نوع مقاله : علمی
نویسندگان
1 دانشجوی دکتری، گروه اقتصاد، واحد اصفهان (خوراسگان)، دانشگاه آزاد اسلامی، اصفهان، ایران. ایمیل: amir.kalantarhormozi@iau.ac.ir
2 دانشیار علوم اقتصادی، گروه اقتصاد، دانشگاه شهید چمران اهواز، اهواز، ایران. ایمیل: a.ahangari@scu.ac.ir
3 دانشیار علوم اقتصادی، گروه اقتصاد، دانشگاه شهید چمران اهواز، اهواز، ایران. ایمیل: sa.mansouri@scu.ac.ir
4 استادیار علوم اقتصادی، گروه اقتصاد، واحد اصفهان (خوراسگان)، دانشگاه آزاد اسلامی، اصفهان، ایران. ایمیل: hafezi@iau.ac.ir
چکیده
کلیدواژه‌ها
موضوعات
عنوان مقاله [English]
نویسندگان [English]
The capital market in any country is one of the most prominent economic sectors in that country. The capital market reflects the economic performance of the country in a way, and its success or weakness can be an indication of the economic situation of that country. The aim of this study is to investigate the dynamics between stock market and parallel market returns in Iran. The research period is monthly data from 2012-1 to 2023-12. In this study, GARCH family approaches were used to extract parallel market fluctuations. Based on the results, the asymmetric regime change GARCH approach in the T-Chuleh case was more efficient than other volatility extraction approaches. As a result, stock return fluctuations were extracted in two regimes of high and low volatility, and the effect of parallel market fluctuations on stock return fluctuations was examined using the TVPFAVAR approach. Based on the results, it is observed that the variables of the mandated interest rate, Islamic treasury bond rate (ITB); official exchange rate fluctuation; oil price; housing price; cryptocurrency exchange rate and gold price have the highest impact on stock return fluctuations, respectively. Based on the results, it is observed that except for oil price fluctuations; other fluctuations have a negative impact on stock returns. Based on the results, it is observed that the coefficients have changed significantly over time and generally the effects of volatility on stock returns in the long term have been stronger than in the short term (except for fluctuations in gold and cryptocurrencies).
کلیدواژه‌ها [English]
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