نوع مقاله : مقاله پژوهشی
نویسندگان
1 استاد اقتصاد دانشگاه ارومیه
2 کارشناس ارشد اقتصاد دانشگاه ارومیه
چکیده
کلیدواژهها
عنوان مقاله [English]
نویسندگان [English]
The sustainability of the stock market as a result of changes in economic variables is one of the most important issues for economists and investors and stock market activists. Hence, this study base on study of Fouejieu (2017), investigates the sustainability of stock market in the Tehran Stock Exchange (TSE) due to changes in the inflation rate and its uncertainty in different regimes of the TSE. To this, investigate the relationship between inflation rate and its uncertainty with stock market return uncertainty using the monthly data from 1998:4 to 2016:3, by applying the Markov Regime Switching Generalized Auto Regressive Conditional Heteroskedasticity approach. And then, we calculated the duration of sustainability in the TSE as a result of inflation changes. The results indicate that the inflation rate has a significant positive effect in the high return regime (bull regime) but, this effect is not statistically significant in the low return regime (bear regime). Moreover, inflation uncertainty has asymmetric effects in different stock market regimes. As well as, the findings indicate the probability of sustainability regime 1 (high return regime) is 29 percent and the probability of sustainability regime 2 (low return regime) is equal to 75 percent. Therefore, the forecasting results indicate that the sustainability of the low return regime will be higher than the high return regime and TSE will be come back faster to the normal situation when it comes out of a low return period (bear regime) and entering to the high return period (bull regime).
کلیدواژهها [English]
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