Predictability of TEPIX Changes Based on the Foreign Stock Markets Behavior

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JAFARI SERESHT DAVOOD; Bahiraie Atyeh

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Journal Paper

Paper Information

Journal: JOURNAL OF SECURITIES EXCHANGE Year:2019 | Volume:12 | Issue:45 Page(s): 95-117

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Title

Predictability of TEPIX Changes Based on the Foreign Stock Markets Behavior

Author(s)

JAFARI SERESHT DAVOOD | Bahiraie Atyeh | Issue Writer Certificate

Keywords

Index PredictabilityQ1

Tehran Stock ExchangeQ2

Stock Market BehaviorQ1

Foreign Capital MarketsQ1

Abstract

In recent years, the attention of researchers is focused on the issue of international communications between economics and financial markets in different countries, and the impact of changes in the global financial markets on the domestic capital markets volatility in each country. The study of the effect of Malaysia and Turkey Stock Exchanges volatilities on Tehran Stock Exchange were examined, using the Ordinary Least Squares (OLS) method and Autoregressive Distributed Lag (ARDL) approach. The annual data for doing this study were collected from internal and external data bases and tested by Eviews and Microfit soft wares in the period between 1997-2016. The experimental results of this study show that the effect of Malaysia stock exchanges and Turkey stock exchanges volatilities on the Tehran Stock Exchange in the short term and long term is approved. However, the effect of exchange rate and inflation rate variables on the Tehran Stock Exchange were examined and showed a meaningful relationship in this field.

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APA: Copy

JAFARI SERESHT, DAVOOD, & Bahiraie, Atyeh. (2019). Predictability of TEPIX Changes Based on the Foreign Stock Markets Behavior. JOURNAL OF SECURITIES EXCHANGE, 12(45 ), 95-117. SID. https://sid.ir/paper/389150/en

Vancouver: Copy

JAFARI SERESHT DAVOOD, Bahiraie Atyeh. Predictability of TEPIX Changes Based on the Foreign Stock Markets Behavior. JOURNAL OF SECURITIES EXCHANGE[Internet]. 2019;12(45 ):95-117. Available from: https://sid.ir/paper/389150/en

IEEE: Copy

DAVOOD JAFARI SERESHT, and Atyeh Bahiraie, “Predictability of TEPIX Changes Based on the Foreign Stock Markets Behavior,” JOURNAL OF SECURITIES EXCHANGE, vol. 12, no. 45 , pp. 95–117, 2019, [Online]. Available: https://sid.ir/paper/389150/en

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