DYNAMICS OF THE RELATION BETWEEN MACROECONOMIC VARIABLES AND STOCK MARKET INDEX

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ABBASINEJAD HOSSEIN; MOHAMMADI SHAPOUR; EBRAHIMI SAJAD

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Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2017 | Volume:5 | Issue:1 (16) Page(s): 61-82

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Title

DYNAMICS OF THE RELATION BETWEEN MACROECONOMIC VARIABLES AND STOCK MARKET INDEX

Author(s)

ABBASINEJAD HOSSEIN | MOHAMMADI SHAPOUR | EBRAHIMI SAJAD | Issue Writer Certificate

Keywords

VOLATILITYQ1

MACROECONOMIC VARIABLESQ2

STOCK MARKET INDEXQ1

EXCHANGE RATEQ2

INFLATIONQ1

OIL PRICEQ1

Abstract

The relation between MACROECONOMIC VARIABLES and STOCK MARKET INDEX has been vastly investigated in previous studies. To contribute to the literature, this study employs the VARX-DCC-GARCH econometric model. The advantages of using this new model are the consideration of variable change effectiveness in different moment levels (mean and variance of changes), inclusion of OIL PRICE as an exogenous variable that has short-run and long-run effects in this model, and the consideration of time series correlation between VOLATILITY of the variables. This model is estimated for the period of 1381 to 1391 by using Iran economic and the Tehran Stock Exchange monthly data. Results show that EXCHANGE RATE, INFLATION and OIL PRICE have a positive effect on stock index in the long run, and the EXCHANGE RATE has the strongest effect. Also in the short run horizon, OIL PRICE shocks have stronger effect on the stock index. Estimated time-varying correlations between variables VOLATILITY show that EXCHANGE RATE VOLATILITY has a positive effect on stock market VOLATILITY. This correlation is reinforced during 1387 to 1391. In addition, INFLATION VOLATILITY has weak positive correlation with stock index VOLATILITY, while OIL PRICE VOLATILITY does not show any significant effect on stock index volatiliry.

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APA: Copy

ABBASINEJAD, HOSSEIN, MOHAMMADI, SHAPOUR, & EBRAHIMI, SAJAD. (2017). DYNAMICS OF THE RELATION BETWEEN MACROECONOMIC VARIABLES AND STOCK MARKET INDEX. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 5(1 (16) ), 61-82. SID. https://sid.ir/paper/245681/en

Vancouver: Copy

ABBASINEJAD HOSSEIN, MOHAMMADI SHAPOUR, EBRAHIMI SAJAD. DYNAMICS OF THE RELATION BETWEEN MACROECONOMIC VARIABLES AND STOCK MARKET INDEX. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2017;5(1 (16) ):61-82. Available from: https://sid.ir/paper/245681/en

IEEE: Copy

HOSSEIN ABBASINEJAD, SHAPOUR MOHAMMADI, and SAJAD EBRAHIMI, “DYNAMICS OF THE RELATION BETWEEN MACROECONOMIC VARIABLES AND STOCK MARKET INDEX,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 5, no. 1 (16) , pp. 61–82, 2017, [Online]. Available: https://sid.ir/paper/245681/en

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