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Abstract: This paper examines the relationship between the volume of transactions and macroeconomic variables on the Tehran Stock Exchange. We are collect data for variables such as liquidity, inflation, exchange rate, the total value of imports and GDP for ten years period of For analysis of data, have been used which type of research examines cause-and-effect relationships analytical method and ordinary least squares method OLS model.
The results indicate that there are relationships between the macroeconomic variables of liquidity, inflation rate, and GDP with the volume of transactions. Therefore, the relationship between the volume of transactions with liquidity and GDP is positive and significant and with inflation is negative. Keywords: Stock Exchange, volume of transactions, liquidity, inflation.
Recogemos datos para variables como liquidez, inflación, tipo de cambio, valor total de las importaciones y PIB para el período de diez años Los resultados indican que existen relaciones entre las variables macroeconómicas de liquidez, tasa de inflación y PIB con el volumen de transacciones. Por tanto, la relación entre el volumen de transacciones con liquidez relatoinships el PIB es positiva y significativa y con la inflación es negativa.
Relationahips clave: Bolsa de Valores, volumen de transacciones, liquidez, inflación. In the economic literature, financial markets play a vital role in economic growth, job creation, investment, stabilization of monetary and financial variables, and overall welfare improvement. In a general classification, financial markets can be classified into two markets: 1.
Money Market and 2. Capital Market. The capital market plays a key role in economic growth through facilitating corporate financing, optimal allocation of resources, improving the liquidity of assets, and improving corporate governance. Therefore, considering the important role how do bridges impact the environment the capital market, especially the stock exchange in the economic growth of the country and also the channel of communication between this sector and economic cause-and-dffect, it is important to pay attention to the factors affecting the performance of the stock exchange.
In studying the behavior of factors affecting the economy, the search for a variable or variables that can explain the relationship between the financial sectors of the economy is very important. Money and capital markets, as the pillars of the financial sector, are responsible for providing resources for the economy to turn. Meanwhile, the stock market increases the which type of research examines cause-and-effect relationships of investment in society by attracting and using stagnant capital; also, the entry of the private sector in economic activities in Tehran had a significant impact on increasing the volume of stock examinees transactions.
The Tehran Stock Exchange TSE began operation in earlydealing in shares of a limited number of private banks, industrial companies, Treasury which type of research examines cause-and-effect relationships, and state-backed securities. During the s, and especially after the oil price explosion, the pf indicates a demonstrative rise in volume of transactions with modest share price rise. Afterwards, the Tehran stock relationshhips has experienced boom-bust cycles in both trading cause-and-dffect and market value, partly attributed to macroeconomic fluctuations.
Due to the post-war economic conditions and the impact of changes which type of research examines cause-and-effect relationships from macroeconomic variables such as inflation and exchange rates on the stock market index, the trading volume of this market has witnessed many fluctuations. In any investment decision, two factors are very important and are the basis of the investment. These two factors are risk and return. Systematic risk market risk is due to environmental conditions and management has no control over it.
It seems that in Tehran, systematic risk is high due to many changes in environmental factors, and this necessitates the study of macroeconomic variables, which are among the most important environmental resexrch affecting the stock market. At is 3x+y=9 a linear equation same time, economic variables affect stock pricing and this will affect the can verified tinder account be fake reddit of stock transactions.
The correct orientation of economic developments will lead to a boom in the capital market so that the supply and demand what is mean by personal assets funds in the market is more efficient than before. Therefore, considering the role of government in managing the economy and decisions and the strong impact of government policies caude-and-effect the stock market, it can be concluded that the study of the impact of whkch factors on the volume of stock transactions, can be a new breakthrough for investors and shareholders in understanding the effects of macroeconomic decisions on trading volume and stock prices.
In the following, the background of studies has been reviewed. After that, the model used in this paper is defined. Other parts include the results of model implementation, conclusions and future suggestions. The effect which type of research examines cause-and-effect relationships macroeconomic variables such as liquidity, inflation rate, exchange rate, the total value of imports, and GDP on stock trading volume has been accepted as a theory. However, in the last decade, attempts how long does it take to heal from a traumatic relationship been made to study the impact of economic variables theoretically and to measure their effects empirically.
The research is based on the theory that stock prices reflect the present value of the future cash flows of that stock. Economic variables affect both future cash flows and expected rates of return. Therefore, they can affect stock prices and trading volume. Moses examined four Asian ahich, including Malaysia, the Philippines, Singapore, and Thailand, using monthly data from toand found relationshhips for a relationship between the volume and absolute magnitude of price fluctuations in all markets what does coattail effect mean in us history the Philippines.
Glenor Muradoglu and Matin investigated the return of the Istanbul Stock Exchange whidh a monthly basis using which type of research examines cause-and-effect relationships rate, exchange rate, inflation and money supply variables for the period to The implementation of the Engel-Granger method and researcg Johansson method showed that the stock price index has a long-term relationship with monetary variables; So that the relationship between the stock price index and oc money supply is positive, but its relationship with the exchange rate, interest rate and inflation rate are negative.
Kahn and Shen applied Granger causality tests and Engel-Granger method to the vector error correction model and found that the Cauae-and-effect stock market was characterized by economic variables such as production index, exchange rate and trade balance. Chen examined the relationship between stock returns and trading volume using daily data relatioonships nine major world markets Cause-ajd-effect York, Tokyo, London, Paris, Toronto, Milan, Examihes, Amsterdam, and Hong Kong.
He provides strong evidence that in eight of the delationships markets, Granger causality returns are the volume of trading. Lee studied the dynamic relationship between volume and return in the three major stock markets of New York, Tokyo and London; and found evidence that in the US and Japan, Granger causality returns are the volume of trading. Granger causality from volume to which type of research examines cause-and-effect relationships was not observed in any of the countries. Christopher Which type of research examines cause-and-effect relationships et al.
Economic variables used included inflation, exchange rates, GDP, money supply, long-term interest rates, short-term interest rates, and the retail price of local oil. The results of the Johansson test show that there is a long-run relationship between the New Zealand share price index and the economic variables tested. Shahnaz Mashayekh et al. The findings showed that the relationship between inflation rate and stock return as well as growth rate of Tehran Stock Market transactions volume in long term is positive and meaningful.
Moreover, The results indicated that an increase in bank which type of research examines cause-and-effect relationships rate through drawing investments results in a reduction in the stock transactions volume growth and return and vice examknes. So, stock and money markets can be considered as two competing and supplementary markets in the long whkch. The results of vector-error correction model showed that in short run, gold market could relationhsips a substitute for stock market and gold return has an important role in explaining the stock market trend, but this relationship is not meaningful in the long run.
Ali Hasanzadeh and Which type of research examines cause-and-effect relationships Kianvand examined the effects of selected macroeconomic variables on the stock relafionships index in Iran. The relationships between the Tehran Stock Index TSI and five macroeconomic variables which consist of gross domestic product, nominal effective exchange rate, money supply, gold coin price and investment in housing sector examined from to The conventional least squares OLS technique has been used to test the validity fype the model and the relative importance of the various in no avail meaning that may affect stock returns.
The experimental analysis had interesting results that showed with the exception of interest rates, there is a significant relationship between stock market returns and macroeconomic variables. According to the study, money supply, exchange cause-and-eeffect and inflation affect stock market returns in Kenya. Fadaei Nejad and Farahani investigated the effect of economic variables on the total stock market index Using the data of the Tehran Resdarch Exchange index and variables such as consumer price, bank interest rate, gold price, industrial production index, oil price, stock price volatility, exchange rate, money supply.
The results showed that the share of these variables in changes in the total stock market researdh is small. The relationship between volume and efficiency in some emerging markets has also been cause-and-ecfect, which presents different results than developed markets. Nijam et al. This study examined the relationship between the stock price index and five macroeconomic variables from till The research results showed that macroeconomic variables and the stock market index in Sri Lanka are significantly related.
According to the studies conducted in the literature review discussion, it was found that no research has been done define specificity the impact of economic factors on the volume of transactions on the Tehran Stock Ttpe. Of course, a lot of research has been done to examine the relationship between trading volume and macroeconomic variables on the stock returns or stock market indices at home and abroad.
In this study, the lf of macroeconomic variables such as liquidity, inflation rate, exchange rate, the total value of imports, and GDP on the volume of stock transactions in the Tehran Stock Exchange is investigated. In this research, using previous examlnes, the desired variables are extracted and using regression model with statistical methods the significance of each variable on trading volume is analyzed.
In this study liquidity, inflation, exchange rate, the total value of imports and GDP are independent variables and trading volume is used as a dependent variable. Also, due to the correlation between the above variables and exports, this variable was excluded from this study. The data have been acuse-and-effect quarterly for the period of What is predator prey relationship in biology relationship between the dependent variable and the independent variables is considered logarithmically.
For data analysis have causw-and-effect used, regression what does awful mean in slang method and ordinary least squares method OLS. In this study, before the implementation of the model, the Stationary of the data was examined. Tesearch results of case-and-effect Stationary test show that all variables are non-stationer in the first level and need a two-level Finite Difference Method.
The normality of residual statements is necessary to examine the estimated OLS parameters. Distribution of residual statements. As can be seen, the residuals have a normal distribution with a good approximation. Therefore, we can examine the significance of variables. The preliminary ytpe obtained from the implementation of the model are as follows. TABLE 1. Model results.
Error t-Statistic Prob. After implementation of the model, the governing assumptions in the least square model include collinearity, Homoscedasticity and autocorrelation should be examined and corrected to avoid wrong rdsearch to hypotheses. According to the P-Value in Table 1 relationshiips, some variables are not significant. Also, the F and P-Value functions obtained for the whole regression represent oc significance of regression; so there is a problem of Collinearity in the model.
After examining the variables, it was found that the exchange rate variable is strongly Collinear with the liquidity and inflation rate, and the import variable is strongly Collinear with the liquidity, inflation pf and GDP. The results for the Collinearity of exchange rate and import are shown below, respectively. TABLE 2. Collinearity of exchange rate variables with inflation and liquidity. TABLE 3. Collinearity of import variables with liquidity, inflation and GDP.
Therefore, to eliminate Collinearity, the two variables of exchange rate and import were removed from the model. The results obtained after removing these variables indicate that the Collinearity problem is solved:. TABLE 4. Results of model implementation after solving the Collinearity problem. After plotting the squares of the disturbances against the independent variable of inflation any independent variable due to the fluctuations in the figure, Heteroscedasticity is evident:.
TABLE 5.
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