock Market Joint-Stock Company Market Law Legal Bill Legal Deadlines Abrogating Some Articles of the Legal بورس اوراق بهادار شرکت سهامی عام قانون بازار لایحه قانونی مواعد قانونی نسخ برخی مواد لایحه قانونی

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تعداد بازدید : ۷۵ تعداد دانلود : ۶۵
مفاد لایحه قانونی اصلاح قسمتی از قانون تجارت مصوب 1347 تحت تأثیر قانون بازار اوراق بهادار مصوب 1384 در حوزه مواعد قانونی در رابطه با مقررات شرکت های سهامی عام که به عنوان یکی از عناصر مهم در بازار بورس اوراق بهادار وجود دارد، دچار تغییراتی شده است که این موارد، در دو دسته تأسیسی و نسخ کننده در پژوهش حاضر مورد مطالعه قرار گرفته است. موارد تأسیسی شامل مواردی است که از اساس، موعدی برای آن در لایحه قانونی 1347 وضع نشده و برای نخستین بار در قانون بازار اوراق بهادار 1384 مورد توجه قرار گرفته است و موارد نسخ کننده، آن دسته از مواعد است که در لایحه قانونی 1347 زمان مشخصی برای آن در نظر گرفته شده که با تصویب قانون بازار اوراق بهادار 1384، منسوخ شده است. فلسفه تأثیرات فوق را چه در عرصه تأسیس و چه نسخ، می توان در هدف قانون گذار برای حمایت از حقوق سهام دار و شفافیت اطلاعات بازار سرمایه جستجو کرد. تعیین مدت پذیره نویسی، تعیین مدت جهت باز پس دادن وجوه، مدت زمان رسیدگی به تعهدات پذیره نویسان، تغییر زمان استفاده از وجوه تأدیه شده توسط سرمایه گذاران، تغییر زمان بازپس گیری وجوه در صورت عدم افزایش سرمایه، تغییر مدت رسیدگی هیئت مدیره به تعهدات پذیره نویسان و تعیین مدت جهت افشاء تصمیمات هیئت مدیره، مواعد مورد مطالعه این پژوهش است.  
۱۸.

Investigating the effect of return jumps on herd behavior and its asymmetry in the Tehran Stock Exchange Market(مقاله علمی وزارت علوم)

نویسنده:
منبع: Iranian Journal of Finance, Volume ۸, Issue ۳, Summer ۲۰۲۴ 25 - 47

کلیدواژه‌ها: Stock Market Herd Behavior CSAD Method Herd Asymmetry Return Jump

حوزه‌های تخصصی:
تعداد بازدید : ۲۷ تعداد دانلود : ۳۰
Herding behavior is typically described as the inclination of investors to follow the actions of others in their investment decisions. Herding represents a behavioral tendency in which investors rely on collective rather than private information. Herd literature shows that return jumps can serve as a representation of information arrival, leading to significant price changes. This proposition is introduced due to its potential impact on investor sentiment, assuming greater awareness among other investors as a factor related to the occurrence of herding. Furthermore, it is believed that, in conditions of negative market returns, market participants are more inclined to mimic the behavior of others due to the stress induced by the risk incurred. In the background of previous research, evidence indicates the occurrence of herd behavior on days with return jumps and negative returns. In this study, we investigated herding behavior and its asymmetry through the utilization of return jumps, employing the CSAD method. Under circumstances in which there were no occurrences of return jumps and without taking into account negative market returns, our research was unable to verify the existence of herding at the market level. Nevertheless, when return jumps and negative market returns were present, the occurrence of herd behavior was proven, and the asymmetry of herd behavior was also verified.
۱۹.

Modeling the effects of macroeconomic variables on the stock market: An Application of Non-linear Distributed Auto-regression Model(مقاله علمی وزارت علوم)

نویسنده:
منبع: International Journal of Business and Development Studies Vol. ۱۶, No. ۲, (۲۰۲۴) 121 - 143

کلیدواژه‌ها: Macroeconomic Variables Stock Market NARDL model

حوزه‌های تخصصی:
تعداد بازدید : ۲۴ تعداد دانلود : ۲۶
This study investigates the effects of macroeconomic variables on the stock market (stock price index).The effects of macroeconomic variables including global gold and oil price, exchange rate, interest rate, economic growth rate on the Iranian stock market has been investigated by using a non-linear distributed auto-regression model .The results indicated that the relationship between oil price and oil price index in the short term and long term is direct and inverse, respectively. The effect of the exchange rate on the stock price index is direct in the short and long term. In such a way that a long-term positive shock will lead to an increase of 0.87 percent and a negative shock of the exchange rate will lead to a decrease of 8.6 percent of the index. The effect of the positive interest rate shock in the short and long term on the stock price index is insignificant. Meanwhile, the negative shock of the mentioned variables will lead to a 0.12 percent decrease in the stock price index and in the short and long term on The positive shock of the gold price on the stock price index is insignificant.In terms of our results, economic growth has positive relationship with the stock price index. This result is in line with a one percent increase in economic growth, the stock price index will improve by 0.09 percent and with a one percent decrease in the economic growth rate, the stock price index will decrease by 0.1 percent.