On Tehran stock market in cyclical condition

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DEHGHAN ABDOLMAJID; Kamyabi Monireh

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Journal: Financial Economics Year:2019 | Volume:13 | Issue:48 Page(s): 147-166

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Title

On Tehran stock market in cyclical condition

Author(s)

DEHGHAN ABDOLMAJID | Kamyabi Monireh | Issue Writer Certificate

Keywords

macroeconomic variablesQ2

stock price indexQ1

boom and downturn of the capital market and Markov-switching modelQ1

Abstract

The present study examined the effect of macroeconomic variables on stock firm’ s return in condition of boom and downturn of the capital market. Markov-switching model was used for this purpose. Statistical population of this research were consisted of all firms in the Tehran Stock Exchange during the years 1992 to 2017, so, all firms were considered as sample. Research hypothesis have been tested using the quarterly data between 1992 and 2017 and within software OxMetrics6. The findings show that there is a significant positive relationship between the consumer price index and stock price index, as well as, the impact of inflation during downturn is more than booms. In addition, there is a significant positive correlation between the exchange rate, oil prices and growth domestic product with stock price index during the downturn; but in terms of capital market boom, there was not observe a significant relationship between these variables. However, there is a significant positive relationship between long-term bank interest rates and stock price index during of the boom; but there is no significant relationship in downturn.

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APA: Copy

DEHGHAN, ABDOLMAJID, & Kamyabi, Monireh. (2019). On Tehran stock market in cyclical condition. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 13(48 ), 147-166. SID. https://sid.ir/paper/229220/en

Vancouver: Copy

DEHGHAN ABDOLMAJID, Kamyabi Monireh. On Tehran stock market in cyclical condition. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2019;13(48 ):147-166. Available from: https://sid.ir/paper/229220/en

IEEE: Copy

ABDOLMAJID DEHGHAN, and Monireh Kamyabi, “On Tehran stock market in cyclical condition,” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 13, no. 48 , pp. 147–166, 2019, [Online]. Available: https://sid.ir/paper/229220/en

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