Analyzing the Effect of Monetary volatility on the Iranian Stock Market

Advances in Mathematical Finance and Applications

مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 10 تیر 1402

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2023.1966543.1793

نویسندگان

Nafiseh Vatanchi؛ Mir Faiz Falah Shams Lialestani^* ؛ Gholamreza Zomorodian

Department Of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran

چکیده

Nowadays, financial markets and especially the stock market are important and undeniable sources of financing for investment toward the economic growth and development of countries. These markets also have a tangible role as a basis for implementing monetary policy. This study aims to investigate the effect of
monetary volatility on the seasonal performance of the Iranian stock market from April 2001 to March 2021.
The TEDPIX index of the Tehran Stock Exchange was used for designing and explaining the research model for measuring monetary policy uncertainty in terms of the debt of banks to the Central Bank and to measure the Iranian stock market’s performance. With portfolio theory as the theoretical basis for the study, the
housing price index and the exchange rate were added to the research model as other independent variables due to their importance to the portfolio of individuals. In this regard, monetary policy uncertainty was first calculated using the
exponential general autoregressive conditional heteroskedastic (EGARCH) meth-od. Then, the effect of uncertainty on the TEDPIX index was calculated
using the vector auto regression (VAR) statistical method in EVIEWS 12.
The findings indicate a significant negative correlation between monetary policy uncertainty and short and long-term TEDPIX index. Moreover, exchange rate and housing price index has a significant positive effect on the TEDPIX index.

کلیدواژه‌ها

Monetary Policy Uncertainty؛ Stock Market Price Index؛ VAR Model؛ Model