The Impact of Macroeconomic Variables on Tehran Stock Exchange Index Performance: An FMOLS Approach
Publish place: International Economics Studies، Vol: 51، Issue: 2
Publish Year: 1400
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_IESUI-51-2_005
تاریخ نمایه سازی: 23 مرداد 1403
Abstract:
According to the literature, macroeconomic variables have significant effects on financial markets. In addition to investors and traders in these markets, researchers have also paid special attention and sensitivity to these changes. The purpose of this study is to investigate the macro-structural determinants affecting the price index of the Tehran Stock Exchange in the period ۱۹۹۱-۲۰۱۹. To this purpose, the fully modified ordinary least squares estimator (FMOLS) and the Hudrick Prescott filter (HP) were used. Based on the estimation results of the econometric model, economic growth, government budget deficit, and exchange rate have had positive and significant effects on the total price index of the Tehran Stock Exchange, while negative effects on money supply (liquidity) and oil revenue uncertainty index (extracted by HP filter). Economic growth has had a significant effect on the total price index of the Tehran Stock Exchange resulting in negative returns. JEL Classification: G۱۲, C۵۰, C۲۲, E۴۴
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Authors
Mahya Karimzadeh khosroshahi
Department of Financial Management, Faculty of Financial Sciences, Kharazmi University, Tehran, Iran
Ehsan Taieby sani
Department of Financial Management, Faculty of Financial Sciences, Kharazmi University, Tehran, Iran
Arman Malek
Department of Financial Management, Faculty of Financial Sciences, Kharazmi University, Tehran, Iran
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