MACROECONOMIC VARIABLES AND STOCK MARKET: EVIDENCE FROM IRAN

Abbas Alavi RAD

Makale detayları

MACROECONOMIC VARIABLES AND STOCK MARKET: EVIDENCE FROM IRAN

Yazarlar:

Abbas Alavi RAD

Yayıncı:

Sosyal Bilimler Araştırmaları Derneği

Dergi:

International Journal of Economics and Finance Studies 2011 Vol.3 Issue 1, pp.1-10

Belge Tipi:

Makale

Yayın Tarihi:

5/2011

Belge Dili:

Türkçe

Document ID (Org No.):

2000811219

Sıklık:

İki Yıllık

eISSN:

1309-8055

Özet:

 

In this paper, we examine the relationship between Tehran Stock Exchange (TSE) price index and a set of three macroeconomic variables from 2001 to 2007 using Unrestricted Vector Autoregressive (VAR) model. Our analysis based on Impulse Response Function (IRF), indicate that the response of TSE price index to shocks in macroeconomic variables such as consumer price index (CPI), free market exchange rate, and liquidity (M2) is weak. In addition, generalized Forecast Error Variance Decomposition (FEVD) reveals that share of macroeconomic variables in fluctuations of TSE price index is about 12 per cent. Finally, it seems that political shocks or other economic forces can effect on TSE price index in Iran.

Makale detayları

MACROECONOMIC VARIABLES AND STOCK MARKET: EVIDENCE FROM IRAN

Yazarlar: Abbas Alavi RAD

Yayıncı: Sosyal Bilimler Araştırmaları Derneği

Dergi: International Journal of Economics and Finance Studies 2011 Vol.3 Issue 1, pp.1-10

Belge Tipi: Makale

Yayın Tarihi: 5/2011

Belge Dili: Türkçe

Document ID (Org No.): 2000811219

Sıklık: İki Yıllık

eISSN: 1309-8055

Sayı

Yazarlar:

Abbas Alavi RAD

Yayıncı:

Sosyal Bilimler Araştırmaları Derneği

Dergi:

International Journal of Economics and Finance Studies 2011 Vol.3 Issue 1, pp.1-10

Belge Tipi:

Makale

Yayın Tarihi:

5/2011

Belge Dili:

Türkçe

Document ID (Org No.):

2000811219

Sıklık:

İki Yıllık

eISSN:

1309-8055