Mahdieh Rezagholizadeh; Bahram Mohseni Maleki; Hamid Khazaey kuhpar
Abstract
Oil prices and their uncertainties significantly impact the economies and financial markets of nations, influencing the cash reserves held by companies. Given the pivotal role of the chemical products industry has an important role in economic development and is also affected by other markets such ...
Read More
Oil prices and their uncertainties significantly impact the economies and financial markets of nations, influencing the cash reserves held by companies. Given the pivotal role of the chemical products industry has an important role in economic development and is also affected by other markets such as the oil market, this study aims to to investigate the effect of Brent oil price uncertainty on the cash holding of the chemical products group in the Tehran Stock Exchange during the period of 2010-2019. The research modeling is based on dynamic panel models and oil price uncertainty is computed through the GARCH method, while the relationships between variables are estimated using the Generalized method of moments (GMM) technique in two steps. The results of the study indicate that there is a positive and significant relationship between oil price uncertainty and cash holdings during the period under review. In addition, the effect of control variables such as financial leverage, cash flow, size, capital expenditures, liquidity, stock return, and return of assets is positive, and the effect of total debt, value added of industry, and interest rates on the cash is negative.
Khalil Jahangiri; Samad Hekmati Farid
Volume 15, Issue 56 , April 2015, , Pages 161-194
Abstract
The aim of this paper is to investigate the relationship between Stock, gold coin and currency markets (as domestic markets), as well as, oil and gold markets and the U.S.A and European stock markets (as international markets) over the period of April 2001 to September 2013 using the Markov ...
Read More
The aim of this paper is to investigate the relationship between Stock, gold coin and currency markets (as domestic markets), as well as, oil and gold markets and the U.S.A and European stock markets (as international markets) over the period of April 2001 to September 2013 using the Markov Regime Switching model and volatility spillover analysis. The empirical results in domestic markets showed that in low return regime, there is no significant spillover between markets so; the estimated value of spillover index is about 7.8 percent. In contrast, the value of spillover index in high return states is about 42 percent. Also, the results showed that when the world equity markets are in regime zero (low return regime), the gold market acts as an intermediary for the transmission of shocks from global markets to asset markets in Iran. In contrast, when the world equity markets are in regime one (high return regime), the oil market acts as a transmission channel of shocks.
Mahdiye Akbary Roshan; Abbas i Shaker
Volume 14, Issue 53 , July 2014, , Pages 109-142
Abstract
This study explores the effects of liquidity, government expenditure and market structure on the financial development of stock market. Analysis on seasonal data (2001/2-2011/4) is performed by using Vector Autoregressive model. Results of Granger Causality test show a strong causal relationship from ...
Read More
This study explores the effects of liquidity, government expenditure and market structure on the financial development of stock market. Analysis on seasonal data (2001/2-2011/4) is performed by using Vector Autoregressive model. Results of Granger Causality test show a strong causal relationship from government expenditures, liquidity and market structure on financial development of stock market. Also, the analysis of Impulse-Response function indicates a statistically positive and significant effect of market structure shock on financial development index for 5 terms. However, government expenditures and liquidity growth shock don’t have any statistically significant effect on it. Also, results of variance decomposition show that market structure shocks explain 48 percent of variance in financial development index, and 34 percent of variance of itself, in the long-run. However, liquidity and government expenditures growth don’t show any statistically significant effect.
Firouz Fallahi; Jafar Hghighat; Naser Sanoubar; Khalil Jahangiri
Volume 14, Issue 52 , April 2014, , Pages 147-123
Abstract
Abstract The aim of this paper is to investigate the behavior of stock, exchange and gold coin markets and their correlations structure by using the DCC-GARCH model and the daily data for the period from 23 July 2011 to 22 September 2013 in Iran. Results show that there is a high correlation between ...
Read More
Abstract The aim of this paper is to investigate the behavior of stock, exchange and gold coin markets and their correlations structure by using the DCC-GARCH model and the daily data for the period from 23 July 2011 to 22 September 2013 in Iran. Results show that there is a high correlation between returns of Exchange rate and gold coin. But the correlation between returns of stock market index and Exchange rate or gold coin is low. Policy implications on portfolio strategies under DCC model results are also discussed.
Mansour Zarra Nezhad; Sahar Motamedi
Volume 12, Issue 46 , October 2012, , Pages 101-116
Abstract
Considering the pivotal role of stock market in the process of economic development, this research focuses on the relationship between the variables of exchange rate, interest rate, oil price shock and overall price index of Tehran Stock Exchange. For this purpose, we have applied three different methods ...
Read More
Considering the pivotal role of stock market in the process of economic development, this research focuses on the relationship between the variables of exchange rate, interest rate, oil price shock and overall price index of Tehran Stock Exchange. For this purpose, we have applied three different methods of Toda and Yamamoto causality test (1995), Granger vector error correction causality test (1987) and Pesaran, Shin and Smith’s (2001) Auto Regressive Distributed Lag (ARDL). The empirical findings show that there is a long-run relation between the variables of the stock price index, exchange rate, inflation rate, interest rate and oil price shock. Based on Toda and Yamamoto causality test, there is a one-way causality from variables of exchange rate, inflation rate and interest rate to stock price index, and from stock price index, exchange rate and interest rate to inflation rate, as well as from interest rate to exchange rate. The results of Granger vector error correction test showed that there is a short run causality from exchange rate, inflation rate and interest rate to stock price index and a long run causality from exchange rate, inflation rate, interest rate and oil price shock to stock price index.
