Heavenly Bodies and the Performance of the Tehran Stock Exchange
Message:
Abstract:
In the recent decades, several financial crises have arisen the world over and they have promoted the emergence of a new outlook holding that quantitative economic models based on fundamental factors tend to perform poorly in the prediction of fluctuations. Thus, the study of market behaviors has increasingly strengthen its position in the sphere of applied and research studies.
Galactic studies and investigating the impacts of supernatural and extraterrestrial factors on the behaviors of finical markets have traditionally been one the topics which have attracted much attention and argument.
Reviewing the research literature connected with these studies and using the TGARCH statistical model – which can be best used in heteroskedastic environments (like the returns of stocks and securities) – in this study we have investigated the impacts of the positions of heavenly bodies and their physical activities on the return of the Tehran Stock Exchange.
Daily data for a period of 23 years (1992-2015) were used in this study, and information about heavenly bodies was collected from the NASA Data website and the official website of the World Data Center for the production, preservation and dissemination of the international sunspot number.
The results obtained showed that the angle between the position of the Saturn and the Mars (as seen by an observer on the Earth) has a significant negative relationship with the return of the Tehran Stock Exchange.
Such a relationship, however with further impacts, also exits for the angle between the position of the Saturn and the Jupiter (as seen by an observer on the Earth). Also, findings showed that there is a significant positive relationship between the return of the Tehran Stock Exchange and the position of the Moon when it is at the full.
As to sun spots (solar activities), the results suggested that there is a significant and positive relationship between this factor and the return of the Tehran Stock Exchange. Meantime, the Granger causality test was performed and the results obtained indicated that all factors in the model discussed in this article are, in terms of econometrics, simultaneously the causes of changes in the dependent variables.
Article Type:
Research/Original Article
Language:
Persian
Published:
Journal of Investment Knowledge, Volume:8 Issue:29, 2019
Pages:
225 - 240
magiran.com/p1950916  
روش‌های دسترسی به متن این مطلب
اشتراک شخصی
در سایت عضو شوید و هزینه اشتراک یک‌ساله سایت به مبلغ 300,000ريال را پرداخت کنید. همزمان با برقراری دوره اشتراک بسته دانلود 100 مطلب نیز برای شما فعال خواهد شد!
اشتراک سازمانی
به کتابخانه دانشگاه یا محل کار خود پیشنهاد کنید تا اشتراک سازمانی این پایگاه را برای دسترسی همه کاربران به متن مطالب خریداری نمایند!