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The Effect of Inflation Rate on Real Stock Return in Iran Economy
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Ramin Pashaeefam *   , Reza Omidipour |
| , R.pashaeefam@cbi.ir |
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Abstract: (20139 Views) |
| In this research, 5 variables were selected oil price volatility,
exchange rate, inflation rate and oil price as independent variables and
real stock return as dependent variable. Used data is quarterly that
covered the period 1990:Q1 to 2006:Q4 in Iran.
Result of the unit root test showed that first of difference in all
variables is stationary, [I(1)]. After that, for measuring oil price
volatility, Autoregressive Conditional Heteroskedasticity method was
used. After estimating ARIMA model, finally, GARCH (1, 1) was
given. In the next part, Vector Auto Regressive model was estimated
and optimum lag was determined. In following, Johansen Cointegration
test was used for determining number of long run relationship between
variables. In this test, Trace and Maximum Eigenvalue was confirmed
a long run relationship between model variables. When the result was
accepted, Vector Error Correction model was estimated.
Overall, result of this model (VECM) showed that oil price volatility
and real stock return had directly relationship in short run. There was
the same result oil price variable had positive long run effect on real
stock return.
According to result of this research, we found that exchange rate and
inflation rate had negative long run relationship with real stock return. |
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| Keywords: Inflation Rate, Oil Price Volatility, Real Stock Return, GARCH, VECM |
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Full-Text [PDF 370 kb]
(17402 Downloads)
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Type of Study: Research |
Subject:
General
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