THE RELATIONSHIP BETWEEN RETURN INDEX OF TEHRAN STOCK MARKET, CONSUMPTION AND INVESTMENT

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ABOLPOUR MONFARED M.

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2011 | Volume:1 | Issue:5 Page(s): 161-173

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Title

THE RELATIONSHIP BETWEEN RETURN INDEX OF TEHRAN STOCK MARKET, CONSUMPTION AND INVESTMENT

Author(s)

ABOLPOUR MONFARED M. | Issue Writer Certificate

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Abstract

In this search we examine the relationship between return index of Tehran stock market, consumption and Investment from 1370 to 1388 using cointegration test, vector error correction model and variance decomposition. The result revealed that there was a negative and significant relation between stock index, consumption and investment in the long run term. VECM results show that in the short run term the effect of consumption on stock index was negative and investment has a positive effect on it. Variance decomposition revealed that investment showed greater forecast error for return share index and vice versa.

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APA: Copy

ABOLPOUR MONFARED, M.. (2011). THE RELATIONSHIP BETWEEN RETURN INDEX OF TEHRAN STOCK MARKET, CONSUMPTION AND INVESTMENT. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 1(5), 161-173. SID. https://sid.ir/paper/197604/en

Vancouver: Copy

ABOLPOUR MONFARED M.. THE RELATIONSHIP BETWEEN RETURN INDEX OF TEHRAN STOCK MARKET, CONSUMPTION AND INVESTMENT. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2011;1(5):161-173. Available from: https://sid.ir/paper/197604/en

IEEE: Copy

M. ABOLPOUR MONFARED, “THE RELATIONSHIP BETWEEN RETURN INDEX OF TEHRAN STOCK MARKET, CONSUMPTION AND INVESTMENT,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 1, no. 5, pp. 161–173, 2011, [Online]. Available: https://sid.ir/paper/197604/en

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