Investigating the Relationship Between Liquidity and Asset Prices in Iran's Financial Market with Bayesian Averaging Modeling
The main purpose of this study is to do modeling and investigate the relationship between liquidity and its role in the development of the stock and the housing market. This is accomplished through comparing 10 of Bayesian Averaging methods and principal component analysis carrying out an extensive...
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University of Sistan and Baluchestan
2022-12-01
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| Series: | اقتصاد باثبات |
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| Online Access: | https://sedj.usb.ac.ir/article_7479_0fc989670d2b96b2edc17f680358cec9.pdf |
| _version_ | 1797404543846187008 |
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| author | Omkolsoom Naderpour Gholamreza Zamanian Mohammad Nabi Shahiki Tash Mohammad Fayaz |
| author_facet | Omkolsoom Naderpour Gholamreza Zamanian Mohammad Nabi Shahiki Tash Mohammad Fayaz |
| author_sort | Omkolsoom Naderpour |
| collection | DOAJ |
| description | The main purpose of this study is to do modeling and investigate the relationship between liquidity and its role in the development of the stock and the housing market. This is accomplished through comparing 10 of Bayesian Averaging methods and principal component analysis carrying out an extensive set of simulation studies based closely on real datasets that span a range of situations encountered in practical data analysis. The data used in this article includes the seasonal data during the period from (1385:1) to (1399:4. The evaluation results show 4 types of PC, so that the first PC shows more than 95% of the changes. In the first PC, the two variables of liquidity and exchange rate have the most weight, and respectively, the second, third and fourth PC are related to oil revenues, legal deposit ratio and coin price. The variables of liquidity, exchange rate and oil revenues have a positive relationship with the index of stock and housing prices, and the variables of the legal deposit ratio and the price of coins have a negative relationship with the index of stock and housing prices. Also, the estimation results of the 10 analyzed models of Bayesian averaging show that in the modeling of the stock price index as well as the modeling of the housing price index, the best models are obtained through applying PCA and the prior distribution of AIC. Therefore, the use of the principal component analysis and the AIC model as a basis for approximating the probabilities of the posterior model, under the condition that the probabilities of the prior model are similar to Zellner's g-prior, is approved in this research. |
| first_indexed | 2024-03-09T02:56:32Z |
| format | Article |
| id | doaj.art-e214475e825046c7a3a5aac2d40beae4 |
| institution | Directory Open Access Journal |
| issn | 2821-1049 |
| language | fas |
| last_indexed | 2024-03-09T02:56:32Z |
| publishDate | 2022-12-01 |
| publisher | University of Sistan and Baluchestan |
| record_format | Article |
| series | اقتصاد باثبات |
| spelling | doaj.art-e214475e825046c7a3a5aac2d40beae42023-12-05T04:49:55ZfasUniversity of Sistan and Baluchestanاقتصاد باثبات2821-10492022-12-0134638910.22111/sedj.2023.44547.12957479Investigating the Relationship Between Liquidity and Asset Prices in Iran's Financial Market with Bayesian Averaging ModelingOmkolsoom Naderpour0Gholamreza Zamanian1Mohammad Nabi Shahiki Tash2Mohammad Fayaz3Ph.D. Candidate, Department of Economics, Faculty of Management and Economics, University of Sistan and Baluchestan, Zahedan, IranAssociate Professor, Department of Economics, Faculty of Management and Economics, University of Sistan and Baluchestan, Zahedan, Iran.Professor, Department of Economics, Faculty of Management and Economics, University of Sistan and Baluchestan, Zahedan, IranPhD in Biostatistics from Shahid Beheshti University of Medical Sciences, Tehran, IranThe main purpose of this study is to do modeling and investigate the relationship between liquidity and its role in the development of the stock and the housing market. This is accomplished through comparing 10 of Bayesian Averaging methods and principal component analysis carrying out an extensive set of simulation studies based closely on real datasets that span a range of situations encountered in practical data analysis. The data used in this article includes the seasonal data during the period from (1385:1) to (1399:4. The evaluation results show 4 types of PC, so that the first PC shows more than 95% of the changes. In the first PC, the two variables of liquidity and exchange rate have the most weight, and respectively, the second, third and fourth PC are related to oil revenues, legal deposit ratio and coin price. The variables of liquidity, exchange rate and oil revenues have a positive relationship with the index of stock and housing prices, and the variables of the legal deposit ratio and the price of coins have a negative relationship with the index of stock and housing prices. Also, the estimation results of the 10 analyzed models of Bayesian averaging show that in the modeling of the stock price index as well as the modeling of the housing price index, the best models are obtained through applying PCA and the prior distribution of AIC. Therefore, the use of the principal component analysis and the AIC model as a basis for approximating the probabilities of the posterior model, under the condition that the probabilities of the prior model are similar to Zellner's g-prior, is approved in this research.https://sedj.usb.ac.ir/article_7479_0fc989670d2b96b2edc17f680358cec9.pdfbayesian averaging approachliquidityasset pricesprincipal component analysis |
| spellingShingle | Omkolsoom Naderpour Gholamreza Zamanian Mohammad Nabi Shahiki Tash Mohammad Fayaz Investigating the Relationship Between Liquidity and Asset Prices in Iran's Financial Market with Bayesian Averaging Modeling اقتصاد باثبات bayesian averaging approach liquidity asset prices principal component analysis |
| title | Investigating the Relationship Between Liquidity and Asset Prices in Iran's Financial Market with Bayesian Averaging Modeling |
| title_full | Investigating the Relationship Between Liquidity and Asset Prices in Iran's Financial Market with Bayesian Averaging Modeling |
| title_fullStr | Investigating the Relationship Between Liquidity and Asset Prices in Iran's Financial Market with Bayesian Averaging Modeling |
| title_full_unstemmed | Investigating the Relationship Between Liquidity and Asset Prices in Iran's Financial Market with Bayesian Averaging Modeling |
| title_short | Investigating the Relationship Between Liquidity and Asset Prices in Iran's Financial Market with Bayesian Averaging Modeling |
| title_sort | investigating the relationship between liquidity and asset prices in iran s financial market with bayesian averaging modeling |
| topic | bayesian averaging approach liquidity asset prices principal component analysis |
| url | https://sedj.usb.ac.ir/article_7479_0fc989670d2b96b2edc17f680358cec9.pdf |
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