Simulate the Model of the Effects of Alternative Assets Volatility on Overall Index of Tehran Stock Exchange and Housing Prices with Using System Dynamics

Subject Areas : Financial engineering

habibollah Ranaei Kordsholi ¹ , abbas abbasi ² , Hooman Pashootanizadeh ³

1 - Associate Professor, Department of Management, Faculty of Economics, Management and Social Sciences, Shiraz University, Shiraz, Iran
2 - Associate Professor, Department of Management, Faculty of Economics, Management and Social Sciences, Shiraz University, Shiraz, Iran
3 - Ph.D. Student, Systems Management, Faculty of Economics, Management and Social Sciences, Shiraz University, Shiraz, Iran

Received: 2017-10-21 Accepted : 2017-11-16 Published : 2017-12-22

Keywords: System Dynamics, Overall index, alternative assets,

Abstract :

According to the importance of effectiveness and influence of alternative assets in the portfolio theory framework and proportional to the fluctuation of these assets in our country, predicting the probable changes in the price of these assets and their influence on the Tehran Stock Exchange's index and the price of real estate proportional to the changes on the international price of oil, is vital to get analyzed from different angles. The purpose of this research is to present a model to predict the influence of the alternative assets on the Tehran Stock Exchange's index. This model is built with the factors including system dynamics, currency rate, gold price, international price of oil and real estate's price. The virtual model is built with Vensim DSS software. The conclusion is that on the long run, the changes of gold price and currency rate have a reverse effect on the Tehran Stock Exchange's index and real estate's price. Considering that the Iran's economy is factor based and is mostly dependent on the oil's price, increasing the price of oil will cause the Tehran Stock Exchange's index and real estate's price to increase on the long run