A Pattern for Recognizing the Volatility of TSE(Tehran Stock Exchange Price Index)

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Abstract


Crude oil Prices, exchange rates and the price of gold are used as macroeconomic factors could affect stock exchange market if changes in these variables could cause fluctuation in stock exchange Price index and in turn increase the risk of activity in the markets. Considering the importance of these variables, the impact of global crude oil prices, exchange rates and the price of gold coins on the Tehran stock exchange price index return volatility is surveyed. Stationary adjusted dickey fuller test is first generalized. Descriptive statistics are presented, and then TEPIX index returns are modeled. Results indicate that there was heterogeneity in variance, so the use of the model the GARCH is possible. After modeling returns volatility in the market price and Diagnostic tests that showed the model fitness, it was clarified that the changes in the price of crude oil, significantly cause volatility returns in stock exchange market.But results showed that changes in the price of gold coin and exchange rate has no significant effect on the Tehran Stock Exchange. It makes sense that the stock of a single item in a country such as Iran with a heavy reliance on crude oil price, are being affected by the changes. This means that in addition to the probable effects of crude oil price, any changes in the price can also cause volatility and uncertainty in the Tehran Stock Exchange

Keywords


Crude oil prices; Exchange rates; Price of gold; Tehran stock exchange market; General Auto Regressive Conditional Heteroskedasticity (GARCH).

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