چکیده:
Presence of the efficient financial markets and institutes is considered as one of the characteristics of the developed countries which play important role in economy of these countries and straighten the economic growth and development of these countries. Tehran stock exchange is able to accelerate movement toward growth and development as the most main pillar of the capital market in country meanwhile equipping and injecting the stagnant savings in country and leading them into production. Since, the present shares value in the stock exchange is affecting by some various factors especially the macro-economical variables, so price fluctuation transmissibility of some macro-economical variables has been studied with stock price index in the present research. For this purpose, VAR method has been used to study the capital market transmissibility from markets of foreign exchange, oil and gold. The research data was collected daily (since March, 2008 until end of August, 2014) and they have been tested using Eviews software. The results of this research revealed the capital market transmissibility from both foreign exchange and oil markets.
خلاصه ماشینی:
Filis studied the time series delay correlation of these countries and indicated that oil prices apply negative effect on all stock markets neglecting the origin of swing and it is not assured place to prevent from stock market risk during market critical periods.
Considering the observed output, there is a significant and positive long term relationship between both price swing of exchange market and oil market with capital market.
The data and results of under studied stagnancy variables test In order to evaluate the effect of exchange , oil price swings on total index according to Das study methodology and Anand and K night's study, First, the stR variables ( total index of stocks price) and exR( exchange rate variations) and OilR ( oil price variations) are considered as logarithm variations of stocks market price index.
- Table (1): Results of generalized Dickey-Fuller unit root three vectors Using the effect test, the results of tables (2 and 3) indicate that in significant level 5% there are three convergence or co-integration vectors between exchange rate, and oil and gold price and this subject indicates the presence of long-term relationships between these both test variables.
Since all considered variables are I (0) and alsoVariables Dickey- FULLER statistic Critical vale Significant level are co- integrated, thus it is possible to apply them in order to observe the stagnancy condition in VAR evaluated model.