Investigation of the Effect of Behavioral and Macroeconomic Factors on the Volatility of Tehran Stocks Market: FIAPGARCH-X
Publish place: Iranian Journal of Finance، Vol: 6، Issue: 1
Publish Year: 1401
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_IJFIFSA-6-1_002
تاریخ نمایه سازی: 24 فروردین 1401
Abstract:
One of the characteristics of the financial market, especially the stock market, is the effects of behavioral factors and on other financial and non-financial markets. There are several factors that affect the return of a stock exchange. We can refer to political, socio-cultural, technological and finally economic factors. A stock market is an economic market in which securities are traded under specific rules and regulations. Accordingly, in this study, the effect of behavioral financial arguments and other financial markets on stock market returns based on quantitative analysis has been studied. This article tries to examine how exchange rates, gold, and oil as key factors of a model can explain fluctuations of the stock market index. so the effect of those variables on the stock market index in the period ۲۰۰۸ to the first six months of ۲۰۱۸ has been analyzed using the FIAPGARCH-X model. The results of the analysis show that the effect of exchange rates on the stock market fluctuations is greater than the other two factors. The results also indicate that there are asymmetric effects of increased returns on the stock market, which is consistent with behavioral bias in behavioral finance.
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Authors
Mahmoud Goudarzi
Ph.D. Candidate in Financial Management, Faculty of Management, Qazvin Branch, Islamic Azad university, Qazvin, Iran.
Amir Mohammadzadeh
Associate Prof., Department of Financial Management, Qazvin Branch, Islamic Azad University, Qazvin, Iran.
Mohsen Seighali
Associate Prof., Department of Financial Management, Qazvin Branch ,Islamic Azad University, Qazvin, Iran.
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