EXAMINATION OF RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES AND STOCK EXCHANGE PRICE INDEX IN IRAN USING VECM

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NASROLLAHI ZAHRA; NASROLLAHI KHADEJE; MIRZABABAEE SAYED MORTEZA

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Journal: Journal of Quantitative Economics Year:2011 | Volume:8 | Issue:3 (30) Page(s): 89-103

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Title

EXAMINATION OF RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES AND STOCK EXCHANGE PRICE INDEX IN IRAN USING VECM

Author(s)

NASROLLAHI ZAHRA | NASROLLAHI KHADEJE | MIRZABABAEE SAYED MORTEZA | Issue Writer Certificate

Keywords

MACROECONOMIC VARIABLESQ2

STOCK MARKETQ2

RISKQ1

VECMQ2

VARQ2

Abstract

In this study we examined the relationship between Tehran stock exchange price index and some VARIABLES/fa?page=1&sort=1&ftyp=all&fgrp=all&fyrs=all" target="_blank">MACROECONOMIC VARIABLES such as CPI, exchange rate, house price index, gold price index and value added of industry during 1991-2006 using VAR and VECM approach. According to the results, stock exchange price index is affected by its own lages, exchange rate and value added of industry, in short run, while it is influenced by gold price index, house price index, CPI, exchange rate, value added of industry and export, in long run.

Cites

THE IMPACT OF MONETARY POLICY ON STOCK PRICE INDEX IN IRAN

References

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APA: Copy

NASROLLAHI, ZAHRA, NASROLLAHI, KHADEJE, & MIRZABABAEE, SAYED MORTEZA. (2011). EXAMINATION OF RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES AND STOCK EXCHANGE PRICE INDEX IN IRAN USING VECM. JOURNAL OF QUANTITATIVE ECONOMICS (QUARTERLY JOURNAL OF ECONOMICS REVIEW), 8(3 (30)), 89-103. SID. https://sid.ir/paper/110657/en

Vancouver: Copy

NASROLLAHI ZAHRA, NASROLLAHI KHADEJE, MIRZABABAEE SAYED MORTEZA. EXAMINATION OF RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES AND STOCK EXCHANGE PRICE INDEX IN IRAN USING VECM. JOURNAL OF QUANTITATIVE ECONOMICS (QUARTERLY JOURNAL OF ECONOMICS REVIEW)[Internet]. 2011;8(3 (30)):89-103. Available from: https://sid.ir/paper/110657/en

IEEE: Copy

ZAHRA NASROLLAHI, KHADEJE NASROLLAHI, and SAYED MORTEZA MIRZABABAEE, “EXAMINATION OF RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES AND STOCK EXCHANGE PRICE INDEX IN IRAN USING VECM,” JOURNAL OF QUANTITATIVE ECONOMICS (QUARTERLY JOURNAL OF ECONOMICS REVIEW), vol. 8, no. 3 (30), pp. 89–103, 2011, [Online]. Available: https://sid.ir/paper/110657/en

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