INVESTIGATION OF THE COMMON STOCHASTIC TRENDS BETWEEN STOCK PRICE INDEX OF TEHRAN STOCK EXCHANGE AND STOCK MARKETS OF MAIN TRADING PARTNER

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SHAHBAZI KIUMARS; FEIZI SOLEIMAN; FATTAHI SAYYED YOUSEF

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Journal: FINANCIAL RESEARCH Year:2017 | Volume:19 | Issue:2 Page(s): 281-298

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Title

INVESTIGATION OF THE COMMON STOCHASTIC TRENDS BETWEEN STOCK PRICE INDEX OF TEHRAN STOCK EXCHANGE AND STOCK MARKETS OF MAIN TRADING PARTNER

Author(s)

SHAHBAZI KIUMARS | FEIZI SOLEIMAN | FATTAHI SAYYED YOUSEF | Issue Writer Certificate

Keywords

COINTEGRATIONQ2

COMMON STOCHASTIC TRENDQ2

GONZALO AND GRANGER (1995)Q2

STOCK PRICE INDEXQ2

TRADING PARTNERQ1

Abstract

The main purpose of this article is about investigation of COINTEGRATION and transactional between index price of Iran stock market and stock market of the most main TRADING PARTNERs of country and also analysis of COMMON STOCHASTIC TRENDs available between them during 2007-2015. To achieve to this goal, Johansen-Juselius method (1992), Gonzalo and Granger method (1995) have been used.The results show that there is a COINTEGRATION vector relation and finally 3 COMMON STOCHASTIC TREND between investigation markets show the incomplete long-term integration between these groups of variables. On one hand, the results of COMMON STOCHASTIC TREND during the period under Tehran stock exchange review show that there is low participation in common stochastic, and on the other hand, it has showed high reactions toward of those trends. Finally, according to weak convergence between index price of selected markets can be achieved to its profits by international portfolio diversification.

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APA: Copy

SHAHBAZI, KIUMARS, FEIZI, SOLEIMAN, & FATTAHI, SAYYED YOUSEF. (2017). INVESTIGATION OF THE COMMON STOCHASTIC TRENDS BETWEEN STOCK PRICE INDEX OF TEHRAN STOCK EXCHANGE AND STOCK MARKETS OF MAIN TRADING PARTNER. FINANCIAL RESEARCH, 19(2 ), 281-298. SID. https://sid.ir/paper/91258/en

Vancouver: Copy

SHAHBAZI KIUMARS, FEIZI SOLEIMAN, FATTAHI SAYYED YOUSEF. INVESTIGATION OF THE COMMON STOCHASTIC TRENDS BETWEEN STOCK PRICE INDEX OF TEHRAN STOCK EXCHANGE AND STOCK MARKETS OF MAIN TRADING PARTNER. FINANCIAL RESEARCH[Internet]. 2017;19(2 ):281-298. Available from: https://sid.ir/paper/91258/en

IEEE: Copy

KIUMARS SHAHBAZI, SOLEIMAN FEIZI, and SAYYED YOUSEF FATTAHI, “INVESTIGATION OF THE COMMON STOCHASTIC TRENDS BETWEEN STOCK PRICE INDEX OF TEHRAN STOCK EXCHANGE AND STOCK MARKETS OF MAIN TRADING PARTNER,” FINANCIAL RESEARCH, vol. 19, no. 2 , pp. 281–298, 2017, [Online]. Available: https://sid.ir/paper/91258/en

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