Modeling the effects of macroeconomic variables on the stock market: An Application of Non-linear Distributed Auto-regression Model
This study investigates the effects of macroeconomic variables on the stock market (stock price index).The effects of macroeconomic variables including global gold and oil price, exchange rate, interest rate, economic growth rate on the Iranian stock market has been investigated by using a non-linea...
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| Format: | Article |
| Language: | English |
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University of Sistan and Baluchestan
2024-12-01
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| Series: | International Journal of Business and Development Studies |
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| Online Access: | https://ijbds.usb.ac.ir/article_8726_7fb8d8c2f6da2812cb95c533930c4d47.pdf |
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| author | Parinaz Dadashzadehrishekani Hassan Heidari |
| author_facet | Parinaz Dadashzadehrishekani Hassan Heidari |
| author_sort | Parinaz Dadashzadehrishekani |
| collection | DOAJ |
| description | This study investigates the effects of macroeconomic variables on the stock market (stock price index).The effects of macroeconomic variables including global gold and oil price, exchange rate, interest rate, economic growth rate on the Iranian stock market has been investigated by using a non-linear distributed auto-regression model .The results indicated that the relationship between oil price and oil price index in the short term and long term is direct and inverse, respectively. The effect of the exchange rate on the stock price index is direct in the short and long term. In such a way that a long-term positive shock will lead to an increase of 0.87 percent and a negative shock of the exchange rate will lead to a decrease of 8.6 percent of the index. The effect of the positive interest rate shock in the short and long term on the stock price index is insignificant. Meanwhile, the negative shock of the mentioned variables will lead to a 0.12 percent decrease in the stock price index and in the short and long term on The positive shock of the gold price on the stock price index is insignificant.In terms of our results, economic growth has positive relationship with the stock price index. This result is in line with a one percent increase in economic growth, the stock price index will improve by 0.09 percent and with a one percent decrease in the economic growth rate, the stock price index will decrease by 0.1 percent. |
| format | Article |
| id | doaj-art-726ce94212814053a87b59af7439a16e |
| institution | Kabale University |
| issn | 2538-3302 2538-3310 |
| language | English |
| publishDate | 2024-12-01 |
| publisher | University of Sistan and Baluchestan |
| record_format | Article |
| series | International Journal of Business and Development Studies |
| spelling | doaj-art-726ce94212814053a87b59af7439a16e2025-01-15T06:03:05ZengUniversity of Sistan and BaluchestanInternational Journal of Business and Development Studies2538-33022538-33102024-12-0116212114310.22111/ijbds.2024.50548.21838726Modeling the effects of macroeconomic variables on the stock market: An Application of Non-linear Distributed Auto-regression ModelParinaz Dadashzadehrishekani0Hassan Heidari1Ph.D. Student of Economics, Department of Economic, Central Branch, Islamic Azad University, Tehran, IranProfessor of Economics, Urmia University, Urmia, IRAN.This study investigates the effects of macroeconomic variables on the stock market (stock price index).The effects of macroeconomic variables including global gold and oil price, exchange rate, interest rate, economic growth rate on the Iranian stock market has been investigated by using a non-linear distributed auto-regression model .The results indicated that the relationship between oil price and oil price index in the short term and long term is direct and inverse, respectively. The effect of the exchange rate on the stock price index is direct in the short and long term. In such a way that a long-term positive shock will lead to an increase of 0.87 percent and a negative shock of the exchange rate will lead to a decrease of 8.6 percent of the index. The effect of the positive interest rate shock in the short and long term on the stock price index is insignificant. Meanwhile, the negative shock of the mentioned variables will lead to a 0.12 percent decrease in the stock price index and in the short and long term on The positive shock of the gold price on the stock price index is insignificant.In terms of our results, economic growth has positive relationship with the stock price index. This result is in line with a one percent increase in economic growth, the stock price index will improve by 0.09 percent and with a one percent decrease in the economic growth rate, the stock price index will decrease by 0.1 percent.https://ijbds.usb.ac.ir/article_8726_7fb8d8c2f6da2812cb95c533930c4d47.pdfmacroeconomic variablesstock marketnardl model |
| spellingShingle | Parinaz Dadashzadehrishekani Hassan Heidari Modeling the effects of macroeconomic variables on the stock market: An Application of Non-linear Distributed Auto-regression Model International Journal of Business and Development Studies macroeconomic variables stock market nardl model |
| title | Modeling the effects of macroeconomic variables on the stock market: An Application of Non-linear Distributed Auto-regression Model |
| title_full | Modeling the effects of macroeconomic variables on the stock market: An Application of Non-linear Distributed Auto-regression Model |
| title_fullStr | Modeling the effects of macroeconomic variables on the stock market: An Application of Non-linear Distributed Auto-regression Model |
| title_full_unstemmed | Modeling the effects of macroeconomic variables on the stock market: An Application of Non-linear Distributed Auto-regression Model |
| title_short | Modeling the effects of macroeconomic variables on the stock market: An Application of Non-linear Distributed Auto-regression Model |
| title_sort | modeling the effects of macroeconomic variables on the stock market an application of non linear distributed auto regression model |
| topic | macroeconomic variables stock market nardl model |
| url | https://ijbds.usb.ac.ir/article_8726_7fb8d8c2f6da2812cb95c533930c4d47.pdf |
| work_keys_str_mv | AT parinazdadashzadehrishekani modelingtheeffectsofmacroeconomicvariablesonthestockmarketanapplicationofnonlineardistributedautoregressionmodel AT hassanheidari modelingtheeffectsofmacroeconomicvariablesonthestockmarketanapplicationofnonlineardistributedautoregressionmodel |