COINTEGRATION ANALYSIS OF TEHRAN STOCK EXCHANGE AND ISLAMIC STOCK MARKET IN SELECTED COUNTRIES

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ESKANDARI ATA MOHAMMAD REZA; ROUSTA IMAN

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Journal: ISLAMIC FINANCE RESEARCHES Year:2016 | Volume:5 | Issue:1 (9) Page(s): 155-180

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Title

COINTEGRATION ANALYSIS OF TEHRAN STOCK EXCHANGE AND ISLAMIC STOCK MARKET IN SELECTED COUNTRIES

Author(s)

ESKANDARI ATA MOHAMMAD REZA | ROUSTA IMAN | Issue Writer Certificate

Keywords

TEHRAN STOCK EXCHANGEQ2

ISLAMIC STOCK INDEXQ2

COUNTRIES' STOCK INDEXQ2

COINTEGRATIONQ2

Abstract

The process of economic globalization and integration has had a tremendous growth in recent years and the convergence of various economic sectors, including the financial markets is increasingly in the spotlight. This increasing trend has strengthened investors' interests in the subject of convergence among the world's stock markets and investors experimentally show a passion for understanding the relationship between the various stock markets, in order to create a high-yield portfolio. Consequently, to determine the convergence of TEHRAN STOCK EXCHANGE as the core of the financial economy of an Islamic economy, with other countries' Islamic stock can be fruitful for investment decisions about selecting an optimal portfolio. Accordingly, this study by using the method of COINTEGRATION analysis, has dealt with the short and long term relation between TEHRAN STOCK EXCHANGE and Islamic stock exchange of the selected countries. The research has been done in the period of May 2002 to December 2014 using stock indices of different countries on a monthly basis. They indicate that firstly, there is a weak link between Tehran stock index and ISLAMIC STOCK INDEX of UK, USA, and Arabic and Islamic world index in the short term. Secondly, no convergence and connection is seen between these indicators in the long term. The results may indicate Iran's stock market's distance from the defined Islamic index.

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APA: Copy

ESKANDARI ATA, MOHAMMAD REZA, & ROUSTA, IMAN. (2016). COINTEGRATION ANALYSIS OF TEHRAN STOCK EXCHANGE AND ISLAMIC STOCK MARKET IN SELECTED COUNTRIES. ISLAMIC FINANCE RESEARCHES, 5(1 (9) ), 155-180. SID. https://sid.ir/paper/254970/en

Vancouver: Copy

ESKANDARI ATA MOHAMMAD REZA, ROUSTA IMAN. COINTEGRATION ANALYSIS OF TEHRAN STOCK EXCHANGE AND ISLAMIC STOCK MARKET IN SELECTED COUNTRIES. ISLAMIC FINANCE RESEARCHES[Internet]. 2016;5(1 (9) ):155-180. Available from: https://sid.ir/paper/254970/en

IEEE: Copy

MOHAMMAD REZA ESKANDARI ATA, and IMAN ROUSTA, “COINTEGRATION ANALYSIS OF TEHRAN STOCK EXCHANGE AND ISLAMIC STOCK MARKET IN SELECTED COUNTRIES,” ISLAMIC FINANCE RESEARCHES, vol. 5, no. 1 (9) , pp. 155–180, 2016, [Online]. Available: https://sid.ir/paper/254970/en

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