Uncertainty about economic policies and the stock market in Iran based on Markov switching model
Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:
One of the factors that investors consider in their decisions is the return on equity. Achieving this return is possible in a situation where economic stability exists. One of the aspects of economic stability is the stability of economic policies that plays an important role in the economy of the country. So, if there is uncertainty about economic policies, this uncertainty will unconscious of the economic activists towards future economic developments, and the subsequent owners of the capital will be able to make decisions for the future, including capital and the money market and the capital market will be in trouble. Considering the importance of the issue in this paper, using the Markov Switching Model and applying annual data, we investigate the effect of economic policy uncertainty on the return on Iranian stock market during the period of 1981-2016. In this research, the variables of economic growth rate, inflation rate, unemployment rate, interest rate and liquidity growth rate are used as independent variables. In order to measure economic policy uncertainty, exchange rate fluctuations and government budget deficits are also used. The findings of the paper show that dynamic communication of uncertainty in economic policies and stock market returns is always negative, as the increase in uncertainty in economic policies significantly reduces capital market returns. Also, the relation between stock market returns and the uncertainty of nonlinear economic policies and the uncertainty about the return on capital during a period of high-fluctuation diet is stronger and more stable.
Language:
Persian
Published:
Financial Knowledge of Securities Analysis, Volume:12 Issue: 44, 2019
Pages:
49 to 67
magiran.com/p2047857  
دانلود و مطالعه متن این مقاله با یکی از روشهای زیر امکان پذیر است:
اشتراک شخصی
با عضویت و پرداخت آنلاین حق اشتراک یک‌ساله به مبلغ 990,000ريال می‌توانید 70 عنوان مطلب دانلود کنید!
اشتراک سازمانی
به کتابخانه دانشگاه یا محل کار خود پیشنهاد کنید تا اشتراک سازمانی این پایگاه را برای دسترسی نامحدود همه کاربران به متن مطالب تهیه نمایند!
توجه!
  • حق عضویت دریافتی صرف حمایت از نشریات عضو و نگهداری، تکمیل و توسعه مگیران می‌شود.
  • پرداخت حق اشتراک و دانلود مقالات اجازه بازنشر آن در سایر رسانه‌های چاپی و دیجیتال را به کاربر نمی‌دهد.
دسترسی سراسری کاربران دانشگاه پیام نور!
اعضای هیئت علمی و دانشجویان دانشگاه پیام نور در سراسر کشور، در صورت ثبت نام با ایمیل دانشگاهی، تا پایان فروردین ماه 1403 به مقالات سایت دسترسی خواهند داشت!
In order to view content subscription is required

Personal subscription
Subscribe magiran.com for 50 € euros via PayPal and download 70 articles during a year.
Organization subscription
Please contact us to subscribe your university or library for unlimited access!