Investigating the Nonlinear Effects of Price and Volatility in Gold, Oil and Exchange Rate on the Stock Price Index in Iran (Using NARDL and MRS-GARCH Methods)

The purpose of this study is to investigate the nonlinear effects of prices and the volatility of gold, oil, and exchange rate variables on the stock price index in Iran from March 2008 to April 2019. In this regard, first, the volatility of oil, gold, exchange rate and stock price index variables are calculated using the MRS-GARCH technique and then the relationship between these variables is investigated using a Nonlinear Autoregressive Distributed Lag model (NARDL). The results indicate that oil and gold price variables have positive and negative effects in the short and long run on the stock price index in Iran, but the volatility of these two variables does not have a significant effect on the stock price index. The results also show that exchange rate depreciation exerts a negative and significant effect on the stock price index in the short and long run, but the exchange rate increase in both periods does not have a significant effect on the stock market. Therefore, the exchange rate has an asymmetric effect on the stock price index, while the results indicate the positive and significant effect of volatility of stock price index on the stock price index.