THE EFFECT OF INFLATION UNCERTAINTY ON THE STOCK MARKET INDEX IN TEHRAN

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DAMANKESHIDEH MARJAN; NAZMI PILEROD ZAHRA

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

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Journal: Financial Economics Year:2013 | Volume:7 | Issue:23 Page(s): 111-136

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Title

THE EFFECT OF INFLATION UNCERTAINTY ON THE STOCK MARKET INDEX IN TEHRAN

Author(s)

DAMANKESHIDEH MARJAN | NAZMI PILEROD ZAHRA | Issue Writer Certificate

Keywords

INFLATION UNCERTAINTYQ2

STOCK EXCHANGE INDEXESQ2

GENERALIZED SELF REGRESSIVE CONDITIONAL NON-HOMOLOGOUS VARIANCEQ2

Abstract

Many economists belive that the main channel that inflation makes its harmful impacts on economy is the INFLATION UNCERTAINTY. INFLATION UNCERTAINTY by its ex-ante and ex-post effects influences the economic agent’s real activities and hence causes serious costs on economy.The purpose of this study is to check a hypothesis in which uncertainty inflation has negative effects on Tehran stock exchange indices. The analysis is based on GENERALIZED SELF REGRESSIVE CONDITIONAL NON-HOMOLOGOUS VARIANCE models (ARCH & GAECH) in which the errors of conditional variance varies with time. In this article by using ARCH and GARCH models, we will calculate how the amount of INFLATION UNCERTAINTY effects on monthly Tehran stock exchange index during 1378 till 1390. The results show that the inflation rate and the product and service price index have a direct meaningful effect on Tehran stock exchange index, while INFLATION UNCERTAINTY has a diverse meaningful effect.

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APA: Copy

DAMANKESHIDEH, MARJAN, & NAZMI PILEROD, ZAHRA. (2013). THE EFFECT OF INFLATION UNCERTAINTY ON THE STOCK MARKET INDEX IN TEHRAN. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 7(23), 111-136. SID. https://sid.ir/paper/229274/en

Vancouver: Copy

DAMANKESHIDEH MARJAN, NAZMI PILEROD ZAHRA. THE EFFECT OF INFLATION UNCERTAINTY ON THE STOCK MARKET INDEX IN TEHRAN. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2013;7(23):111-136. Available from: https://sid.ir/paper/229274/en

IEEE: Copy

MARJAN DAMANKESHIDEH, and ZAHRA NAZMI PILEROD, “THE EFFECT OF INFLATION UNCERTAINTY ON THE STOCK MARKET INDEX IN TEHRAN,” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 7, no. 23, pp. 111–136, 2013, [Online]. Available: https://sid.ir/paper/229274/en

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