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, 20014) and they have been tested using Eviews software. The results of this research revealed the capital market non-transmissibility from gold market.
خلاصه ماشینی:
0000Since in evaluation of VAR models, the transactions are evaluated by least squares approach, it is necessary to make sure about stagnancy method and co-integration of the studied variables before evaluation of this model, the results related to the generalized Dickey-Fuller test have been given in table (1).
- Table (1): Results of generalized Dickey-Fuller unit root 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, gold price and this subject indicates the presence of long-term relationships between these both variables.
Since all considered variables are I (0) and also are co- integrated, test thus it is possible to apply them in order to observe theVariables Dickey- FULLER statistic Critical vale Significant level stagnancy condition in VAR evaluated model.
On the other hand, this is possible to obtain the long-term equilibrium relationship between price swings of gold and stock market using co-integration approach.