Iran financial market relation with domestic and international markets based on causality in moments of distribution analysis

Subject Areas : Financial Knowledge of Securities Analysis

Maryam  Moghaddas Bayat ¹ (Ph.D. in Econometrics, Lecturer at management faculty ,Allameh Tabatabee, Iran.)
Shamsollah  Shirinbakhsh ² (Associated professor,Social faculty,Azahra university,Iran)
Teymour  Mohammadi ³ (Associated professor,Economic faculty,Allameh Tabatabaee,Iran.)

Received: 2018-02-06 Accepted : 2018-11-11 Published : 2020-09-22

Keywords: Iran financial market, MSBVAR model, causality in moments of distri,

Abstract :

Proper analyzing and forecasting depend on appropriate statistical model identification. This can be done when the variables included in model lead to improve its identification. This results in causality concept.Previously variables’ relations was confined to first moment and linear relation within the framework of a causal relation .If the relation rejected, the variable would be excluded from model.Recently, causality analysis in higher moments and nonlinear way attract researchers. This means that presumed causal variable may contain unique information for some of moments but not all of them. Accordingly, eliminating such a variable from the model results in hiding important information of variable’s actual behavior which is under study. This research tries to present causality analysis in different orders of moments are presented in MSBVAR model settings. Therefore, free float index of stock exchange, exchange rate, OPEC basket price, gold global price are selected in order to examine causal relation from domestic and international markets to stock market. Results imply that exchange rate, oil and gold variables are causal in distribution for financial variable.

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