The effect of global real economic activity index on Iran's stock index

Document Type : Research Paper

Authors

1 Masoumeh Dadgar, PhD student of development Economics,Corresponding Author, Department of economics, Faculty of social science and economics, Alzahra university

2 Vida Varahrami, Associate Professor, Department of economics, Faculty of economics and politics science, Shahid Beheshti university

3 , Associate Professor, Department of economics, Faculty of social science and economics, Alzahra university

10.30465/jnet.2022.42941.1948

Abstract

In the face of frequent stock market turbulences that lead to losses for investors, it is necessary to determine the factors that are able to predict the stock index as accurately as possible. These factors depend on economic, political, social, cultural, etc. conditions in each country. Therefore, this study examines the relationship between Iran's stock index and global economic activity. Therefore, Kilian's economic index is used as an index to estimate global economic activity. After the definition and calculation method of this index, in the rest of this article, it examines the effect of shocks on real economic activity on Iran's stock index. Therefore, by applying the structural vector autoregression estimation method (SVAR) during the time period from 2001:01 to 2018:03 and using instantaneous response functions and analysis of variance, the effect of the variable of global economic activity on Iran's stock index has been investigated. Also, the variables of oil price, global oil production and exchange rate have been used as auxiliary and effective variables on the stock index. The results of the instantaneous reaction functions show that in the short term, the shocks of real global economic activity have had a positive effect on the stock index from the beginning of the period to the end of the period, and in other words, the stock index has shown a positive reaction to the shock of this variable.

Keywords

References

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History

  • Receive Date: 24 September 2022
  • Revise Date: 25 November 2022
  • Accept Date: 03 December 2022

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