THE IMPACT OF MACRO VARIABLES AND ALTERNATIVE ASSETS ON STOCK PRICE MOVEMENT IN IRAN: AN ARDL MODEL

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ESLAMLOUEIAN R.; ZARE H.

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Journal: Iranian Journal of Economic Research Year:2007 | Volume:- | Issue:29 Page(s): 17-46

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Title

THE IMPACT OF MACRO VARIABLES AND ALTERNATIVE ASSETS ON STOCK PRICE MOVEMENT IN IRAN: AN ARDL MODEL

Author(s)

ESLAMLOUEIAN R. | ZARE H. | Issue Writer Certificate

Keywords

STOCK PRICEQ2

MACRO VARIABLESQ2

ALTERNATIVE ASSETSQ3

CAPMQ3

AUTOREGRESSIVE DISTRIBUTED LAG (ARDL) MODELQ3

COINTEGRATIONQ2

IRANQ2

Abstract

This paper uses a quarterly data to study the effect of the main economic variables on the STOCK PRICE index in IRAN over the period 1993:3-2003:2. An autoregressive distributed lag (ARDL) approach to COINTEGRATION analysis is used to study both short- and long-run movements of STOCK PRICEs in Tehran stock market. The explanatory variables include money supply, production level of large manufacturing companies, and the ratio of domestic to foreign price level, exchange rate, oil price, gold coin price, and housing price index. The results show that there is a long-run equilibrium relationship between the variables. According to our finding, the ratio of domestic to foreign price levels, the price of housing and the gold coin price index have positive impacts on the STOCK PRICEs. Exchange rate and money supply have significant negative effects on the STOCK PRICE index in IRAN. However, we found that the production level of large manufacturing companies has not affected the STOCK PRICE index. The result of our error correction model indicated that 54 percent of deviation of the STOCK PRICE from its equilibrium path is corrected each period.

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APA: Copy

ESLAMLOUEIAN, R., & ZARE, H.. (2007). THE IMPACT OF MACRO VARIABLES AND ALTERNATIVE ASSETS ON STOCK PRICE MOVEMENT IN IRAN: AN ARDL MODEL. IRANIAN ECONOMIC RESEARCH, -(29), 17-46. SID. https://sid.ir/paper/2454/en

Vancouver: Copy

ESLAMLOUEIAN R., ZARE H.. THE IMPACT OF MACRO VARIABLES AND ALTERNATIVE ASSETS ON STOCK PRICE MOVEMENT IN IRAN: AN ARDL MODEL. IRANIAN ECONOMIC RESEARCH[Internet]. 2007;-(29):17-46. Available from: https://sid.ir/paper/2454/en

IEEE: Copy

R. ESLAMLOUEIAN, and H. ZARE, “THE IMPACT OF MACRO VARIABLES AND ALTERNATIVE ASSETS ON STOCK PRICE MOVEMENT IN IRAN: AN ARDL MODEL,” IRANIAN ECONOMIC RESEARCH, vol. -, no. 29, pp. 17–46, 2007, [Online]. Available: https://sid.ir/paper/2454/en

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