Variables affecting the volatility of Tehran Stock Exchange Price Index (TEPIX)

Subject Areas : Applied Economics

عزت اله عباسیان ¹ , سامان فلاحی ² , حبیب سهیلی احمدی ³

1 - مسئول مکاتبات
2 - ندارد
3 - ندارد

Received: 2012-11-25 Accepted : 2013-02-24 Published : 2012-09-22

Keywords: Tehran Stock Exchange Price In, Uncertainty, volatility, Vector Auto Regressive (VAR), Conditional Variance Models,

Abstract :

The uncertainty and volatility of the stock market is peculiar features of capital markets. This paper examines the volatility of Tehran Stock Exchange Price Index (TEPIX) due to the degree of uncertainty in the relevant macroeconomic variables. To analyze the relationship, we have used Vector Auto Regressive (VAR) and Conditional Variance Models (CVM) with quarterly data for the period of 1373-1388. Our findings show that a significant share of unpredictability in the TEPIX is due to its own endogenous variables. Moreover, the results indicate that price fluctuations in the parallel markets including housing and gold market also play an important role in the degree of the volatility.