چکیده:
The capital market, as a connecting bridge between 'individual and institutional savers' and 'investors in need of funds,' plays a significant role in increasing the confidence coefficient and the volume of investments, especially in long-term economic activities, by performing two important functions: 'providing long-term financial resources' and 'managing risk-taking (risk).' Today, the petrochemical industry, with a 21% share of the average daily trading value of the Tehran Stock Exchange in the year 1392, holds a special position in the capital market. In addition to the added value it creates compared to the raw sale of vast oil and gas resources, this industry has held a significant share in stock market transactions through collecting the micro-savings of society. The increase in the price of petrochemical gas feedstock due to fear and concern about the performance of this industry has long been criticized by experts and economic decision-makers in scientific and policy-making circles. This policy was approved by the Islamic Consultative Assembly in the year 1392 and implemented based on the 1393 budget. The objective of the present research is to examine the impact of the news of increasing petrochemical feedstock prices on the Tehran Stock Exchange indices. In this research, time series data on a daily basis, from 91/7/1 to 93/7/30, have been analyzed using ARCH family models and dummy variables. The pattern findings indicate a significant effect of the news of increasing petrochemical feedstock prices before approval on the Tehran Stock Exchange indices, which has influenced the returns of this industry with a positive trend.
خلاصه ماشینی:
Journal of Financial Economics and Development, Vol. 9 / No. 33 / Winter 2015 The Impact of News Regarding the Increase in Petrochemical Feedstock Prices on the Tehran Stock Exchange Index 1 Saeed Nayeb Date Received: 2015/10/27 Date Accepted: 2015/12/14 2 Maniheh Hadi Nejad, Fereshteh Shams Safa3 Abstract The capital market, acting as a bridge between "individual and institutional savers" and "investors in need of funds," plays a significant role in increasing the confidence index and the volume of investments, especially in long-term economic activities, by performing two important functions: "providing long-term financial resources" and "risk management.
" Journal of Financial Economics and Development No. 33 / Winter 2015 124 / The effect of the news of increasing petrochemical feedstock prices on the Tehran stock market index 3-1- Time series estimation method in financial markets The most general generalized model in financial market analysis is the ARCH family model.
Journal of Financial Economics and Development No. 33 / Winter 2015 128 / The effect of news regarding the increase in petrochemical feedstock prices on the Tehran Stock Market index / Figure 3- Actual data trend, residuals and model estimation for the chemical index obtained from EViews Source: Researcher's calculations 3-4- Results of the ARCH-LM test The results of the ARCH-LM test obtained from the estimation and evaluation of the model by entering dummy variables are observed in Tables 5 and 6; the Lagrange multiplier test is used to investigate the presence or absence of conditional heteroskedasticity (ARCH) based on the standardized residuals of the equation.
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