Analysis of Comovement between Tehran Stock Market and Global Macroeconomic Indicators Using a Time-Frequency Analysis
Subject Areas : Financial engineering
Khadijeh Dinarzehi
1
,
Mohammad Nabi Shahiki Tash
2
,
Gholamreza Zamanian
3
1 - PhD Student, Department of Economics, Faculty of Management and Economics, Sistan and Baluchestan University, Zahedan, Iran.
2 - Associate Professor, Department of Economics, Faculty of Management and Economics, Sistan and Baluchestan University, Zahedan, Iran.
3 - Associate Professor, Department of Economics, Faculty of Management and Economics, Sistan and Baluchestan University, Zahedan, Iran.
Keywords: Tehran Stock Exchange, Macroeconomic Variables, Comovement, Time-Frequency Analysis,
Abstract :
Study of the comovement between financial markets plays a crucial role in increasing the performance of trading strategies. Due to the strong dependence of Iran economy on oil prices and the fluctuation of the dollar exchange rate in the open market, it is very important to study these macroeconomic level factors on stock market performance for portfolio management. In this research, using time-frequency domain analysis, while discovering the interdependence between financial markets, capital turnover trends in Tehran stock exchange are analyzed and the effect of exchange rate fluctuations and the price of the OPEC oil basket on the indices including TEPIX, industry, banking, automobile, and oil products are studied. The results show that the longer the investment horizon, the stronger this effect is, and the increase in the exchange rate causes the index to increase in order for the market to prosper more, while there is a weak interdependence between TEPIX and oil price. During the investment horizon of 4 to 9 months, any increase in USD encourages shareholders to trade more, while in similar conditions, the increase in oil prices, except in the banking and the petroleum sectors, cause money to flow out of the market in other sectors.
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