Dynamics of the shock of markets in parallel with the Stock Market on Stock Return (An approach of the models of time parameter change)

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

KHANMOHAMMADI MOHAMMAD HAMED; ASADI ASGHAR; mohseni dehkalani narges

Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE Year:2018 | Volume:8 | Issue:3 (23) Page(s): 61-85

Download Full-Text

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Persian Verion

View:

351

Download:

Cites:

Information Journal Paper

Title

Dynamics of the shock of markets in parallel with the Stock Market on Stock Return (An approach of the models of time parameter change)

Author(s)

KHANMOHAMMADI MOHAMMAD HAMED | ASADI ASGHAR | mohseni dehkalani narges | Issue Writer Certificate

Keywords

mass-amount of moneyQ2

oil priceQ1

exchange rateQ1

parallel marketQ1

parameter of time variableQ1

Abstract

The aim of this study is to investigate the effect of the market’ s shock in parallel with the stock market on the return of this market. In the present research, the liquidity variable has been divided into two parts of money and pseudo money and the variable of state’ s expenditure had been divided into the civil/developmental and current expenditures in order to explain the reality better. In this research, the seasonal data of 1-1992 and 4-2016 have been used by modified vector autoregressive dynamic models for time parameter change in MATLAB software. The results of the research show that shock of variables like exchange rate, oil price, state’ s expenditures and pseudo money have positive and significant effect on return of the stocks, but gold price and investment of private section in housing have negative effect on return of current expenditures and amount of money has negative influence over stocks. It is noteworthy that the current expenditures of the government/state from time aspect has the maximum time to discharge all its effects on stocks return. In other words, increasing the state’ s content and development ofgovernmental section in economy has led to deterioration of business in private section and as following, reduction of profitability level and returns of bourse companies. Moreover, the research results indicate that pseudo money has positive effect and money itself has negative effect on stocks return. Since the part of pseudo money is in long-term accounts and supports the production unit, it is able to make profitability for companies but the amount/mass of money which is commonly for needs of dealings and generally is consumed for promissory notes and trade in markets parallel with stock market have had negative effect on return of this market.

Cites

No record.

References

No record.

Cite

APA: Copy

KHANMOHAMMADI, MOHAMMAD HAMED, ASADI, ASGHAR, & mohseni dehkalani, narges. (2018). Dynamics of the shock of markets in parallel with the Stock Market on Stock Return (An approach of the models of time parameter change). JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE, 8(3 (23) ), 61-85. SID. https://sid.ir/paper/404836/en

Vancouver: Copy

KHANMOHAMMADI MOHAMMAD HAMED, ASADI ASGHAR, mohseni dehkalani narges. Dynamics of the shock of markets in parallel with the Stock Market on Stock Return (An approach of the models of time parameter change). JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE[Internet]. 2018;8(3 (23) ):61-85. Available from: https://sid.ir/paper/404836/en

IEEE: Copy

MOHAMMAD HAMED KHANMOHAMMADI, ASGHAR ASADI, and narges mohseni dehkalani, “Dynamics of the shock of markets in parallel with the Stock Market on Stock Return (An approach of the models of time parameter change),” JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE, vol. 8, no. 3 (23) , pp. 61–85, 2018, [Online]. Available: https://sid.ir/paper/404836/en

Related Journal Papers