Investigation of Uncertainty Effects on Selected Real and Monetary Variables on Capital Market Returns (Case Study of Tehran Stock Exchange)

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TARIGHI SAMANEH; TORABI TAQI; MEMARNEZHAD ABBAS; GHAFFARI FARHAD

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Journal: IRANIAN JOURNAL OF APPLIED ECONOMICS Year:2018 | Volume:8 | Issue:26 Page(s): 17-28

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Title

Investigation of Uncertainty Effects on Selected Real and Monetary Variables on Capital Market Returns (Case Study of Tehran Stock Exchange)

Author(s)

TARIGHI SAMANEH | TORABI TAQI | MEMARNEZHAD ABBAS | GHAFFARI FARHAD | Issue Writer Certificate

Keywords

UncertaintyQ2

Real SectorQ1

Monetary SectorQ1

PLSQ1

MSEGARCHQ1

JEL ClassificationQ1

Abstract

In the present study, using monthly data and Eviews 9, OXMETRIC and TCM software during the period of 2008-2013, the Uncertainty of the monetary and Real Sector on the returns of Tehran Stock Exchange were investigated. Accordingly, on behalf of the Monetary Sector 5 indicators (inflation, money supply, exchange rate, oil revenues and domestic gold prices), and on behalf of the Real Sector 5 indicators (industrial output, Real Sector investment in housing, economic growth, government volume to GDP, the growth rate of non-oil exports) entered the PLS model. Based on the results of the estimation in the PLS model, the economic growth variable, on behalf of Real Sector and the oil revenue variable from the Monetary Sector, had the highest impact on the stock market. According to the results of the research, it was found that monetary variables were faced with Uncertainty. Based on the results of the MSEGARCH model for monetary variables, it was concluded that Uncertainty in monetary variables, both in high and low fluctuations, had a significant negative effect on stock returns. In real variables, the MSVAR model was used to achieve the results. The results of this model reflect this fact that, economic growth in both flourishing of stock market and stock market recession regimes have a significant effect on the returns of the stock index.

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APA: Copy

TARIGHI, SAMANEH, TORABI, TAQI, MEMARNEZHAD, ABBAS, & GHAFFARI, FARHAD. (2018). Investigation of Uncertainty Effects on Selected Real and Monetary Variables on Capital Market Returns (Case Study of Tehran Stock Exchange). IRANIAN JOURNAL OF APPLIED ECONOMICS, 8(26 ), 17-28. SID. https://sid.ir/paper/202032/en

Vancouver: Copy

TARIGHI SAMANEH, TORABI TAQI, MEMARNEZHAD ABBAS, GHAFFARI FARHAD. Investigation of Uncertainty Effects on Selected Real and Monetary Variables on Capital Market Returns (Case Study of Tehran Stock Exchange). IRANIAN JOURNAL OF APPLIED ECONOMICS[Internet]. 2018;8(26 ):17-28. Available from: https://sid.ir/paper/202032/en

IEEE: Copy

SAMANEH TARIGHI, TAQI TORABI, ABBAS MEMARNEZHAD, and FARHAD GHAFFARI, “Investigation of Uncertainty Effects on Selected Real and Monetary Variables on Capital Market Returns (Case Study of Tehran Stock Exchange),” IRANIAN JOURNAL OF APPLIED ECONOMICS, vol. 8, no. 26 , pp. 17–28, 2018, [Online]. Available: https://sid.ir/paper/202032/en

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