Document Type : Article-Based Dissertations
Authors
1 PhD student, Department of Economics, Faculty of Economics, Islamic Azad University Qeshm International Branch, Qeshm, Iran.
2 Assistant Professor, Department of Economics, Faculty of Management and Economics, Islamic Azad University, Bandar Abbas Branch, Bandar Abbas, Iran.
3 Associate Professor, Department of Economics, Faculty of Management and Economics, Islamic Azad University, Bandar Abbas Branch, Bandar Abbas, Iran.
4 Assistant Professor, Department of Economics, Faculty of Management and Economics, Qeshm Branch Islamic Azad University, Qeshm, Iran.
Abstract
Many factors and reasons affect the stock market price index in different countries. Despite the fact that the factors affecting the stock market price index mainly follow an asymmetric and non-linear behavior, most of the methods that have investigated this relationship have been linear. These methods cannot be indicative of a complete fit of the investigated model. Considering this issue, the aim of this study is to investigate the effect of macroeconomic variables on the stock price index among Iran's major trading partners using quantile regression during the period of 1990-2019. The findings of this study showed that the impact of inflation, exchange rate, liquidity, gross domestic product on stock market price index was positive and significant. The effect of foreign trade on the stock market price index has also been significant beyond the 90% level. Based on other results of this study, the effect of exchange rate and inflation rate variables on the stock market price index is asymmetric. The variable effect of GDP, competitiveness and foreign trade has also been symmetrical.
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