Comparing the Impact of Global Metals Price Index on Stock Returns of Base Metals and Extraction of Metal Minerals Group: Fixed Transition Probabilities Approach of Markov Switching Method
Message:
Abstract:

The purpose of this study is to compare the impact of Global Metals Price Index on the stock returns of Base Metals group and Extraction of Metal Minerals group in the Tehran Stock Exchange. In this respect, the monthly data of stock market during the period of 2009M01–2019M05 has been used by applying Markov switching model with Fixed Transition Probabilities (MS-FTP). Based on Akaike information criterion, MSIAH (2)-AR (1) and MSIH (2)-AR (1) were proposed as optimal models in metal and Extraction of Metal Minerals groups, respectively. In estimated models, the first and second regimes determine the high and low stock return. In addition, results show that in the high and low stock return regime of metal group, one percent increase in global metals price will lead to 0.477 and 0.365 percent increase in stock return, respectively. Also, results in Extraction of Metal Minerals group indicates that in the high stock return regime, one percent increase in global metals price lead to 0.535 percent increase in stock returns but is not effective in low stock return. Therefore, the change of global metals price could be having the important role in signaling of changing stock returns especially in high stock return regime.

Article Type:
Research/Original Article
Language:
Persian
Published:
Journal of Econometric Modeling, Volume:4 Issue:4, 2019
Pages:
31 - 58
magiran.com/p2071468  
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!