The effect of the main variable of Money Market on stock price index in Iran

Document Type : Original Article

Authors

1 Ph.D. Candidate, Department of Economic, Faculty of Social Science, Razi University, Kermanshah, Iran.

2 Associate Prof., Department of Economic, Faculty of Social Science, Razi University, Kermanshah, Iran.

Abstract

The Stock Exchange is a private sector savings and liquidity fund to fund long-term investment projects. The indicators of this market are influenced by several factors, one of which are economic variables. Banks are also one of the most important investors in the financial market. In this study, the effect of exchange rate, bank interest rate, liquidity and inflation rate on stock price index using time series data of 1978-1988 and using equation system model of four equations of the stock price index, inflation rate, profit rate Deposits, and facility interest rates were estimated using the three-stage least squares method. The results showed that the effect of the exchange rate, deposit interest rate and positive liquidity volume and the effect of inflation rate on stock price index was negative. Other equations have been estimated because of the relationship between the bank interest rate and inflation rate, and the results show that both deposit interest rate and facility interest rate have a positive relationship with the inflation rate

Keywords

References

Ebrahimi, Mohsen and Shokri, Nooshin (2011). Investigating the Impact of Macroeconomic Variables on Stock Price with Emphasis on the Role of Monetary Policy, Journal of Economic Modeling, No. 1, Page23-45.
Abounouri, Esmaeil (2006). The Effect of Macroeconomic Indicators on Petrochemical Stock Price Index in Iran Using ARDL Model, Journal of Economic Research, No. 21, Page17-46.
Eslamlouyian, Karim and Zare, Hashem (2006). Investigating the Impact of Macroeconomic Variables and Alternative Assets on Stock Prices in Iran, A Self-Reliant Model with Distributed Lags, Iranian Journal of Economic Research, No. 29, Page17-45.
Piraii, Khosro (2009). The Impact of Macroeconomic Variables on the Iranian Stock Exchange, Journal of Economic Research, No. 21, Page21-38.
Jafara, Manouchehr, Dashgarzadeh & Aqabaee, (2012). Investigating the Rate of Interest Rate Reduction in Banking Facilities and Its Role in Inflation Index, Bahada Bonds Journal, No 2.
Sajjadi, Seyed Hossein and Farazmand, Hassan (2010). Investigating the Relationship between Macroeconomic Variables and Cash Returns Index in Tehran Stock Exchange, Journal of Economic Sciences, No. 39, Page123-150.
Souri, Ali (2013), Econometrics; Volume 2.
Abbassian, Ezatollah, Moradpour Oladi, Mehdi (2008). The Effect of Macroeconomic Variables on the Tehran Stock Exchange Total Index, Iranian Journal of Economic Research, No. 36, Page15-35.
Mousaei, Meysam, Nader Mehregan, (2010). Relationship between Stock Market and Macroeconomic Variables, Journal of Economic Research and Policies, Page 73-93.
Dornbusch, R., Fisher S. (1980) & Aggarwal (1981). Exchange Rates and the Current Account. American Economic Review, No. 70, PP. 960–97.
Subayyal, M. & A. Shah (2011). The Co Integration between Exchange Rates and Stock Prices in Highly Volatile Markets: Evidence from Pakistan, Middle Eastern Finance and Economics Issue, No. 15, PP.156-163.
Kurihara, Y. (2006). The Relationship between Exchange Rate and Stock Prices during the Quantitative Easing Policy in Japan, International Journal of Business, Vol. 11, No. 4, PP. 375-
Humpe, A. & P. Macmillan (2006). Can Macroeconomic Variables Explain Long Term Stock Market Movement? A Comparision of the US and Japan, Boom Empirical Appreciate Co Integration, Working Pape
Raymond, K. (2009). Is There a Lang Run Relation Ship between Stock Prices and Monetary Variables?, Evidence from Jamica
Ioanidis, CH., A. Kontonikas (2007). The Impact of Monetary Policy on Stock Prices. Journal of Policy Modeling, No. 28, PP. 6-15.
Poitras, M. (2004). The Impact of Macroeconomic Announcements on Stock Price: In Search of State Dependence. Southern Economic Journal, Vol. 70, No. 3, PP. 549-565.
Iranian Journal of Finance
Volume 3, Issue 2
2019
Pages 88-104

Files

History

  • Receive Date: 12 November 2019
  • Accept Date: 27 March 2020

Share

How to cite

Statistics