THE IMPACT OF POLITICAL NEWS ON TEHRAN STOCK EXCHANGE (AFIGARCA AND MSM) APPROACH

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KESHAVARZ HADDAD GHOLAMREZA; HEIDARI HADI

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: Journal of Economic Research Year:2011 | Volume:46 | Issue:94 Page(s): 111-136

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Information Journal Paper

Title

THE IMPACT OF POLITICAL NEWS ON TEHRAN STOCK EXCHANGE (AFIGARCA AND MSM) APPROACH

Author(s)

KESHAVARZ HADDAD GHOLAMREZA | HEIDARI HADI | Issue Writer Certificate

Keywords

POLITICAL SHOCKSQ2

PRESIDENTIAL ELECTIONQ2

STOCK MARKET VOLATILITYQ2

ARIMA-FIEGARCH-X AND MARKOV REGIME SWITCHINGQ2

Abstract

This paper examines the impact of 2005 PRESIDENTIAL ELECTION of Iran on the Tehran stock exchange volatility as a political shock. It uses GARCH family (FIEGARCH, EGARCH, and GARCH) and Markov Regime Switching (MRS) models as the analytical frameworks for the main the stock daily prices index. Our findings confirm statistical validity of ARIMA- FIEGARCH-X and AR (1) MRS as appropriate specifications. Furthermore, uncertainty in the market caused more volatility before the election and this volatility has continued after the election.Consequently, if the right party wins the election, the market volatility increases and it is actually what investors expect. In addition, MRS reveals that probability of staying in a high volatile situation on average is O.71 and the volatility duration in the market is 4 days.

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APA: Copy

KESHAVARZ HADDAD, GHOLAMREZA, & HEIDARI, HADI. (2011). THE IMPACT OF POLITICAL NEWS ON TEHRAN STOCK EXCHANGE (AFIGARCA AND MSM) APPROACH. TAHGHIGHAT-E-EGHTESADI, 46(94), 111-136. SID. https://sid.ir/paper/12101/en

Vancouver: Copy

KESHAVARZ HADDAD GHOLAMREZA, HEIDARI HADI. THE IMPACT OF POLITICAL NEWS ON TEHRAN STOCK EXCHANGE (AFIGARCA AND MSM) APPROACH. TAHGHIGHAT-E-EGHTESADI[Internet]. 2011;46(94):111-136. Available from: https://sid.ir/paper/12101/en

IEEE: Copy

GHOLAMREZA KESHAVARZ HADDAD, and HADI HEIDARI, “THE IMPACT OF POLITICAL NEWS ON TEHRAN STOCK EXCHANGE (AFIGARCA AND MSM) APPROACH,” TAHGHIGHAT-E-EGHTESADI, vol. 46, no. 94, pp. 111–136, 2011, [Online]. Available: https://sid.ir/paper/12101/en

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