Dynamics of the shock of markets in parallel with the Stock Market on Stock Return (An approach of the models of time parameter change)

The aim of this study is to investigate the effect of the market’s shock in parallel with the stock market on the return of this market. In the present research, the liquidity variable has been divided into two parts of money and pseudo money and the variable of state’s expenditure had been divided into the civil/developmental and current expenditures in order to explain the reality better. In this research, the seasonal data of 1-1992 and 4-2016 have been used by modified vector autoregressive dynamic models for time parameter change in MATLAB software. The results of the research show that shock of variables like exchange rate, oil price, state’s expenditures and pseudo money have positive and significant effect on return of the stocks, but gold price and investment of private section in housing have negative effect on return of current expenditures and amount of money has negative influence over stocks. It is noteworthy that the current expenditures of the government/state from time aspect has the maximum time to discharge all its effects on stocks return. In other words, increasing the state’s content and development ofgovernmental section in economy has led to deterioration of business in private section and as following, reduction of profitability level and returns of bourse companies. Moreover, the research results indicate that pseudo money has positive effect and money itself has negative effect on stocks return. Since the part of pseudo money is in long-term accounts and supports the production unit, it is able to make profitability for companies but the amount/mass of money which is commonly for needs of dealings and generally is consumed for promissory notes and trade in markets parallel with stock market have had negative effect on return of this market.