THE ASYMMETRIC EFFECT OF INFLATION ON STOCK PRICE INDEX IN TEHRAN STOCK MARKET

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PEDRAM M.; SHIRINBAKHSH MASOULEH SH.; ROSTAEI A.

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

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2014 | Volume:7 | Issue:22 Page(s): 61-75

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Title

THE ASYMMETRIC EFFECT OF INFLATION ON STOCK PRICE INDEX IN TEHRAN STOCK MARKET

Author(s)

PEDRAM M. | SHIRINBAKHSH MASOULEH SH. | ROSTAEI A. | Issue Writer Certificate

Keywords

STOCK PRICEQ2

INFLATIONQ3

ASYMMETRIC EFFECTQ3

GARCH MODELQ3

VAR MODELQ3

Abstract

In this study, the ASYMMETRIC EFFECT of the INFLATION shocks on Tehran Exchange Price Index was investigated. First, the GARCH method was applied to measured INFLATION shocks, the impact of INFLATION shock on STOCK PRICE was estimated, by using impulse response function (IRF) and variance decomposition analysis (VDC) Techniques. for the purpose, quarterly data over the period of 1370-1390 has been used. the result of this study Suggest that the impact of INFLATION shocks on STOCK PRICE is asymmetric. The negative effects of positive INFLATION shocks on STOCK PRICE is greater than the positive effects of negative INFLATION shocks.

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APA: Copy

PEDRAM, M., SHIRINBAKHSH MASOULEH, SH., & ROSTAEI, A.. (2014). THE ASYMMETRIC EFFECT OF INFLATION ON STOCK PRICE INDEX IN TEHRAN STOCK MARKET. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 7(22), 61-75. SID. https://sid.ir/paper/200149/en

Vancouver: Copy

PEDRAM M., SHIRINBAKHSH MASOULEH SH., ROSTAEI A.. THE ASYMMETRIC EFFECT OF INFLATION ON STOCK PRICE INDEX IN TEHRAN STOCK MARKET. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2014;7(22):61-75. Available from: https://sid.ir/paper/200149/en

IEEE: Copy

M. PEDRAM, SH. SHIRINBAKHSH MASOULEH, and A. ROSTAEI, “THE ASYMMETRIC EFFECT OF INFLATION ON STOCK PRICE INDEX IN TEHRAN STOCK MARKET,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 7, no. 22, pp. 61–75, 2014, [Online]. Available: https://sid.ir/paper/200149/en

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