The Impacts of Industrial Index, Financial Index and Macroeconomic Variables on Tehran Stock Exchange: Markov-Switching Approach

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FEGHEH MAJIDI ALI; Shahidi Fariba

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Journal: JOURNAL OF APPLIED THEORIES OF ECONOMICS Year:2018 | Volume:5 | Issue:2 Page(s): 1-26

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Title

The Impacts of Industrial Index, Financial Index and Macroeconomic Variables on Tehran Stock Exchange: Markov-Switching Approach

Author(s)

FEGHEH MAJIDI ALI | Shahidi Fariba | Issue Writer Certificate

Keywords

Industrial indexQ2

Financial indexQ2

Macroeconomic variablesQ1

Markov switching modelQ2

Stock price indexQ1

Abstract

The purpose of this study is the investigation of effective parameters on total Tehran stock exchange index such as Industrial index, Financial index, M2, Real interest rate and inflation rate, during 2009/8 until 2017/3 based on Central Bank database by using Markov switching approach. Considering the estimation and evaluation of different Markov switching models, Markov switching autoregressive parameters (MSA (3)) model is selected. The results show that real interest rate and inflation with two negative lag have a positive and significant effect on the total stock index. The Industrial index and Financial index in all three regimes have a positive and significant effect on the total index. The most effective factors are industry index in regime 2 and Financial index in regime 0, respectively. Also, industry index in all three regimes has a higher impact on the overall index than the Financial index. Moreover, the results of sustainability of regime show that sustainability in regime 1 is more than the other two regimes.

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APA: Copy

FEGHEH MAJIDI, ALI, & Shahidi, Fariba. (2018). The Impacts of Industrial Index, Financial Index and Macroeconomic Variables on Tehran Stock Exchange: Markov-Switching Approach. JOURNAL OF APPLIED THEORIES OF ECONOMICS, 5(2 ), 1-26. SID. https://sid.ir/paper/384507/en

Vancouver: Copy

FEGHEH MAJIDI ALI, Shahidi Fariba. The Impacts of Industrial Index, Financial Index and Macroeconomic Variables on Tehran Stock Exchange: Markov-Switching Approach. JOURNAL OF APPLIED THEORIES OF ECONOMICS[Internet]. 2018;5(2 ):1-26. Available from: https://sid.ir/paper/384507/en

IEEE: Copy

ALI FEGHEH MAJIDI, and Fariba Shahidi, “The Impacts of Industrial Index, Financial Index and Macroeconomic Variables on Tehran Stock Exchange: Markov-Switching Approach,” JOURNAL OF APPLIED THEORIES OF ECONOMICS, vol. 5, no. 2 , pp. 1–26, 2018, [Online]. Available: https://sid.ir/paper/384507/en

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