Explain the role of financial and economic variables on stock returns With Markov-switching Model

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Yazdani Varzi Atefeh; MEMARIAN ERFAN; Nabavi Chashmi Ali

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Journal Paper

Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2021 | Volume:14 | Issue:50 Page(s): 135-152

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Title

Explain the role of financial and economic variables on stock returns With Markov-switching Model

Author(s)

Yazdani Varzi Atefeh | MEMARIAN ERFAN | Nabavi Chashmi Ali | Issue Writer Certificate

Keywords

financial factors

economic factors

Markov-switching model

Abstract

In the research, Explain the role of financial and economic variables on stock returns With Markov-switching model. Based on information collected from the two codal. ir and TSE. ir websites, availability and momentum. contrarian strategies have been dealt with in the market. From among 318 companies from those listed in Tehran Stock Exchange for the period of 2011-2017 and based on restrictions, 108 companies have been selected as research samples. Then, using various statistical models, three statistical models of autoregressive time series (with no help from auxiliary variable), linear regression, and Markov-switching have been applied. Using the model’ s goodness of fit criterion, these three models have been compared and the best one has been selected. Based on selected model, stock trading strategy for the next 12 months has been predicted. To collect data and perform statistical analyses, Excel spread sheet, as well as SPSS and R software packages have been used. According to the findings, from among minor variables (base volume, institutional investment, and free float) and major variables (currency and inflation rates), only three variables from minor types (base volume, institutional investment, and free float) have been effective on stock trading strategy; and, these variables can be used as auxiliary variables to predict return on stock and to specify stock trading strategy in future, as a result.

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APA: Copy

Yazdani Varzi, Atefeh, MEMARIAN, ERFAN, & Nabavi Chashmi, Ali. (2021). Explain the role of financial and economic variables on stock returns With Markov-switching Model. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 14(50 ), 135-152. SID. https://sid.ir/paper/951417/en

Vancouver: Copy

Yazdani Varzi Atefeh, MEMARIAN ERFAN, Nabavi Chashmi Ali. Explain the role of financial and economic variables on stock returns With Markov-switching Model. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2021;14(50 ):135-152. Available from: https://sid.ir/paper/951417/en

IEEE: Copy

Atefeh Yazdani Varzi, ERFAN MEMARIAN, and Ali Nabavi Chashmi, “Explain the role of financial and economic variables on stock returns With Markov-switching Model,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 14, no. 50 , pp. 135–152, 2021, [Online]. Available: https://sid.ir/paper/951417/en

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