• Home
  • The Relationship of Return on Investment Markets with the Debold and Yelmaz Approach

Share To

Article Url


Manuscript ID : FEJ-2003-2536 (R1) Visit : 116 Page: 446 - 478

20.1001.1.22519165.1399.11.44.20.5

Article Type: Original Research

The Relationship of Return on Investment Markets with the Debold and Yelmaz Approach

Subject Areas : Financial engineering

SayyedAmirMahdi  Hashemi 1 (Department of Financial Management, Sience and Research Branch, Islamic Azad University, Tehran, Iran)
mohammad  khodaei valahzaghard 2 (Department of Financial Management, Tehran North Branch, Islamic Azad University, Tehran, Iran)
Abbas  Memarnejad 3 (Department of economic, Sience and Research Branch, Islamic Azad University, Tehran, Iran)
asghar  abolhasani Hastiani 4 (Department of Accounting and Economy.Payam- e –noor University ,Tehran. Iran)

Received: 2020-03-30 Accepted : 2020-04-17 Published : 2020-09-22

Keywords: Economic Growth, Financial Development, Structural Dynamic models,

Abstract :

Financial development is one of the most important causes of economic growth. Economic growth is a key variable of every economy, so analysis the factors that affect Economic growth is important, too. In this paper, the effect of financial development on the economic growth of the country during the period of 1989 to 2016 has been studied. In order to increase accuracy and flexibility of results, we use the TVP-FAVAR model which make possible to change coefficient and participant of individual variables at any point of time. At first, latent financial development variable in Iran economy has been estimated; Then, we specify the model of study by using the variables of liquidity volume, oil revenues, economic growth and financial development.The results of the impulse- response functions show that a shock in the latent financial development has had a positive effect on economic growth during the years under study. The results also show that the shock caused by oil revenues will only lead to an increase in economic growth over the short term and will be adjusted over several years, while the effects of liquidity shocks on the results of most years have had a neutral effect on economic growth.

References:


  1. پدرام، مهدی. (1391)." اثر نوسانات نرخ ارز بر روی نوسانات بازار سهام در ایران" دانش مالی تحلیل اوراق بهاداردوره 5، شماره 3(پیاپی 15) پاییز 1391،صفحه 83-96.
    2.
  2. احسانی، محمد علی، (1383) "واسطه های مالی و رشد اقتصادی در ایران"، انتشارات پژوهشکده پولی و بانکی
    3.
  3. جلایی، سید عبدالمجید؛ رحیمی پور، اکبر؛ میر، هدیه؛ جمال زاده، محمود." تاثیر شاخص کیفیت حاکمیت شرکتی بر محدود کردن مدیریت سود با استفاده از معاملات غیرمعمول با اشخاص وابسته در شرکت‌های پذیرفته‌شده در بورس اوراق بهادار تهران". راهبرد مدیریت مالی » بهار 1396 - شماره 16 از صفحه 1 تا 28.
    4.
  4. حسینیون، نیلوفرسادات: بهنامه، مهدی و ابراهیمی سالاری ، تقی. (1395)." بررسی انتقال تلاطم نرخ بازده بین بازار‌‌‌‌‌های سهام، طلا و ارز در ایران" . پژوهشهای اقتصادی ایران:   بهار 1395 , دوره  21 , شماره  66 #a00262 ; از صفحه 123 تا صفحه .150 22054/IJER.2016.7049 DOI:  
    5.

 

  1. سخایی عمادالدین و کریم اسلاملوییان، (1390)،" بررسی علیت کوتاه مدت و بلندمدت میان توسعه مالی و رشد اقتصادی در خاورمیانه " پژوهش ایران اقتصادی ایران، سال 16، شماره 46، صص 79-61.
    2.
  2. تقوی، مهدی؛ امیری، حسین و محمدیان، عادل (1390)، " توسعه مالی و رشد اقتصادی در کشورهای منا با استفاده از روش پانل پویا GMM"، دانش مالی تحلیل اوراق بهادار (مطالعات مالی)، 10(4)، 82-63.
    3.
  3. راسخی، سعید و امید رنجبر، (1388)،"اثر توسعه مالی بر رشد اقتصادی در کشورهای عضو سازمان کنفرانس اسلامی"، مجله دانش وتوسعه، 16(27).
    4.
  4. محنت فر، یوسف.(1395)." بررسی تاثیر شوک های نفتی بر متغیرهای اقتصاد کلان در ایران" عنوان نشریه:  مطالعات اقتصادی کاربردی:  بهار 1395 , دوره  5 , شماره  17 #f0076 ; از صفحه 225 تا صفحه 242.
    5.

 

  1. مهرآرا، محسن حسین طلاکش نائینی ،(1388)"بررسی رابطه توسعه مالی و رشد اقتصادی در کشورهای منتخب با روش داده های تلفیقی پویا (2003-1979)"،مجله دانش و توسعه، 16(26).
    2.
  2. Abdalla, S. Z. S. (2013). Modelling the Impact of Oil Price Fluctuations on the Stock Returns in an Emerging Market: The Case of Saudi Arabia. Interdisciplinary Journal of Research in Business, 2(10), 10-20.
    3.

11.  Abdelghani Echchabi1, Dhekra Azouzi “Oil Price Fluctuations and Stock Market Movements: An Application in Oman”   DOI: 10.13106/jafeb.2017.vol4.no2.1

  1. Acharya, V., L. Pedersen, T. Philippe, and M. Richardson, “Measuring Systemic Risk,” Manuscript, Stern School, New York University,2010
    2.

. DOI: 10.1016/j.jeconom.2014.04.012.

  1. Adler, M. and B. Dumas, 1983, International portfolio choices and corporation finance: A synthesis, Journal of Finance 38, 925-984.
    2.
  2. Adrian, Tobias and Shin, Hyun Song, Financial Intermediaries, Financial Stability, and Monetary Policy (September 2008). DOI: 10.2139/ssrn.1266714.
    3.
  3. Adrian, T. and M. Brunnermeier (2008), “CoVaR,” Staff Report 348, Federal Reserve Bank of New York.
    4.

 

  1. Al Hayky, A., & Naim, N. (2016). The Relationship Between Oil Price and Stock Market Index: An Empirical Study from Kuwait. As presented at Middle East Economic Association 15th International Conference.
    2.
  2. Allen, F., A. Babus, and E. Carletti, “Financial Connections and Systemic Risk,” NBER Working Paper 16177, 2010. DOI: 10.3386/w16177.
    3.
  3. Arouri, M., & Rault, C. (2012). Oil Prices and Stock Markets in GCC Countries: Empirical Evidence from Panel Analysis. International Journal of Financial Economics, 17, 242-253.
    4.
  4. Adusei, Michael (2014), Does Economic Growth Promote Financial Development? Research in Applied Economics, Vol 6, No 2, PP: 209-220.
    5.
  5. Baron,David.” Fluctuaing Exchang Rates and The Pricing of Expports”Wiley Onlne Library,1976. DOI: 10.1111/j.1465-7295.1976.tb00430.x.
    6.
  6. Bocola,l, The Pass-Through of Sovereign Risk, Journal of Political Economy, vol. 124, issue 4, 879 – 926, 2016. DOI: 10.1086/686734.
    7.
  7. Chaiechi, Taha (2012), Financial Development and Economic Growth through a Post-Keynesian Lens: Hong Kong Case Study, Employment, Growth and Development. A Post-Keynesian Approach, PP: 198- 209.
    8.
  8. Chien-Chung Nieh” The effect of the Asian financial crisis on the relationships among open macroeconomic factors for Asian countries” Pages 491-502,2010. DOI: 10.1080/00036840110046827
    9.
  9. Das, D., Bhowmik, P., Jana, R.K. A multiscale analysis of stock return co-movements and spillovers: Evidence from Pacific developed markets Physica A: Statistical Mechanics and its Applications, 2018, Volume 502.
    10.

DOI: 10.1016/j.physa.2018.02.143.

  1. Diebold, F.X. and K. Yilmaz, “Better to Give than to Receive: Predictive Measurement of Volatility Spillovers,” International Journal of Forecasting, Forthcoming, with discussion ,2011. DOI: 10.1093/jjfinec/nbv021
    2.
  2. K, and Sakhaei. E.A. (2011), the Short Run and Long Run Causality between Financial Development and Economic Growth in the Middle East, Iranian Journal of Economic Research, 16(46).
    3.
  3. Fattouh,Bassam.“OPEC pricing power : the need for a new perspective” OIES paper: M31.2007.
    4.
  4. Fratzscher, Marcel, Towards a new early warning system of financial crises, 2015, ECB Working Paper, No. 145, European Central Bank (ECB), Frankfurt a. M. DOI: 10.1002/ijfe.203.
    5.
  5. GeorgeFilis, Stavros Degiannakis, ChristosFloros.” Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries” Pages 152-164, 2010.DOI: 10.1016/j.irfa.2011.02.014
    6.
  6. Hamao, Y., Masulis, R. W. and Ng, V. (1990) Correlations in price changes and volatility across international stock markets.
    7.
  7. Ibraheem Ansar, Nadia Asghar,(2013).” The impact of oil prices on stock exchange and CPI in Pakistan” IOSR Journal of Business and Management.
    8.
  8. Kim,H., Batten,J., Ryu,D., “Financial crisis, bank diversification, and financial stability: OECD countries”, International Review of Economics & Finance, Volume 65, January 2020, Pages 94-104.
    9.
  9. Korobilis, D. (2013). Assessing the transmission of monetary policy shocks using time-varying parameter dynamic factor models. Oxford Bulletin of Economics and Statistics 75, 157-179.
    10.
  10. Kose,M., Prasad,E., Terrones,M. “Financial Integration and Macroeconomic Volatility”, IMF Econ Rev 50, 119–142 (2003). DOI: 10.2307/4149918.
    11.
  11. Markus K. Brunnermeier, Lasse Heje Pedersen.” Market Liquidity and Funding Liquidity”. The Review of Financial Studies, Volume 22, Issue 6, June 2009, Pages 2201–2238. DOI: 10.1093/rfs/hhn098
    12.
  12. Mishra, A. K., Swain, N. & Malhotra, D. (2007). Volatility spillover between tock and foreign exchange. International Journal of Business, 12(3):343-359. DOI:10.1007/s10551-010-0441-1.
    13.
  13. Mork, Knut Anton.”Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results” Journal of Political Economy,Volume 97, Number 3 | Jun., 1989.
    14.
  14. Nieh, C. C. & Lee, C. F. (2001). Dynamic relationship between stock prices and exchange rates for G7 countries. The Quarterly Review of Economics and Finance, 41: 477-490
    15.
  15. Peter Hooper, Steven W. Kohlhagen. " The effect of exchange rate uncertainty on the prices and volume of international trade" Pages 483-511,1978. DOI: 10.1016/0022-1996(87)90001-8.
    16.
  16. Rahman, Matiur & Mustafa, Muhammad, Financial deepening and stock market returns: International Journal of DOI: 10.1016/j.iref.2019.08.009.
    17.
  17. Ramos, S., & Veiga, H. (2013). Oil Price Asymmetric effects: Answering the puzzle in International Stock Markets. Energy Economics, 38, 136-145.
    18.
  18. Rudiger Dornbusch ,Stanley Fischer.” Exchange Rates and the Current Account” The American Economic Review Vol. 70, No. 5 (Dec., 1980), pp. 960-971.
    19.
  19. Samargandi, Nahla, Fidrmuc, Jan and Sugata Ghosh (2013), Financial development and economic growth in an oil-rich economy: The case of Saudi Arabia, Brunel University and Ruhr University- Bochum.
    20.
  20. SandrineLardic, ValérieMignon.” Oil prices and economic activity: An asymmetric cointegration approach” Pages 847-855.2008. DOI: 10.1016/j.eneco.2006.10.010
    21.
  21. Shinagawa,Y, Determinants of Financial Market Spillovers, Washington : International Monetary Fund ,2014. ISSN: 9781498365628/1018-5941.
    22.
  22. Siddiqui, M. M. (2014). Oil Price Fluctuation and Stock Market Performance - The Case of Pakistan. Journal of International Business and Economics, 2(1), 47-53.
    23.
  23. WalidChkili, ChakerAloui, Duc KhuongNguyen. “Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates” Pages 738-757, 2012. DOI: 10.1016/j.intfin.2012.04.009.
    24.
  24. Yau, H. & Nieh, C. C. (2006). Interrelations among stock prices of Taiwan and Japan and NTD/Yen exchange rate. Journal of Asian Economics, 17: 535-552.
    25.
  25. C., Furceri,D. Choi,S., Albrizio,S., “International bank lending channel of monetary policy” Journal of International Money and Finance,Volume 102, April 2020, 102124. DOI: 10.1016/j.jimonfin.2019.102124
    26.
  26. J, Wang. L and Wang. S, (2012), Financial Development and Economic Growth: Recent Evidence from China Journal of Comparative Economics, 40, 393-41.
    27.
  27. Zhang, x. Charls, M. Boehmer, E. “Potential pilot problems: Treatment spillovers in financial regulatory experiments,” Volume 135, Issue 1, January 2020, Pages 68-87. DOI: 10.1016/j.jfineco.2019.05.016
    28.

 

_||_

 

 

 

. DOI: 10.1016/j.jeconom.2014.04.012.

Abdalla, S. Z. S. (2013). Modelling the Impact of Oil Price Fluctuations on the Stock Returns in an Emerging Market: The Case of Saudi Arabia. Interdisciplinary Journal of Research in Business, 2(10), 10-20.

Abdelghani Echchabi1, Dhekra Azouzi “Oil Price Fluctuations and Stock Market Movements: An Application in Oman”   DOI: 10.13106/jafeb.2017.vol4.no2.1

Acharya, V., L. Pedersen, T. Philippe, and M. Richardson, “Measuring Systemic Risk,” Manuscript, Stern School, New York University,2010

Adler, M. and B. Dumas, 1983, International portfolio choices and corporation finance: A synthesis, Journal of Finance 38, 925-984.

Adrian, T. and M. Brunnermeier (2008), “CoVaR,” Staff Report 348, Federal Reserve Bank of New York.

Adrian, Tobias and Shin, Hyun Song, Financial Intermediaries, Financial Stability, and Monetary Policy (September 2008). DOI: 10.2139/ssrn.1266714.

Adusei, Michael (2014), Does Economic Growth Promote Financial Development? Research in Applied Economics, Vol 6, No 2, PP: 209-220.

Al Hayky, A., & Naim, N. (2016). The Relationship Between Oil Price and Stock Market Index: An Empirical Study from Kuwait. As presented at Middle East Economic Association 15th International Conference.

Allen, F., A. Babus, and E. Carletti, “Financial Connections and Systemic Risk,” NBER Working Paper 16177, 2010.  DOI: 10.3386/w16177.

Arouri, M., & Rault, C. (2012). Oil Prices and Stock Markets in GCC Countries: Empirical Evidence from Panel Analysis. International Journal of Financial Economics, 17, 242-253.

Baron,David.” Fluctuaing Exchang Rates and The Pricing of Expports”Wiley Onlne Library,1976. DOI: 10.1111/j.1465-7295.1976.tb00430.x.

Bocola,l, The Pass-Through of Sovereign Risk, Journal of Political Economy, vol. 124, issue 4, 879 – 926, 2016.   DOI: 10.1086/686734.

Chaiechi, Taha (2012), Financial Development and Economic Growth through a Post-Keynesian Lens: Hong Kong Case Study, Employment, Growth and Development. A Post-Keynesian Approach, PP: 198- 209.

Chien-Chung Nieh” The effect of the Asian financial crisis on the relationships among open macroeconomic factors for Asian countries” Pages 491-502,2010. DOI: 10.1080/00036840110046827

Das, D., Bhowmik, P., Jana, R.K. A multiscale analysis of stock return co-movements and spillovers: Evidence from Pacific developed markets Physica A: Statistical Mechanics and its Applications, 2018, Volume 502.

Diebold, F.X. and K. Yilmaz, “Better to Give than to Receive: Predictive Measurement of Volatility Spillovers,” International Journal of Forecasting, Forthcoming, with discussion ,2011. DOI: 10.1093/jjfinec/nbv021

DOI: 10.1016/j.physa.2018.02.143.

Ehsani, Mohammad Ali, (1383) "Financial Intermediaries and Economic Growth in Iran", Monetary and Banking Institute Publications

Eslamloueyan. K, and Sakhaei. E.A. (2011), the Short Run and Long Run Causality between Financial Development and Economic Growth in the Middle East, Iranian Journal of Economic Research, 16(46).

Fattouh,Bassam.“OPEC pricing power : the need for a new perspective” OIES paper: M31.2007.

Fratzscher, Marcel, Towards a new early warning system of financial crises, 2015, ECB Working Paper, No. 145, European Central Bank (ECB), Frankfurt a. M.  DOI: 10.1002/ijfe.203.

GeorgeFilis, Stavros Degiannakis, ChristosFloros.” Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries” Pages 152-164, 2010.DOI: 10.1016/j.irfa.2011.02.014

Hamao, Y., Masulis, R. W. and Ng, V. (1990) Correlations in price changes and volatility across international stock markets.

Hosseinyoun, Nilofarsadat: Behnameh, Mahdi and Ebrahimi Salari, Taghi. (2015) "Investigating the transmission of yield rate volatility between stock, gold and foreign exchange markets in Iran". Iran Economic Research: Spring 2015, Volume 21, Number 66 #a00262; From page 123 to page 150 10.22054/IJER.2016.7049 DOI:

Ibraheem Ansar, Nadia Asghar,(2013).” The impact of oil prices on stock exchange and CPI in Pakistan” IOSR Journal of Business and Management.

Jalai, Seyyed Abdul Majid; Rahimipour, Akbar; Mir, gift; Jamalzadeh, Mahmoud. "The effect of corporate governance quality index on limiting profit management using unusual transactions with related parties in companies listed on Tehran Stock Exchange". Financial Management Strategy » Spring 2016 - Number 16 from page 1 to 28.

Kim,H., Batten,J., Ryu,D., “Financial crisis, bank diversification, and financial stability: OECD countries”, International Review of Economics & Finance, Volume 65, January 2020, Pages 94-104.

Korobilis, D. (2013). Assessing the transmission of monetary policy shocks using time-varying parameter dynamic factor models. Oxford Bulletin of Economics and Statistics 75, 157-179.

Kose,M., Prasad,E., Terrones,M. “Financial Integration and Macroeconomic Volatility”, IMF Econ Rev 50, 119–142 (2003). DOI: 10.2307/4149918.

Lajat Far, Youssef. (2015) "Evaluation of the effect of oil shocks on macroeconomic variables in Iran" Title of the publication: Applied Economic Studies: Spring 2015, Volume 5, Number 17 #f0076; From page 225 to page 242.

Markus K. Brunnermeier, Lasse Heje Pedersen.” Market Liquidity and Funding Liquidity”. The Review of Financial Studies, Volume 22, Issue 6, June 2009, Pages 2201–2238. DOI: 10.1093/rfs/hhn098

Mehrara, Mohsen Hossein Talakash Naini, (2008) "Investigation of the relationship between financial development and economic growth in selected countries using the dynamic pooled data method (1979-2003)", Knowledge and Development Magazine, 16(26).

Mishra, A. K., Swain, N. & Malhotra, D. (2007). Volatility spillover between tock and foreign exchange. International Journal of Business, 12(3):343-359. DOI:10.1007/s10551-010-0441-1.

Mork, Knut Anton.”Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results” Journal of Political Economy,Volume 97, Number 3 | Jun., 1989.

My father, Mehdi. (2013) "Effect of exchange rate fluctuations on stock market fluctuations in Iran" financial knowledge of securities analysis, volume 5, number 3 (15 consecutive), autumn 2013, pages 83-96.

Nieh, C. C. & Lee, C. F. (2001). Dynamic relationship between stock prices and exchange rates for G7 countries. The Quarterly Review of Economics and Finance, 41: 477-490

Peter Hooper, Steven W. Kohlhagen. " The effect of exchange rate uncertainty on the prices and volume of international trade" Pages 483-511,1978.        DOI: 10.1016/0022-1996(87)90001-8.

Rahman, Matiur & Mustafa, Muhammad,  Financial deepening and stock market returns: International Journal of DOI: 10.1016/j.iref.2019.08.009.

Ramos, S., & Veiga, H. (2013). Oil Price Asymmetric effects: Answering the puzzle in International Stock Markets. Energy Economics, 38, 136-145.

Rasakhi, Saeed and Omid Ranjbar, (2008), "Effect of financial development on economic growth in member countries of Organization of Islamic Conference", Journal of Knowledge and Development, 16(27).

Rudiger Dornbusch ,Stanley Fischer.” Exchange Rates and the Current Account” The American Economic Review Vol. 70, No. 5 (Dec., 1980), pp. 960-971.

Sakhai Emaddin and Karim Islamloviyan, (2013) "Evaluation of short-term and long-term causality between financial development and economic growth in the Middle East" Iran Economic Research, year 16, number 46, pp. 61-79.

Samargandi, Nahla, Fidrmuc, Jan and Sugata Ghosh (2013), Financial development and economic growth in an oil-rich economy: The case of Saudi Arabia, Brunel University and Ruhr University- Bochum.

SandrineLardic, ValérieMignon.” Oil prices and economic activity: An asymmetric cointegration approach” Pages 847-855.2008. DOI: 10.1016/j.eneco.2006.10.010

Shinagawa,Y, Determinants of Financial Market Spillovers, Washington : International Monetary Fund ,2014. ISSN: 9781498365628/1018-5941.

Siddiqui, M. M. (2014). Oil Price Fluctuation and Stock Market Performance - The Case of Pakistan. Journal of International Business and Economics, 2(1), 47-53.

Taqvi, Mehdi; Amiri, Hossein and Mohammadian, Adel (2018), "Financial development and economic growth in MENA countries using dynamic panel GMM method", Financial Knowledge of Securities Analysis (Financial Studies), 10(4), 63-82.

WalidChkili, ChakerAloui, Duc KhuongNguyen. “Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates” Pages 738-757, 2012.  DOI: 10.1016/j.intfin.2012.04.009.

Yau, H. & Nieh, C. C. (2006). Interrelations among stock prices of Taiwan and Japan and NTD/Yen exchange rate. Journal of Asian Economics, 17: 535-552.

Yoon.C., Furceri,D. Choi,S., Albrizio,S., “International bank lending channel of monetary policy” Journal of International Money and Finance,Volume 102, April 2020, 102124. DOI: 10.1016/j.jimonfin.2019.102124

Zhang, x. Charls, M. Boehmer, E. “Potential pilot problems: Treatment spillovers in financial regulatory experiments,” Volume 135, Issue 1, January 2020, Pages 68-87. DOI: 10.1016/j.jfineco.2019.05.016

Zhang. J, Wang. L and Wang. S, (2012), Financial Development and Economic Growth: Recent Evidence from China Journal of Comparative Economics, 40, 393-41.

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]