Financial Economics
Mostafa Abdollahzadeh; Hashem Zare
Abstract
The main purpose of this paper is to calculate the entropy of money in the space of Gross domestic product with the approach of econophysics and investigating the effect of stock market development on it. In this regard, by using annual data in the period of 1370-1398 in the framework of Smooth Transition ...
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The main purpose of this paper is to calculate the entropy of money in the space of Gross domestic product with the approach of econophysics and investigating the effect of stock market development on it. In this regard, by using annual data in the period of 1370-1398 in the framework of Smooth Transition Autoregressive Model (STAR), the asymmetric behavior of monetary irregularities around a threshold at different levels of stock market value as a variable of analysis is investigated. The results show that at low levels of current value of the stock market (the first regime), net capital inventory and budget deficit of governments have positive effects and the number of companies admitted to the stock exchange organization have a negative effect on monetary entropy. At high levels of current value of the stock market (Second Regime), net capital inventory has negative effect and government budget deficit continued to have a positive effect on monetary entropy. Based on the results of this study, it is clear that the dynamics of the stock market will reduce monetary entropy, which is itself an indicator of wasting and lacking of access to the resources.
Karim Eslamloueyan; Hashem Zare
Volume 8, Issue 29 , February 2007, , Pages 17-46
Abstract
This paper uses a quarterly data to study the effect of the main economic variables on the stock price index in Iran over the period 1993:3–2003:2. An autoregressive distributed lag (ARDL) approach to cointegration analysis is used to study both short- and long-run movements of stock prices in ...
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This paper uses a quarterly data to study the effect of the main economic variables on the stock price index in Iran over the period 1993:3–2003:2. An autoregressive distributed lag (ARDL) approach to cointegration analysis is used to study both short- and long-run movements of stock prices in Tehran stock market. The explanatory variables include money supply, production level of large manufacturing companies, and the ratio of domestic to foreign price level, exchange rate, oil price, gold coin price, and housing price index.
The results show that there is a long-run equilibrium relationship between the variables. According to our finding, the ratio of domestic to foreign price levels, the price of housing and the gold coin price index have positive impacts on the stock prices. Exchange rate and money supply have significant negative effects on the stock price index in Iran. However, we found that the production level of large manufacturing companies has not affected the stock price index. The result of our error correction model indicated that 54 percent of deviation of the stock price from its equilibrium path is corrected each period.
