ASYMMETRIC EFFECTS OF MONETARY POLICY SHOCKS ON STOCK PRICE INDEX IN TEHRAN STOCK EXCHANGE

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MOUSAVI JAHROMI YEGANEH; ROSTAMI NASRIN

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2015 | Volume:8 | Issue:26 Page(s): 47-62

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Title

ASYMMETRIC EFFECTS OF MONETARY POLICY SHOCKS ON STOCK PRICE INDEX IN TEHRAN STOCK EXCHANGE

Author(s)

MOUSAVI JAHROMI YEGANEH | ROSTAMI NASRIN | Issue Writer Certificate

Keywords

FORESEEN AND UNFORESEEN MONEY SHOCKQ3

POSITIVE AND NEGATIVE IMPULSE OF MONEYQ3

HODRIK-PRESCOTT FILTERQ3

Abstract

This paper examines the effects of monetary policy shocks on stock price index of Tehran Stock Exchange by using time series data of Iran over the period 1991-2010.In this regards, first we divided the money shocks into foreseen and unforeseen and the positive and negative monetary policy using HODRIK-PRESCOTT FILTER, then regressed them on the stocks exchange index.The results showed asymmetric effects of money shocks on stock price index, so that the foreseen and unforeseen impulse of money affect it differently; the fluctuation of the stock price index arising from unforeseen impulse was higher than foreseen impulse. Also, result showed that the negative impulse on money (money decreasing) was affected the stock price index more than positive impulse.

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APA: Copy

MOUSAVI JAHROMI, YEGANEH, & ROSTAMI, NASRIN. (2015). ASYMMETRIC EFFECTS OF MONETARY POLICY SHOCKS ON STOCK PRICE INDEX IN TEHRAN STOCK EXCHANGE. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 8(26), 47-62. SID. https://sid.ir/paper/200118/en

Vancouver: Copy

MOUSAVI JAHROMI YEGANEH, ROSTAMI NASRIN. ASYMMETRIC EFFECTS OF MONETARY POLICY SHOCKS ON STOCK PRICE INDEX IN TEHRAN STOCK EXCHANGE. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2015;8(26):47-62. Available from: https://sid.ir/paper/200118/en

IEEE: Copy

YEGANEH MOUSAVI JAHROMI, and NASRIN ROSTAMI, “ASYMMETRIC EFFECTS OF MONETARY POLICY SHOCKS ON STOCK PRICE INDEX IN TEHRAN STOCK EXCHANGE,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 8, no. 26, pp. 47–62, 2015, [Online]. Available: https://sid.ir/paper/200118/en

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