MONETARY AND FISCAL POLICIES AND STOCK MARKET EFFICIENCY: EVIDENCES FROM IRAN

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SHAHBAZI K.; REZAEI EBRAHIM; ABBASI ABOLFAZL

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2014 | Volume:6 | Issue:20 Page(s): 63-77

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Title

MONETARY AND FISCAL POLICIES AND STOCK MARKET EFFICIENCY: EVIDENCES FROM IRAN

Author(s)

SHAHBAZI K. | REZAEI EBRAHIM | ABBASI ABOLFAZL | Issue Writer Certificate

Keywords

FISCAL POLICYQ3

MONETARY POLICYQ3

STOCK MARKET EFFICIENCYQ3

BOUNDS TESTQ3

Abstract

The aim of this study is to investigate the empirical relationship between fiscal and monetary policies and nominal stock returns in Iran using quarterly data during the period 1999-2008. The results show that the stock market of Iran is inefficient with respect to fiscal policies since the lags of governmental expenditures and taxes have significant effect on stock returns. This means that market participants do not place much faith on news about fiscal policies while fiscal policies could adversely impact the stock market. According to the results of the estimated model, the lags of money supply have no effect on nominal stock return. Therefore, stock market of Iran is efficient with respect to monetary policies. The results confirm that, contrary to fiscal policies, market participants consider monetary policies as an important factor influencing stock returns and take the changes of these policies into account in their decision makings.

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APA: Copy

SHAHBAZI, K., REZAEI, EBRAHIM, & ABBASI, ABOLFAZL. (2014). MONETARY AND FISCAL POLICIES AND STOCK MARKET EFFICIENCY: EVIDENCES FROM IRAN. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 6(20), 63-77. SID. https://sid.ir/paper/200068/en

Vancouver: Copy

SHAHBAZI K., REZAEI EBRAHIM, ABBASI ABOLFAZL. MONETARY AND FISCAL POLICIES AND STOCK MARKET EFFICIENCY: EVIDENCES FROM IRAN. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2014;6(20):63-77. Available from: https://sid.ir/paper/200068/en

IEEE: Copy

K. SHAHBAZI, EBRAHIM REZAEI, and ABOLFAZL ABBASI, “MONETARY AND FISCAL POLICIES AND STOCK MARKET EFFICIENCY: EVIDENCES FROM IRAN,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 6, no. 20, pp. 63–77, 2014, [Online]. Available: https://sid.ir/paper/200068/en

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