Investigation the Effect of Stock's Alternative Assets Fluctuations on the Stock Price Index

According to importance of the relationship between stock and its alternative assets in the framework of portfolio theory and also since recently these assets are faced with many fluctuations in Iran، investigation the relationship between fluctuations of alternative assets and stock price index in Tehran stock exchange is a very important subject in financial field. In this paper an attempt is made to study the long- run and short-run relationship between various alternative assets of stock (included cash، bank deposit، currency، gold and house) and the stock price index of Tehran stock exchange and also with stock price index of selected industries included Chemicals & By products industry and Motor Vehicles and Auto Parts industry over Farvardin 1388 through Esfand 1390. The analysis is based on a vector auto-regressive (VAR)، Impulse Response Function and Variance Decomposition. The results show that there is a significant long- run relationship between stock price index and all alternative assets in all 3 models. We find that the fluctuations in all variables (except gold coin) have a positive effect on the stock price index in the long- run، while the fluctuations in all variables (except liquidity) decrease stock price index in the short- term.