Non-Linear Relationships Among Oil Price, Gold Price and Stock Market Returns in Iran: A Multivariate Regime-Switching Approach


Department of Economic, Kharazmi University, Tehran


In this paper, the effects of oil and gold prices on stock market index are investigated. We use a cointegrated vector autoregressive Markov-switching model to examine the nonlinear properties of these three variables during the period of January 2003 - December 2014. The Markov-switching vector-equilibrium-correction model with three regimes representing "deep recession", "mild recession" and "expansion" provides a good characterization of the sample data. The results of the model show that the impact of oil price on stock returns is positive and significant in the short run. However, it has negative effects on stock market in the long run. Moreover, we find out that the relationship between gold price and stock market returns varies during the period under investigation depending on the market conditions. More specifically, the positive gold price shock decreases the stock market returns in the short run (10 months), while it increases the stock market returns in the medium and long run.


Article Title [Persian]

رابطه غیرخطی بین قیمت نفت، قیمت طلا و بازدهی بازار سهام در ایران: یک رهیافت تبدیل – رژیم چند متغیره

Authors [Persian]

  • سیاب ممی پور
  • فرشته واعظی
اقتصاد انرژی و منابع، دانشکده اقتصاد، دانشگاه خوارزمی، تهران
Abstract [Persian]

بورس اوراق بهادار ایران یکی از اجزاء مهم بازار سرمایه ایران است که در سال­های اخیر بیشتر مورد توجه قرار گرفته است. عوامل بسیاری بر بورس اوراق بهادار ایران اثرگذارند. در این مقاله، اثر درآمدهای نفتی و قیمت طلا بر بازدهی بازار سهام ایران با استفاده از داده‌های ماهیانه طی دوره زمانی ژانویه 2003 تا دسامبر 2014 بررسی می­شود. برای این منظور، از روش هم انباشتگی غیر خطی MS-VECM استفاده شده است. نتایج این بررسی نشان می­دهد که روابط بین متغیرهای مورد بررسی در سه وضعیت مختلف قابل تجزیه و تحلیل است به طوری که این سه رژیم به ترتیب نشان‌دهنده دوره رکود شدید، رکود ملایم و دوره رونق است. نتایج حاصل از مدل نشان می­دهد که اثر درآمدهای نفتی بر بازدهی سهام در هر سه رژیم منفی و معنی‌دار است یعنی با افزایش درآمدهای نفتی، بازدهی بازار بورس کاهش می یابد. لیکن رابطه بین قیمت طلا و بازدهی بازار سهام در طی دوره زمانی و بر حسب شرایط بازار، متفاوت است بدین صورت که شوک مثبت وارده بر قیمت طلا در کوتاه مدت (حدود 10 ماه) منجر به کاهش بازدهی سهام شده و در میان مدت و بلندمدت باعث افزایش بازدهی سهام می­گردد. 

Keywords [Persian]

  • قیمت بازار سهام
  • درآمدهای نفتی
  • قیمت طلا
  • روش هم انباشتگی غیرخطی (MS-VECM)
  • ایران
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