• Home
  • Nonlinear Dynamic Modeling of Factors Affecting the Stock Market: Baysian Quantile Threshold Regression - GARCH approach

Share To

Article Url


Manuscript ID : FEJ-2002-2510 (R1) Visit : 213 Page: 343 - 372

20.1001.1.22519165.1399.11.45.15.2

Article Type: Original Research

Nonlinear Dynamic Modeling of Factors Affecting the Stock Market: Baysian Quantile Threshold Regression - GARCH approach

Subject Areas : Financial engineering

Reza Tehrani 1 , Mohammad Osoolian 2 , Saeed Bajalan 3 , Vahid Abbasion 4

1 - Department of Finance and Insurance Management , Faculty of Management, University of Tehran, Tehran, Iran
2 - Department of Finance and Insurance, Faculty of Management and Accounting, Shahid Beheshti University, Tehran, Iran
3 - Department of Finance and Insurance Management Faculty of Management, University of Tehran, Tehran, Iran
4 - Department of Finance and Insurance Management, Faculty of Management, University of Tehran, Tehran, Iran

Received: 2020-02-22 Accepted : 2020-04-25 Published : 2020-12-21

Keywords: Stock market, bayesian approach, Quantile Threshold Regression, Conditional Heteroscedasticity,

Abstract :

During the last decade, studies on the factors affecting stock market returns have reached a peak with the advances of financial economics in the field of statistics and mathematics, and modeling is of great importance in this regard. Accordingly, this study seeks to present a new approach to modeling the nonlinear relationship between financial variables and stock returns.This paper employs Bayesian Markov chain Monte Carlo (MCMC) sampling methods for updating the estimates and quantile threshold regression with heteroscedasticity. To study and model this approach, we used returns of the Tehran Stock Exchange, Coin Price, Oil, and Gold Price from 2011 to 2019. The results show that these variables have different effects under low and upper quantile levels. Also, the impact of the financial variables on the stock returns is different under higher and lower threshold amount for each quantile levels. Based on the result, we can say that stock returns have a nonlinear relationship with other markets in the bullish and bearish market.

References:


  1. اسلاملوئیان، کریم و زارع، هاشم (1385)، «بررسی تأثیر متغیرهای کلان و داراییهای جایگزین بر قیمت سهام ایران؛ یک الگوی خودهمبسته با وقفه‌های توزیعی»، فصلنامه پژوهشهای اقتصادی ایران، شماره 8 (29) ، صص 17-26 .
    2.
  2. برزنده، محمد، (1376)، «اثر متغیرهای کلان اقتصاد بر شاخص قیمت سهام بورس اوراق بهادار تهران»، پایان نامه کارشناسی ارشد، دانشگاه علامه طباطبائی
    3.
  3. حیدری, حسن, شیرکوند, سعید, ابوالفضلی, سید رامین. (1394)، «بررسی تاثیرات همزمان نااطمینانی قیمت نفت و قیمت طلا بر شاخص قیمت بورس اوراق بهادار تهران: بر پایه مدل سه متغیره GARCH» ،مهندسی مالی و مدیریت اوراق بهادار، شماره 6 (22)، صص 61-80.
    4.
  4. حیرانی، مهرداد و روشن ضمیر، نسیم (1396)، اثر آستانه ای کفایت سرمایه بر مطالبات غیرجاری بانک ها، بیست و هفتمین همایش سالانه سیاست های پولی و ارزی ، پژوهشکده پولی و بانکی بانک مرکزی
    5.
  5. زارع، هاشم و رضایی، زینب، (1385)، «تأثیر بازارهای ارز، سکه و مسکن بر رفتار شاخص بورس اوراق بهادار»، مجله پژوهشی دانشگاه اصفهان، جلد 21 ،شماره 2
    6.
  6. سجادی، سید حسین، فرازمند، حسن و صوفی، هاشم علی (1386)، «بررسی رابطه ی متغیرهای کلان اقتصادی و شاخص بازده نقدی سهام در بورس اوراق بهادار تهران»، پژوهشنامه اقتصاد کلان، دوره 10.1، شماره 39، پاییز و زمستان 1389، صص 123-150
    7.
  7. سلمانی بی شک، محمد رضا، برقی اسکویی، محمد مهدی و لک، سوادا، (1391) «اثر شوک­های سیاست پولی و مالی بر بازار سهام ایران»، فصلنامه تحقیقات مدلسازی، شماره 22، صص 93-131.
    8.
  8. زیبای، منصور و مظاهری ، زهرا (1388)، «اندازه دولت و رشد اقتصادی در ایران با تأکید بر رشد بخش کشاورزی: رهیافت رگرسیون آستانه ای»، مجله اقتصاد و توسعه کشاورزی، جلد 23، شماره 1، نیمسال اول 1388، صص 11-20 .
    9.
  9. صمدی، سعید، زهره شیرانی فخر، زهره و داورزاده، مهتاب. (1386)، « بررسی میزان اثرپذیری شاخص قیمت سهام بورس اوراق بهادار تهران از قیمت جهانی نفت و طلا (مدل سازی و پیش بینی)»، فصلنامه اقتصاد مقداری، شماره 4(2)، ۲۵.
    10.


  • عباسیان، عزت الله، مرادپور اولادی ، مهدی، عباسیون ، وحید (1387) «اثر متغیرهای کلان اقتصادی بر شاخص کل بورس اوراق بهادار تهران»، فصلنامه پژوهشهای اقتصادی ایران، سال دوازدهم، شماره 36، صص 135-152 .
    •
  • عبدی، مجید (1396)، «بررسی ارتباط بلند مدت میان شاخص کل بورس اوراق بهادار تهران و متغیرهای اقتصاد کلان»، فصلنامه دانش سرمایه گذاری، سال ششم، شماره 21، صص 97-112.
    •
  • عزیزی، احمد (1378)، «شناسایی متغیرهای کلان اقتصادی تأثیرگذار بر شاخص قیمت بورس اوراق بهادار تهران»، پایان نامه دکتری، دانشگاه علامه طباطبائی
    •
  • فتاحی، شهرام، سهیلی، کیومرث و لرستانی، سارا (1395)، «تأثیر متغیرهای کلان اقتصادی بر کمبود داراییهای مالی در ایران»، دو فصلنامه اقتصاد پولی، مالی، دوره جدید، سال بیست و سوم، شماره 12، پاییز و زمستان 95، صص 91-110 .
    •
  • فدایی نژاد، اسماعیل و فراهانی، رضا (1396)، «اثرات متغیرهای کلان اقتصادی بر شاخص کل بورس اوراق بهادار تهران»، فصلنامه اقتصاد مالی، سال یازدهم، شماره 39، تابستان 96، صص1- 25.
    •
  • مرادزاده فرد، مهدی، موسی زاده عباسی، نورالدین، شهباززاده، اتابک. (1391)، «بررسی اثرات پویای تکانه های قیمت طلا، نرخ واقعی ارز و قیمت نفت بر شاخص قیمت سهام»، دانش حسابداری مالی. شماره 2 (6)، صص 52-70.
    •


  1. موسایی، میثم، مهرگان ، نادر و امیری ، حسین (1389)، «رابطه بازار سهام و متغیرهای کلان اقتصادی در ایران»، فصلنامه پژوهشها و سیاستهای اقتصادی، سال هجدهم، شماره 54، تابستان 1389، صص 73-94 .
    2.


  • ناهیدی، محمد رضا و نیکبخت، فاطمه (1389)، «بررسی تأثیر بی ثباتی نرخ واقعی ارز بر شاخص سود نقدی و قیمت بورس اوراق بهادار تهران»، فصلنامه بورس اوراق بهادار، شماره 11، پاییز 89، صص 43-59 .
    •
  • نونژاد، مسعود، زمانی کردشولی، بهزاد و حسین زاده، سید مجتبی، (1391) « اثر سیاستهای پولی بر شاخص قیمت سهام در ایران » ، فصلنامه علوم اقتصادی، شماره بیستم، سال ششم، صص 9-38.
    •


  1. Abdalla, I. S., & Murinde, V. (1997). Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines. Applied financial economics, 7(1), 25-35.
    2.
  2. Apergis, N., & Miller, S. M. (2009). Do structural oil-market shocks affect stock prices?. Energy Economics, 31(4), 569-575.
    3.
  3. Arouri, M. E. H., & Nguyen, D. K. (2010). Oil prices, stock markets and portfolio investment: evidence from sector analysis in Europe over the last decade. Energy Policy, 38(8), 4528-4539.
    4.
  4. Arouri, M. E. H., Jouini, J., & Nguyen, D. K. (2012). On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness. Energy Economics, 34(2), 611-617.
    5.
  5. Basher, S. A., Haug, A. A., & Sadorsky, P. (2012). Oil prices, exchange rates and emerging stock markets. Energy Economics, 34(1), 227-240.
    6.
  6. Bilgili, F., Koçak, E., Bulut, Ü., & Sualp, M. N. (2016). How did the US economy react to shale gas production revolution? An advanced time series approach. Energy, 116, 963-977.
    7.
  7. Bjørnland, H. C., & Zhulanova, J. (2019). The shale oil boom and the US economy: Spillovers and time-varying effects. Working paper.
    8.
  8. Ciner, C., Gurdgiev, C., & Lucey, B. M. (2013). "Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates", International Review of Financial Analysis, 29, pp. 202-211.
    9.
  9. Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a), 427-431.
    10.
  10. Fama, E. (1984). "The information in the term structure", Journal of Financial Economics 13 (4), pp. 509-528.
    11.
  11. Gerlach, Richard & Chen, Cathy W.S. (2008), "Bayesian Inference and Model Comparison for Asymmetric Smooth Transition Heteroskedastic Models", Statistics and Computing, 18, 391
    12.
  12. Goldstein, Morris, Graciela L. Kaminsky, and Carmen M. Reinhart. 2000. Assessing Financial Vulnerability: An Early Warning System for Emerging Markets. Washington: Institute for International Economics
    13.
  13. Hamilton, J. D. (2008). Oil and the Macroeconomy. The new Palgrave dictionary of economics, 2.
    14.
  14. Hamilton, J. D. (2011). Nonlinearities and the macroeconomic effects of oil prices. Macroeconomic dynamics, 15(S3), 364-378.
    15.
  15. Han, L., Liu, Y. & Yin, L. (2019). "Uncertainty and currency performance: A quantile-on-quantile approach", The North American Journal of Economics and Finance, vol. 48, pp. 702-729.
    16.
  16. Hansen, Bruce E. (1999), "Threshold Effects in Non-Dynamic Panels: Estimation, Testing and Inference", Journal of Econometrics 39, pp. 345-368.
    17.
  17. Hansen, Bruce E. (2000), "Sample Splitting and Threshold Estimation", Journal of Econometrics 68(3), pp. 575-603.
    18.
  18. Jones, C.M. & Kaul, G. (1996) Oil and the stock markets, J. Finance 51. 463–491.
    19.
  19. Koenker, R. & Bassett, G. (1978), Regressions Quantiles, Econometrica, vol.46, pp. 33-50
    20.
  20. Lucey, B. M., Sharma, S. S., & Vigne, S. A. (2017). Gold and inflation (s)–A time-varying relationship. Economic Modelling, 67, 88-101.
    21.
  21. Maghyereh, A. I., Awartani, B., & Tziogkidis, P. (2017). Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries. Energy Economics, 68, 440-453.
    22.
  22. Mensi, W., Beljid, M., Boubaker, A., & Managi, S. (2013). Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold. Economic Modelling, 32, 15-22.
    23.
  23. Mensi, W., Hammoudeh, S., Reboredo, J.C. & Nguyen, D.K. (2014). Do global factors impact BRICS stock markets? A quantile regression approach, Emerging Markets Review 19, pp. 1-17.
    24.
  24. Mensi, W., Hammoudeh, S., Shahzad, S. J. H., & Shahbaz, M. (2017). Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method. Journal of Banking & Finance, 75, 258-279.
    25.
  25. Miller, J. I., & Ratti, R. A. (2009). Crude oil and stock markets: Stability, instability, and bubbles. Energy Economics, 31(4), 559-568.
    26.
  26. Mork, K. A. (1989). Oil and the macroeconomy when prices go up and down: an extension of Hamilton's results. Journal of political Economy, 97(3), 740-744.
    27.
  27. Nandha, M., & Brooks, R. (2009). Oil prices and transport sector returns: an international analysis. Review of Quantitative Finance and Accounting, 33(4), 393.
    28.
  28. Neaime, Simon (2016). Financial Crises and Contagion Vulnerability of MENA Stock Markets, Emerging Markets Review 27, pp. 14-35.
    29.
  29. Park, J., & Ratti, R. A. (2008). Oil price shocks and stock markets in the US and 13 European countries. Energy economics, 30(5), 2587-2608.
    30.
  30. Phylaktis, K., & Ravazzolo, F. (2005). Stock prices and exchange rate dynamics. Journal of international Money and Finance, 24(7), 1031-1053.
    31.
  31. Reinhart, C., & Kaminsky, G. (2008). The center and the periphery: The globalization of financial turmoil.
    32.
  32. Rigobon, R. (2019). Contagion, Spillover, and Interdependence. Economía, 19(2), 69-99.
    33.
  33. Ross, S. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360.
    34.
  34. Sadorsky, P. (2001). Risk factors in stock returns of Canadian oil and gas companies. Energy economics, 23(1), 17-28.
    35.
  35. Shahrestani, P., & Rafei, M. (2020). The impact of oil price shocks on Tehran Stock Exchange returns: Application of the Markov switching vector autoregressive models. Resources Policy, 65, 101579.
    36.
  36. Shahzad, S.J.H., Ameer, S. & Shahbaz, M. (2016). "Disaggregating the correlation under bearish and bullish markets: a quantile-quantile approach", Economics Bulletin 36(4), pp. 2465-2473.
    37.
  37. Sumner, S., Johnson, R., & Soenen, L. (2010). Spillover effects among gold, stocks, and bonds. Journal of centrum Cathedra, 3(2), 106-120.
    38.
  38. Tversky, A., & Kahneman, D. (1991). Loss aversion in riskless choice: A reference-dependent model. The quarterly journal of economics, 106(4), 1039-1061.
    39.
  39. Vithessonthi, Chaiporn & Kumarsinghe, Sriyalatha (2016). "Financial Development, International Trade Integration, and Stock Market Integration: Evidence from Asia", Journal of Multinational Financial Management, Vol. 35, June 2016, pp. 79-92.
    40.
  40. Wang, Gang-Jin, Xie, Chi, Lin, Min & Stanley, H.E. (2017). "Stock Market Contagion during the Global Financial Crisis: a Multiscale Approach", Financial Research Letters 22, pp. 163-168.
    41.
  41. Wen, D., Wang, G. J., Ma, C., & Wang, Y. (2019). Risk spillovers between oil and stock markets: A VAR for VaR analysis. Energy Economics, 80, 524-535.
    42.
  42. Yang, L., Tian, Sh., Yang, W., Xu, M. & Hamori, Sh. (2018). "Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach", The North American Journal of Economics and Finance, vol. 45, pp. 116-137.
    43.

 

_||_

  1. Abdalla, I. S., & Murinde, V. (1997). Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines. Applied financial economics, 7(1), 25-35.
    2.
  2. Apergis, N., & Miller, S. M. (2009). Do structural oil-market shocks affect stock prices?. Energy Economics, 31(4), 569-575.
    3.
  3. Arouri, M. E. H., & Nguyen, D. K. (2010). Oil prices, stock markets and portfolio investment: evidence from sector analysis in Europe over the last decade. Energy Policy, 38(8), 4528-4539.
    4.
  4. Arouri, M. E. H., Jouini, J., & Nguyen, D. K. (2012). On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness. Energy Economics, 34(2), 611-617.
    5.
  5. Basher, S. A., Haug, A. A., & Sadorsky, P. (2012). Oil prices, exchange rates and emerging stock markets. Energy Economics, 34(1), 227-240.
    6.
  6. Bilgili, F., Koçak, E., Bulut, Ü., & Sualp, M. N. (2016). How did the US economy react to shale gas production revolution? An advanced time series approach. Energy, 116, 963-977.
    7.
  7. Bjørnland, H. C., & Zhulanova, J. (2019). The shale oil boom and the US economy: Spillovers and time-varying effects. Working paper.
    8.
  8. Ciner, C., Gurdgiev, C., & Lucey, B. M. (2013). "Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates", International Review of Financial Analysis, 29, pp. 202-211.
    9.
  9. Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a), 427-431.
    10.
  10. Fama, E. (1984). "The information in the term structure", Journal of Financial Economics 13 (4), pp. 509-528.
    11.
  11. Gerlach, Richard & Chen, Cathy W.S. (2008), "Bayesian Inference and Model Comparison for Asymmetric Smooth Transition Heteroskedastic Models", Statistics and Computing, 18, 391
    12.
  12. Goldstein, Morris, Graciela L. Kaminsky, and Carmen M. Reinhart. 2000. Assessing Financial Vulnerability: An Early Warning System for Emerging Markets. Washington: Institute for International Economics
    13.
  13. Hamilton, J. D. (2008). Oil and the Macroeconomy. The new Palgrave dictionary of economics, 2.
    14.
  14. Hamilton, J. D. (2011). Nonlinearities and the macroeconomic effects of oil prices. Macroeconomic dynamics, 15(S3), 364-378.
    15.
  15. Han, L., Liu, Y. & Yin, L. (2019). "Uncertainty and currency performance: A quantile-on-quantile approach", The North American Journal of Economics and Finance, vol. 48, pp. 702-729.
    16.
  16. Hansen, Bruce E. (1999), "Threshold Effects in Non-Dynamic Panels: Estimation, Testing and Inference", Journal of Econometrics 39, pp. 345-368.
    17.
  17. Hansen, Bruce E. (2000), "Sample Splitting and Threshold Estimation", Journal of Econometrics 68(3), pp. 575-603.
    18.
  18. Jones, C.M. & Kaul, G. (1996) Oil and the stock markets, J. Finance 51. 463–491.
    19.
  19. Koenker, R. & Bassett, G. (1978), Regressions Quantiles, Econometrica, vol.46, pp. 33-50
    20.
  20. Lucey, B. M., Sharma, S. S., & Vigne, S. A. (2017). Gold and inflation (s)–A time-varying relationship. Economic Modelling, 67, 88-101.
    21.
  21. Maghyereh, A. I., Awartani, B., & Tziogkidis, P. (2017). Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries. Energy Economics, 68, 440-453.
    22.
  22. Mensi, W., Beljid, M., Boubaker, A., & Managi, S. (2013). Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold. Economic Modelling, 32, 15-22.
    23.
  23. Mensi, W., Hammoudeh, S., Reboredo, J.C. & Nguyen, D.K. (2014). Do global factors impact BRICS stock markets? A quantile regression approach, Emerging Markets Review 19, pp. 1-17.
    24.
  24. Mensi, W., Hammoudeh, S., Shahzad, S. J. H., & Shahbaz, M. (2017). Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method. Journal of Banking & Finance, 75, 258-279.
    25.
  25. Miller, J. I., & Ratti, R. A. (2009). Crude oil and stock markets: Stability, instability, and bubbles. Energy Economics, 31(4), 559-568.
    26.
  26. Mork, K. A. (1989). Oil and the macroeconomy when prices go up and down: an extension of Hamilton's results. Journal of political Economy, 97(3), 740-744.
    27.
  27. Nandha, M., & Brooks, R. (2009). Oil prices and transport sector returns: an international analysis. Review of Quantitative Finance and Accounting, 33(4), 393.
    28.
  28. Neaime, Simon (2016). Financial Crises and Contagion Vulnerability of MENA Stock Markets, Emerging Markets Review 27, pp. 14-35.
    29.
  29. Park, J., & Ratti, R. A. (2008). Oil price shocks and stock markets in the US and 13 European countries. Energy economics, 30(5), 2587-2608.
    30.
  30. Phylaktis, K., & Ravazzolo, F. (2005). Stock prices and exchange rate dynamics. Journal of international Money and Finance, 24(7), 1031-1053.
    31.
  31. Reinhart, C., & Kaminsky, G. (2008). The center and the periphery: The globalization of financial turmoil.
    32.
  32. Rigobon, R. (2019). Contagion, Spillover, and Interdependence. Economía, 19(2), 69-99.
    33.
  33. Ross, S. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360.
    34.
  34. Sadorsky, P. (2001). Risk factors in stock returns of Canadian oil and gas companies. Energy economics, 23(1), 17-28.
    35.
  35. Shahrestani, P., & Rafei, M. (2020). The impact of oil price shocks on Tehran Stock Exchange returns: Application of the Markov switching vector autoregressive models. Resources Policy, 65, 101579.
    36.
  36. Shahzad, S.J.H., Ameer, S. & Shahbaz, M. (2016). "Disaggregating the correlation under bearish and bullish markets: a quantile-quantile approach", Economics Bulletin 36(4), pp. 2465-2473.
    37.
  37. Sumner, S., Johnson, R., & Soenen, L. (2010). Spillover effects among gold, stocks, and bonds. Journal of centrum Cathedra, 3(2), 106-120.
    38.
  38. Tversky, A., & Kahneman, D. (1991). Loss aversion in riskless choice: A reference-dependent model. The quarterly journal of economics, 106(4), 1039-1061.
    39.
  39. Vithessonthi, Chaiporn & Kumarsinghe, Sriyalatha (2016). "Financial Development, International Trade Integration, and Stock Market Integration: Evidence from Asia", Journal of Multinational Financial Management, Vol. 35, June 2016, pp. 79-92.
    40.
  40. Wang, Gang-Jin, Xie, Chi, Lin, Min & Stanley, H.E. (2017). "Stock Market Contagion during the Global Financial Crisis: a Multiscale Approach", Financial Research Letters 22, pp. 163-168.
    41.
  41. Wen, D., Wang, G. J., Ma, C., & Wang, Y. (2019). Risk spillovers between oil and stock markets: A VAR for VaR analysis. Energy Economics, 80, 524-535.
    42.
  42. Yang, L., Tian, Sh., Yang, W., Xu, M. & Hamori, Sh. (2018). "Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach", The North American Journal of Economics and Finance, vol. 45, pp. 116-137.
    43.
  43. Islamloian, Karim and Zare, Hashem (2015), "Study on the effect of macro variables and alternative assets on the stock price of Iran; An autocorrelated model with distributive breaks", Iranian Economic Research Quarterly, No. 8 (29), pp. 17-26.
    44.
  44. Barzandeh, Mohammad, (2016), "Effect of Macroeconomic Variables on the Stock Price Index of Tehran Stock Exchange", Master's Thesis, Allameh Tabatabai University
    45.
  45. Heydari, Hassan, Shirkund, Saeed, Abolfazli, Seyed Ramin. (2014), "Investigating the simultaneous effects of oil price and gold price uncertainty on Tehran stock exchange price index: based on the three-variable GARCH model", Financial Engineering and Securities Management, No. 6 (22), pp. 61-80.
    46.
  46. Hirani, Mehrdad and Roshan Zamir, Nasim (2016), the effect of capital adequacy threshold on non-current claims of banks, the 27th annual monetary and exchange policy conference, monetary and banking research institute of Central Bank
    47.
  47. Zare, Hashem and Rezaei, Zeinab, (2015), "The influence of currency, coin and housing markets on the behavior of the stock exchange index", Research Journal of Isfahan University, Volume 21, Number 2
    48.
  48. Sajjadi, Seyyed Hossein, Farazmand, Hassan and Sufi, Hashem Ali (2016), "Investigation of the relationship between macroeconomic variables and stock cash return index in Tehran Stock Exchange", Macroeconomic Research Journal, Volume 10.1, Number 39, Fall and Winter 2019, pp. 123-150
    49.
  49. Salmani Bishek, Mohammad Reza, Barkhi Eskoui, Mohammad Mahdi and Lak, Sawada, (2013) "Effect of Monetary and Financial Policy Shocks on the Iranian Stock Market", Modeling Research Quarterly, No. 22, pp. 131-93.
    50.
  50. Zibai, Mansour and Mazaheri, Zahra (2008), "Government size and economic growth in Iran with an emphasis on the growth of the agricultural sector: a threshold regression approach", Journal of Agricultural Economics and Development, volume 23, number 1, first half of 2018. pp. 11-20.
    51.
  51. Samadi, Saeed, Zohra Shirani Fakhr, Zohra and Davrzadeh, Mehtab. (2016), "Evaluation of the effectiveness of the stock price index of Tehran Stock Exchange on the global price of oil and gold (modeling and forecasting)", Ekhtaz Qahati Quarterly, No. 4(2), 25.
    52.
  52. Abbasian, Ezzatullah, Moradpour Oladi, Mehdi, Abbasion, Vahid (2007) "Effect of macroeconomic variables on total index of Tehran Stock Exchange", Iranian Economic Research Quarterly, Year 12, No. 36, pp. 135-152.
    53.
  53. Abdi, Majid (2016), "Investigating the long-term relationship between the total index of the Tehran Stock Exchange and macroeconomic variables", Investment Knowledge Quarterly, 6th year, No. 21, pp. 112-97.
    54.
  54. Azizi, Ahmed (2008), "Identification of macroeconomic variables affecting the price index of Tehran Stock Exchange", PhD thesis, Allameh Tabatabai University
    55.
  55. Fatahi, Shahram, Sohaili, Kyomarth and Lorestani, Sara (2015), "The effect of macroeconomic variables on the lack of financial assets in Iran", two quarterly journals of monetary and financial economics, new period, 23rd year, number 12, autumn and Winter 95, pp. 91-110.
    56.
  56. Fadainejad, Esmail and Farahani, Reza (2016), "Effects of macroeconomic variables on the total index of Tehran Stock Exchange", Financial Economics Quarterly, Year 11, Number 39, Summer 2016, pp. 1-25.
    57.
  57. Moradzadeh Fard, Mahdi, Mouszadeh Abbasi, Nooruddin, Shahbazzadeh, Atabek. (2016), "Investigating the dynamic effects of gold price impulses, real exchange rate and oil price on the stock price index", Financial Accounting Knowledge. No. 2 (6), pp. 52-70.
    58.
  58. Mosaei, Maitham, Mehrgan, Nader and Amiri, Hossein (2009), "The relationship between the stock market and macroeconomic variables in Iran", Economic Research and Policy Quarterly, 18th year, number 54, summer 2010, pp. 73-94.
    59.
  59. Nahidi, Mohammad Reza and Nikbakht, Fatemeh (1389), "Investigation of the effect of real exchange rate volatility on cash interest index and price of Tehran Stock Exchange", Stock Exchange Quarterly, No. 11, Fall 89, pp. 43-59.
    60.
  60. Nunjad, Massoud, Zamani Kordasholi, Behzad and Hosseinzadeh, Seyed Mojtabi, (2012) "Effect of monetary policies on stock price index in Iran", Economic Sciences Quarterly, 20th issue, 6th year, pp. 38-9.
    61.

 

Related articles

The rights to this website are owned by the Raimag Press Management System.
Copyright © 2021-2024

Home| Login| About Us| Contact Us|
[فارسی] [العربية] [fa] [ar]