تحليل اثر متغيرهاي كلان اقتصادي بر بازده كل بازار اوراق بهادار ايران با استفاده از روش فضا حالت

The effect of macroeconomic variables on total efficiency of the securities market Approach using state - space

در اين تحقيق نيز تاثير سه متغير مهم اقتصادي، از قبيل تورم، نقدينگي، نرخ ارز بر بازده شاخص كلبازار بررسي شده است. دادهاي دورهي زماني تحقيق بين 4916 4931 و با استفاده از روش فضا حالت، - - مورد تجزيه و تحليل قرار گرفته اند.مدل فضا - حالت يك ابزار مفيد براي سيستم پويا ميباشد كه شامل متغيرهاي وضعيت مشاهده نشده ميباشد. نتايج حاصل از به كار گيري مدل اقتصاد سنجي فضا حالت - نشان ميدهد، كه ارتباط معنا دار و مثبتي بين نرخ تورم و نقدينگي و بازدهي شاخص بورس اوراق بهادار، وجود ندارد. همچنين ارتباط از نظر آماري معناداري و منفي بين نرخ و بازدهي شاخص بورس اوراق بهادار وجود دارد

One of the important issues of Economic and financial researchers are the issue of the effect of economic variables on stock market performance. Because investors have different combinations of cash in their portfolios of financial assets, Shares, bank deposits, bonds, Gold and currency are Maintain Changes in monetary, exchange rate, inflation and interest rates, Individuals, demand is affected to hold each of assets including demand for the stock. This in turn affects the equities. It is believed that the price of the stock by some fundamental economic variables such a Inflation rate, exchange rate, interest rate and liquidity, are determined. In this study, the effects of three important economic variables, such as inflation, money supply, exchange rate returns on the market index is investigated. Period of time between contract research (2007-2012) and using a state - space have been analyzed. State-space model is a useful tool for dynamic system state variables are unobserved the results of the econometric models used to study space - the show. There is no Significant and positive relationship between inflation and the liquidity and efficiency of the stock exchange. Also there is significant negative correlation between the rate of return on the stock exchange there.