Data Mining Algorithm in Macro Variable Effects on Stock Markets in Iran

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

EBRAHIMI MEHRZAD

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

Download Full-Text

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

Persian Verion

View:

1,034

Download:

Cites:

Information Journal Paper

Title

Data Mining Algorithm in Macro Variable Effects on Stock Markets in Iran

Author(s)

EBRAHIMI MEHRZAD | Issue Writer Certificate

Keywords

Macroeconomic variablesQ2

Stock price indexQ2

Data miningQ2

Feature selectionQ1

Decision treesQ1

Abstract

Most stock market studies in Iranian economy have been done in econometrics format, which have been useful for policy makers; but Data mining algorithms provide double abilities to implement guidance policies. Regarding the importance of stock market in the country, Data mining algorithms have been employed to investigate the most important features on stock market rates. Monthly data (2005-2011) extracted and after preprocessing and data cleansing, ten attribute weighting algorithms (AWA) applied. The results showed three features (inflation rate, GDP and trade balance) were the most important ones selected by 80% of AWA. GDP gained the highest weight (more than 90%) and tree induction algorithms used the same feature (with 96. 5% precision) to differentiate between the stock rate classes. The results confirmed a positive relationship between GDP, real value of money, inflation rate, trade balance and real exchange rate with stock prices while government’ s real budget deficit, USA inflation rate and one-year interests rate revealed negative relations; compatible with the theoretical model. The results that reported for the first time can open up new vistas for investors and policy makers.

Cites

No record.

References

No record.

Cite

APA: Copy

EBRAHIMI, MEHRZAD. (2020). Data Mining Algorithm in Macro Variable Effects on Stock Markets in Iran. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 13(49 ), 283-309. SID. https://sid.ir/paper/229287/en

Vancouver: Copy

EBRAHIMI MEHRZAD. Data Mining Algorithm in Macro Variable Effects on Stock Markets in Iran. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2020;13(49 ):283-309. Available from: https://sid.ir/paper/229287/en

IEEE: Copy

MEHRZAD EBRAHIMI, “Data Mining Algorithm in Macro Variable Effects on Stock Markets in Iran,” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 13, no. 49 , pp. 283–309, 2020, [Online]. Available: https://sid.ir/paper/229287/en

Related Journal Papers