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Paper Information

Journal:   JOURNAL OF ASSET MANAGEMENT AND FINANCING   SPRING 2017 , Volume 5 , Number 1 (16) ; Page(s) 61 To 82.
 
Paper: 

DYNAMICS OF THE RELATION BETWEEN MACROECONOMIC VARIABLES AND STOCK MARKET INDEX

 
 
Author(s):  ABBASINEJAD HOSSEIN, MOHAMMADI SHAPOUR, EBRAHIMI SAJAD*
 
* FINANCIAL ECONOMICS DEPT., FACULTY OF ECONOMICS, UNIVERSITY OF TEHRAN AND RESEARCHER OF CENTRAL BANK'S MONETARY
 
Abstract: 

The relation between macroeconomic variables and stock market index has been vastly investigated in previous studies. To contribute to the literature, this study employs the VARX-DCC-GARCH econometric model. The advantages of using this new model are the consideration of variable change effectiveness in different moment levels (mean and variance of changes), inclusion of oil price as an exogenous variable that has short-run and long-run effects in this model, and the consideration of time series correlation between volatility of the variables. This model is estimated for the period of 1381 to 1391 by using Iran economic and the Tehran Stock Exchange monthly data. Results show that exchange rate, inflation and oil price have a positive effect on stock index in the long run, and the exchange rate has the strongest effect. Also in the short run horizon, oil price shocks have stronger effect on the stock index. Estimated time-varying correlations between variables volatility show that exchange rate volatility has a positive effect on stock market volatility. This correlation is reinforced during 1387 to 1391. In addition, inflation volatility has weak positive correlation with stock index volatility, while oil price volatility does not show any significant effect on stock index volatiliry.

 
Keyword(s): VOLATILITY, MACROECONOMIC VARIABLES, STOCK MARKET INDEX, EXCHANGE RATE, INFLATION, OIL PRICE
 
 
References: 
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Click to Cite.
APA: Copy

ABBASINEJAD, H., & MOHAMMADI, S., & EBRAHIMI, S. (2017). DYNAMICS OF THE RELATION BETWEEN MACROECONOMIC VARIABLES AND STOCK MARKET INDEX. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 5(1 (16) ), 61-82. https://www.sid.ir/en/journal/ViewPaper.aspx?id=570037



Vancouver: Copy

ABBASINEJAD HOSSEIN, MOHAMMADI SHAPOUR, EBRAHIMI SAJAD. DYNAMICS OF THE RELATION BETWEEN MACROECONOMIC VARIABLES AND STOCK MARKET INDEX. JOURNAL OF ASSET MANAGEMENT AND FINANCING. 2017 [cited 2021May11];5(1 (16) ):61-82. Available from: https://www.sid.ir/en/journal/ViewPaper.aspx?id=570037



IEEE: Copy

ABBASINEJAD, H., MOHAMMADI, S., EBRAHIMI, S., 2017. DYNAMICS OF THE RELATION BETWEEN MACROECONOMIC VARIABLES AND STOCK MARKET INDEX. JOURNAL OF ASSET MANAGEMENT AND FINANCING, [online] 5(1 (16) ), pp.61-82. Available: https://www.sid.ir/en/journal/ViewPaper.aspx?id=570037.



 
 
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