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Information Journal Paper

Title

Relationship between Business Cycles and Stocks Cycles in Iran: Spillover Index Approach

Pages

  109-130

Abstract

 In this study, we investigate the relationship between stocks cycles and Business Cycles in Iran, using the Spillover Index approach of Diebold and Yilmaz (2012, 59). The dynamic interaction between financial cycles and Business Cycles is used by Rolling Window Estimation and spillover plots. We use data of GDP cycles as Business Cycle and also data of total stock price index, the stock price index in industry and the stock price index in finance based on quarterly data during 1998Q3-2018Q1. We have investigated the relationship between Business Cycle and stocks cycles along with exchange rate, oil incomes and liquidity. The results show that the total spillovers index increases in during periods of economic recessions. Also, the Business Cycle, oil cycle and exchange rate cycle are more impressionable market and the total stock, industry stock, finance cycle and liquidity cycle are more influential market than other markets.

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    APA: Copy

    Gholami Heidariani, Leila, RANJPOUR, REZA, & Fallahi, Firoz. (2021). Relationship between Business Cycles and Stocks Cycles in Iran: Spillover Index Approach. JOURNAL OF ECONOMIC GROWTH AND DEVELOPMENT RESEARCH, 11(42 ), 109-130. SID. https://sid.ir/paper/964920/en

    Vancouver: Copy

    Gholami Heidariani Leila, RANJPOUR REZA, Fallahi Firoz. Relationship between Business Cycles and Stocks Cycles in Iran: Spillover Index Approach. JOURNAL OF ECONOMIC GROWTH AND DEVELOPMENT RESEARCH[Internet]. 2021;11(42 ):109-130. Available from: https://sid.ir/paper/964920/en

    IEEE: Copy

    Leila Gholami Heidariani, REZA RANJPOUR, and Firoz Fallahi, “Relationship between Business Cycles and Stocks Cycles in Iran: Spillover Index Approach,” JOURNAL OF ECONOMIC GROWTH AND DEVELOPMENT RESEARCH, vol. 11, no. 42 , pp. 109–130, 2021, [Online]. Available: https://sid.ir/paper/964920/en

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