The effect of macroeconomic variables on total efficiency of the securities market Approach using state - space

Subject Areas : Bi-quarterly Journal of development economics and planning

A.  Hortamani ¹ (- Assistant Professor Islamic Azad University, Dehaghan branch, Iran)
M.  Karimkhani ² (M.A of Economic Systems planning, Islamic Azad University, Dehaghan branch, Iran)
M.  Abdoli ³ (University Teacher of Pyam-Nour University, Bonab-Jadid Branch)

Received: 2016-03-15 Accepted : 2016-03-15 Published : 2015-03-21

Keywords: Macroeconomic Variables, the total return index, state- space, Arbitrage pricing theory,

Abstract :

One of the important issues of Economic and financial researchers are the issue of the effect of economic variables on stock market performance. Because investors have different combinations of cash in their portfolios of financial assets, Shares, bank deposits, bonds, Gold and currency are Maintain Changes in monetary, exchange rate, inflation and interest rates, Individuals, demand is affected to hold each of assets including demand for the stock. This in turn affects the equities. It is believed that the price of the stock by some fundamental economic variables such a Inflation rate, exchange rate, interest rate and liquidity, are determined. In this study, the effects of three important economic variables, such as inflation, money supply, exchange rate returns on the market index is investigated. Period of time between contract research (2007-2012) and using a state - space have been analyzed. State-space model is a useful tool for dynamic system state variables are unobserved the results of the econometric models used to study space - the show. There is no Significant and positive relationship between inflation and the liquidity and efficiency of the stock exchange. Also there is significant negative correlation between the rate of return on the stock exchange there. 

References:

اصولیان، محمد، 4911 بررسی تاثیر تغییرات برخی از متغیرهای کلان اقتصادی بر شاخص قیمت صنایع

پذیرفته شده در بورس اوراق بهادار تهران از سال 4912 تا ،4914 پایان نامه کارشناسی ارشد،

دانشگاه تهران، دانشکده مدیریت.

بادکوبه ای هزاره،علیرضا و محمد تقی شهیدی 4911 ، بررسی و مطالعه اثر تورم بر قیمت سهام شرکت

های پذیرفته شده در بورس اوراق بهادار تهران، پایان نامه کارشناسی ارشد،دانشگاه تهران .

دباغ نصب، ، مرتضی، 4915 " تاثیر متغیرهای کلان پولی بر شاخص قیمت بورس تهران : ، پایان نامه

کارشناسی ارشد، دانشگاه علامه طباطبایی، دانشکده اقتصاد.

کریم زاده، مصطفی) 4915 (، بررسی رابطهی بلندمدت شاخص قیمت سهام بورس با متغیرهای کلان

پولی با استفاده از روش همجمعی دراقتصاد ایران " ، فصلنامه پژوهشهای اقتصادی ایران، سال هشتم،

. شماره 26

Achsani, N. and H.G. Strohe.2002, Stock Market Returns and Macroeconomic Factors,Evidence from Jakarta Stock Exchange of Indonesia 1990-2001, Universität Potsdam, Wirtschaftsund Sozialwissenschaftliche Fakultät, Discussion Paper.

Anthony , Kwame. 2008, Impact of macroeconomic indicators on stock market performance”, Journal of Risk Finance, Vol. 9 Issue 4, p365-378, 14p

Berry M. A., Burmeister E., McElroy M.1988, Sorting out risks using known APT factors. Financial Analyst Journal, 44 (2) , p 29–42.

Chen N.F., R. Roll and S.A. Ross.1986,Economic Forces and the Stock Market,Journal of Business, , Vol. 59, No. 3, pp. 383-403.

Cheung YW and Ng.1998, International Evidence on the Stock Market and Aggregate Economic Activity,Journa of Empirical Finance, Vol. 5, p 281-296.

Chinipardaz,R.2001, A CUSUM Approach to Distributin of The Estiomation for Autoregresive Time Series Models, Iranian International Journal of Science,2(1) , p 65-82.

Cuthbertson, K.1996, Quantitative financial economics: Stocks, bonds and foreign exchange. Chichester [etc.]: Wiley, cop.

دوفصلنامه علمی- تخصصی اقتصاد توسعه و برنامه ریزی/ بهار و تابستان 4931 / سال چهارم/ شماره اول

414

Dickey,D.A.and W.A.Fuller.1979, Distrivution of The Estimation for Autoregresive Time Series with a Unit Root,J. Amer.Statist.Ass, p 74,427-431.

Elton, E.J., Gruber, M.J., Brown, S.J. and Goetzmann, W.N. 2003, Modern Portfolio Theory and Investment Analysis . 6th ed. John Wiley &Sons, New York.

Elton, Edwin, and Martin Gruber.(1991), Modern Portfolio Theory and Investment Analysis. ,p 399-448.

Fung H.G. and C.J. Lie.1990,Stock Market and Economic Activities: A Casual Analysis. – Pacific- Basin Capital Markets Research, Amsterdam.

Gelb, A.1974,Applied Optimal Estimation, MIT Press, Cambridge, MA.Jacobs93 Jacobs, O. L. R. 1993. Introduction to Control Theory, 2nd Edition. Oxford

Geske, R. and R. Roll.1983, The fiscal and monetary linkages between stock returns and Inflation, Journal of Finance, p 38,1-33.

Gilles, R. & Leroy, S. F.1991, On the Arbitrage Pricing Theory . Economic Theory, 1(3) , p 213–229.

Hamao, Y. 1988,An empirical examination of the Arbitrage Pricing Theory. Japan andWorld Economy, 1(1) , p 45–61.

Harvey,A.C.1989,Forecasting,Structural Time Series Models and the Kalman Filter, Gambridge University Press.

Kwon, C.S. and T.S. Shin. 1999, Cointegration and Causality between Macroeconomic Variables and Stock Market Returns , Global Finance Journal, Vol. 10, No. 1, p 71-81.

Laidler, D.E.W. and Parkin J.M. Inflation. (1975), A Survey, Economic Journal, p 795.

Leigh, L. 1997, Stock Return Equilibrium and Macroeconomic Fundamentals , International Monetary Fund Working Paper, No. 97/15, p 1-41.

Madsen, B. Jakob. 2002. Share Returns and the Fisher Hypothesis Reconsidered. Applied Financial Economics, No.12, p 565-574.

Maysami, R.C. and T.S. Koh A. 2000, Vector Error Correction Model of the Singapore Stock Market, International Review of Economics and Finance, Vol. 9, p 79-96.

Muradoglu, Yaz Gulnur, & Metin, Kivilcim. 1996. Efficiency of the Turkish Stock Exchange with Respect to Monetary Variables: A Cointegration Analysis. European Journal Of Operational Research, No. 90, p 566-576.

Poon, S and S.J. Taylor. Macroeconomic Factors and the UK Stock Market,Journal of Business and Accounting, 1991, Vol. 18, No. 5, p 619-636.

Ross, S.A. 1976, The Arbitrage Theory of Capital Asset Pricing,Journal of Economic Theory, Vol. 13, No. 3, p 341-360.

Shumway, R.H.1988,Applied Statistical Time Series Analysis, New Jersey,Prentice Hall