The Effect of Uncertainty of Macroeconomic Indicators on Tehran Stock Exchange Return With an Approach of the TVP-SV Model

One of the most important duties of financial economy is modeling and forecasting the volatilities of price of risky assets. From analysts and policy makers’ view, price volatility is a key variable contributing to perception of market volatilities. Therefore, analysts need to have an appropriate of forecast of price volatility as a necessary input to perform duties such as risk management, portfolio allotment, assessment of at-risk value, pricing, authority of transaction and future contracts. Accordingly, in the present study, using TVP-SV and PLS models and comparison them with the method OLS in MATLAB and XLSTAT software in the period from ۲۰۰۳-۰۱ to ۲۰۱۶-۰۶ (monthly) the effect of actual variables (industrial production, investment of actual sector in housing, economic growth, share of government expenses to GDP and growth rate of nonoil export) and monetary variables (inflation, money arena, oil price, domestic price of gold) on return of the Tehran Stock Exchange is investigated. Based on the PLS model, it was concluded that variables of economic growth and oil price affected the efficiency of the Tehran Stock Exchange more than other variables. Then, variables of economic growth and oil price were entered to the TVP-SV model. According to results, the model TVP is more efficient than the OLS one. In addition, the TVP-SV model after pause of stock return, economic growth during the period had the highest efficiency on stock return.

Keywords:

Time-Varying , Stochastic Volatility , Stock Return , TVP-SV