LONG RUN AND SHORT RUN EFFECTS OF MONETARY AND EXCHANGE VARIABLES ON STOCK PRICES IN IRAN

Abbas Alavi Rad; Mohammad Reza Eslami

Makale detayları

LONG RUN AND SHORT RUN EFFECTS OF MONETARY AND EXCHANGE VARIABLES ON STOCK PRICES IN IRAN

Yazarlar:

Abbas Alavi Rad | Mohammad Reza Eslami

Yayıncı:

Sosyal Bilimler Araştırmaları Derneği

Dergi:

International Journal of Economics and Finance Studies 2012 Vol.4 Issue 1, pp.1-10

Belge Tipi:

Makale

Yayın Tarihi:

5/2012

Belge Dili:

Türkçe

Document ID (Org No.):

2000811089

Sıklık:

İki Yıllık

eISSN:

1309-8055

Özet:

 

The movements in the stock prices are an important indicator of the economy. The
 purpose of this paper was to examine the relationship between Tehran Stock
 Exchange (TSE) price index and monetary variables in Iran. We have used
 Autoregressive Distributed Lag (ARDL) approach and Error Correction Model
 (ECM) to determine the effects of monetary and exchange variables on TSE price
 index in long run and short run. Quantitative estimates based on the time series
 monthly data from 2004 to 2009, indicate that liquidity (M2) has a positive effect
 on TSE price index in long run. But, free market exchange rate (FR) and legal
 reserves (LR) have a negative effect on TSE price index in long run. On the other
 hand, monetary and exchange variables have a significant effect on TSE price
 index in short run. However, the coefficient of the Error Correction Term (ECT)
 shows that speed of adjustment is slow and the ECM only can explain 69 per cent
 of fluctuation of TSE price index.

Makale detayları

LONG RUN AND SHORT RUN EFFECTS OF MONETARY AND EXCHANGE VARIABLES ON STOCK PRICES IN IRAN

Yazarlar: Abbas Alavi Rad | Mohammad Reza Eslami

Yayıncı: Sosyal Bilimler Araştırmaları Derneği

Dergi: International Journal of Economics and Finance Studies 2012 Vol.4 Issue 1, pp.1-10

Belge Tipi: Makale

Yayın Tarihi: 5/2012

Belge Dili: Türkçe

Document ID (Org No.): 2000811089

Sıklık: İki Yıllık

eISSN: 1309-8055

Sayı

Yazarlar:

Abbas Alavi Rad | Mohammad Reza Eslami

Yayıncı:

Sosyal Bilimler Araştırmaları Derneği

Dergi:

International Journal of Economics and Finance Studies 2012 Vol.4 Issue 1, pp.1-10

Belge Tipi:

Makale

Yayın Tarihi:

5/2012

Belge Dili:

Türkçe

Document ID (Org No.):

2000811089

Sıklık:

İki Yıllık

eISSN:

1309-8055