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:: Volume 30, Issue 104 (quarterly journal of economic research and policies 2023) ::
qjerp 2023, 30(104): 73-115 Back to browse issues page
The Effect of Economic Growth Volatility on Selected Industries in Tehran Stock Exchange
Sajjad Barkhordari * , Ghahraman Abdoli , Reza Amiri
Faculty of Economics , barkhordari@ut.ac.ir
Abstract:   (590 Views)
 
The main purpose of this study is to investigate the effects of economic growth rate shock on the selected industries value in the Tehran Stock Exchange; For this purpose, in the present study, the effects of economic growth rate shock were investigated by applying the time-varying parameter factor-augmented vector autoregressive model (TVP-FAVAR) and using quarterly data during the period (2011-2018).The results show that the response of different industries value to economic growth rate shock has been different; Also, this response has been different for each industry over time, which highlights the need for a TVP approach. Also, by entering the economic growth rate impulse (as much as one standard deviation), it was found that the stock market response to this impulse is associated with a time lag and the effects of this variable appear after several periods on the selected industries value. As the results of the research show, even in the years when we have had a negative economic growth rate, the response of some industries' value has been completely opposite to the variable direction of economic growth rate; One of the reasons for this subject is the low quality of economic growth rate in the country.
Keywords: TVP-FAVAR, Economic growth volatility, Firm’s value, Tehran stock exchange
Full-Text [PDF 1909 kb]   (144 Downloads)    
Type of Study: Applicable | Subject: Special
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Barkhordari S, Abdoli G, Amiri R. The Effect of Economic Growth Volatility on Selected Industries in Tehran Stock Exchange. qjerp 2023; 30 (104) :73-115
URL: http://qjerp.ir/article-1-3208-en.html


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Volume 30, Issue 104 (quarterly journal of economic research and policies 2023) Back to browse issues page
فصلنامه پژوهشها و سیاستهای اقتصادی Journal of Economic Research and Policies
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