How do systematic factors affect the cyclical behavior of the stock market in the Iranian economy?

Document Type : Research Paper

Authors

Department of Economics, Shiraz University, Shiraz, Iran.

Abstract

Certainly, the stock market in each country is known as a scale to measure that country’s economic situation. Therefore, identifying the factors affecting the creation of cyclical behaviors in this market can be useful for both policymakers and investors. The Main purpose of this study is to investigate the effects of systematic variables on cyclical behaviors of Tehran stock market. Statistically, systematic variables affect the stock values ​​of a large number of companies and the entire market consequently. In doing so, in the first stage, the ARDL model was applied to estimate the short and long run coefficients of systematic variables. The results showed that Liquidity volume has a positive and significant effect on the total stock market index without any lag in the short run. GDP has a negative effect on the total stock market index with a lag. This effect indicates that a large part of GDP is financed through the stock market. Also, the only systematic variable that has had a positive and significant effect on the stock market index in the long run is net capital stock. Subsequently, the Co-movement, variability and stability indices have been calculated by using the Markov switching approach with annual data of (1991-2023), the results showed that the demand for money at the level of (M2) was the main driver of Tehran stock market cycles with high stability which means how long the fluctuations tend to persist before reverting to the long-run trend. Under these circumstances, what the Central Bank decides about monetary variables based on the cyclical position of the Tehran Stock Exchange market value can affect the depth of the recession and the inflation rate. 

Keywords

Main Subjects

Article Title [Persian]

تأثیر عوامل سیستماتیک بر رفتار چرخه ای بورس در ایران چگونه است؟

Authors [Persian]

  • مصطفی عبداله زاده
  • ابراهیم هادیان
بخش اقتصاد، دانشگاه شیراز، شیراز، ایران.
Abstract [Persian]

مطمئناً بازار سهام در هر کشور به عنوان مقیاسی برای سنجش وضعیت اقتصادی آن کشور شناخته می‌شود. بنابراین شناسایی عوامل مؤثر بر ایجاد رفتارهای چرخه‌ای در این بازار می‌تواند هم برای سیاست‌گذاران و هم برای سرمایه‌گذاران مفید باشد. هدف اصلی این پژوهش بررسی تأثیر متغیرهای سیستماتیک بر رفتارهای چرخه‌ای بازار سهام است. از نظر آماری، متغیرهای سیستماتیک بر ارزش سهام تعداد زیادی از شرکت‌ها و در نتیجه بر کل بازار تأثیر می‌گذارند. بدین منظور در مرحله اول از مدل ARDL برای برآورد ضرایب کوتاه مدت و بلندمدت متغیرهای سیستماتیک استفاده شد. نتایج نشان داد که حجم نقدینگی در کوتاه‌ مدت و بدون وقفه، اثر مثبت و معناداری بر شاخص کل بازار سهام دارد. تولید ناخالص داخلی با یک وقفه بر شاخص کل بورس اثر منفی می‌گذارد. این اثر نشان می‌دهد که بخش بزرگی از تولید ناخالص داخلی از طریق بازار سهام تأمین می‌شود. همچنین تنها متغیر سیستماتیکی که در بلندمدت بر شاخص بازار سرمایه اثر مثبت و معناداری داشته است، خالص موجودی سرمایه است. در ادامه با استفاده از رویکرد مارکوف سوئیچینگ با داده‌های سالانه (1402-1370)، شاخص‌های هم‌حرکتی، تغییرپذیری و پایداری محاسبه شده است و نتایج نشان می‌دهد که تقاضا برای پول در سطح (M2) محرک اصلی چرخه‌های بازار سهام با پایداری بالا بوده است، به آن معنی که نوسانات تا چه زمانی تمایل دارند تا قبل از بازگشت به روند بلندمدت ادامه داشته باشند. با توجه به این شرایط، تصمیم بانک مرکزی در مورد متغیرهای پولی براساس موقعیت چرخه‌ای ارزش بازار بورس تهران می‌تواند بر عمق رکود و نرخ تورم تأثیر گذار باشد.

Keywords [Persian]

  • بورس تهران
  • شاخص هم حرکتی
  • شاخص تغییر پذیری
  • شاخص پایداری

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History

  • Receive Date: 22 March 2025
  • Revise Date: 23 May 2025
  • Accept Date: 23 May 2025

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