Investigating the Nonlinear Effects of price and Volatility in Gold, Oil and Exchange Rate on the Stock Price Index in Iran (Using NARDL and MRS-GARCH methods)

Peyghan, Soraya; Pourshahabi, Farshid; Nazari, Azim

doi:10.52547/jep.2.2.257

	Investigating the Nonlinear Effects of price and Volatility in Gold, Oil and Exchange Rate on the Stock Price Index in Iran (Using NARDL and MRS-GARCH methods)
International Journal of New Political Economy
مقاله 13، دوره 2، شماره 2، 2021، صفحه 257-280 اصل مقاله (546.58 K)
شناسه دیجیتال (DOI): 10.52547/jep.2.2.257
نویسندگان
Soraya Peyghan¹؛ Farshid Pourshahabi²؛ Azim Nazari²
¹M.A in Economics at University of Bojnord,Bojnord, Iran
²Assistant Professor of economics at university of Bojnord,Bojnord, Iran
چکیده
The purpose of this study is to investigate nonlinear effects of prices and the volatility of gold, oil, and exchange rate variables on the stock price index in Iran during March 2008 to April 2019. In this regard, first the volatility of oil, gold, exchange rate and stock price index variables is calculated using the MRS-GARCH technique and then the relationship between these variables is investigated using a Nonlinear Autoregressive Distributed Lag model (NARDL). The results indicate that oil and gold price variables have positive and negative effects in the short and long run on the stock price index in Iran, but the volatility of these two variables does not have a significant effect on the stock price index. The results also show that exchange rate depreciation exerts a negative and significant effect on the stock price index in the short and long run, but the exchange rate increase in both periods does not have a significant effect on the stock market. Therefore, exchange rate has an asymmetric effect on the stock price index, while the results indicate the positive and significant effect of volatility of stock price index on the stock price index.
کلیدواژه‌ها
Stock Price Index؛ Gold؛ Oil؛ Exchange Rate؛ MRS-GARCH؛ NARDL

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Investigating the Nonlinear Effects of price and Volatility in Gold, Oil and Exchange Rate on the Stock Price Index in Iran (Using NARDL and MRS-GARCH methods)