The asymmetric effect of inflation on stock price Index in Tehran Stock Market

Subject Areas : Financial Knowledge of Securities Analysis

مهدی پدرام ¹ , شمس اله شیرین بخش ماسوله ² , آمنه روستایی ³

1 - ندارد
2 - ندارد
3 - مسئول مکاتبات

Received: 2013-07-22 Accepted : 2013-07-01 Published : 2014-06-15

Keywords: Keywords: Stock Price, Inflation, Asymmetric Effect, Garch model, VAR Model,

Abstract :

AbstractIn this study, the asymmetric effect of the inflation shocks on Tehran Exchange PriceIndex was investigated. First, the GARCH method was applied to measured inflationshocks, the impact of inflation shock on stock price was estimated , by using impulseresponse function (IRF) and variance decomposition analysis (VDC) Techniques. for thepurpose, quarterly data over the period of 1370-1390 has been used. the result of thisstudy Suggest that the impact of inflation shocks on stock price is asymmetric .Thenegative effects of positive inflation shocks on stock price is greater than the positiveeffects of negative inflation shocks.