THE EFFECTS OF FOREIGNEXCHANGE, GOLD COIN AND HOUSING MARKETS ON TEHRAN STOCK MARKET: A VECTOR ERROR CORRECTION MODEL

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ZARE H.; REZAEI Z.

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Journal: RESEARCH BULLETIN OF ISFAHAN UNIVERSITY (HUMANITIES) Year:2006 | Volume:21 | Issue:2 Page(s): 99-112

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Title

THE EFFECTS OF FOREIGNEXCHANGE, GOLD COIN AND HOUSING MARKETS ON TEHRAN STOCK MARKET: A VECTOR ERROR CORRECTION MODEL

Author(s)

ZARE H. | REZAEI Z. | Issue Writer Certificate

Keywords

STOCK MARKETQ3

EXCHANGEQ3

GOLD COINQ4

HOUSE VECTOR ERRORQ3

CORRECTIONQ3

Abstract

The purpose of this study is to investigate the effects of EXCHANGE, GOLD COIN and housing markets on the stock price index in Iran over the period 1995:2-2004:1. A vector error CORRECTION model (VECM) approach to co integration analysis is used to study both the short-run and long-run movements of stock prices in Tehran market. The data used in this study include stock price index, EXCHANGE rate, GOLD COIN price and housing price index.The results show that the value of GOLD COIN price and the price of housing have significant positive effects on the stock price index in Iran. The results also indicate that the EXCHANGE rate has a significant negative effect.The result of error CORRECTION model indicates that 43 percent of the deviation of the stock prices from its equilibrium path is corrected in each period.

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APA: Copy

ZARE, H., & REZAEI, Z.. (2006). THE EFFECTS OF FOREIGNEXCHANGE, GOLD COIN AND HOUSING MARKETS ON TEHRAN STOCK MARKET: A VECTOR ERROR CORRECTION MODEL. RESEARCH BULLETIN OF ISFAHAN UNIVERSITY (HUMANITIES), 21(2), 99-112. SID. https://sid.ir/paper/24919/en

Vancouver: Copy

ZARE H., REZAEI Z.. THE EFFECTS OF FOREIGNEXCHANGE, GOLD COIN AND HOUSING MARKETS ON TEHRAN STOCK MARKET: A VECTOR ERROR CORRECTION MODEL. RESEARCH BULLETIN OF ISFAHAN UNIVERSITY (HUMANITIES)[Internet]. 2006;21(2):99-112. Available from: https://sid.ir/paper/24919/en

IEEE: Copy

H. ZARE, and Z. REZAEI, “THE EFFECTS OF FOREIGNEXCHANGE, GOLD COIN AND HOUSING MARKETS ON TEHRAN STOCK MARKET: A VECTOR ERROR CORRECTION MODEL,” RESEARCH BULLETIN OF ISFAHAN UNIVERSITY (HUMANITIES), vol. 21, no. 2, pp. 99–112, 2006, [Online]. Available: https://sid.ir/paper/24919/en

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