Investigation of the Effect of Coronavirus Outbreak on Iran Stock Market by Considering Regime Changes
The present study investigates the effect of coronavirus outbreak and exchange rate and oil price variables on the stock market index using Markov Switching model during the period 1398/11/30 – 1399/03/27. The results show that exchange rate growth has no significant effect in the high regime of th...
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2021-06-01
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| Series: | فصلنامه پژوهشهای اقتصادی ایران |
| Subjects: | |
| Online Access: | https://ijer.atu.ac.ir/article_12939_42470f4cc2bbf9238b9c32851ebc50c6.pdf |
| _version_ | 1827393238841950208 |
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| author | Soheil Roudari Masoud Homayounifar |
| author_facet | Soheil Roudari Masoud Homayounifar |
| author_sort | Soheil Roudari |
| collection | DOAJ |
| description | The present study investigates the effect of coronavirus outbreak and exchange rate and oil price variables on the stock market index using Markov Switching model during the period 1398/11/30 – 1399/03/27. The results show that exchange rate growth has no significant effect in the high regime of the stock market index and has a negative and significant impact in the low and medium regimes. The growth of oil prices has had a negative and significant effect on all stock market index regimes. Also, in the high regime of the stock market index, the prevalence and increase in the coronavirus cases will lead to a decrease in the stock market index, and on the contrary, in the low regime of the stock market index, the prevalence and increase in the coronavirus cases will increase the stock market index. In the high regime of the stock market index, the coronavirus outbreak can lead to a decrease in the stock market index and the outflow of capital from the stock market and transfer to other parallel markets such as currency and housing can occur, and speculation increases. |
| first_indexed | 2024-03-08T17:45:25Z |
| format | Article |
| id | doaj.art-e6e777f3303c4020abf6172a88db46b8 |
| institution | Directory Open Access Journal |
| issn | 1726-0728 2476-6445 |
| language | fas |
| last_indexed | 2024-03-08T17:45:25Z |
| publishDate | 2021-06-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | فصلنامه پژوهشهای اقتصادی ایران |
| spelling | doaj.art-e6e777f3303c4020abf6172a88db46b82024-01-02T10:30:05ZfasAllameh Tabataba'i University Pressفصلنامه پژوهشهای اقتصادی ایران1726-07282476-64452021-06-01268719522710.22054/ijer.2020.51202.85112939Investigation of the Effect of Coronavirus Outbreak on Iran Stock Market by Considering Regime ChangesSoheil Roudari0Masoud Homayounifar1PhD in Economics, Economics and Administrative Sciences Faculty, Ferdowsi University, Mashad, IranAssociate Professor in Economics, Economics and Administrative Sciences Faculty, Ferdowsi University, Mashad, IranThe present study investigates the effect of coronavirus outbreak and exchange rate and oil price variables on the stock market index using Markov Switching model during the period 1398/11/30 – 1399/03/27. The results show that exchange rate growth has no significant effect in the high regime of the stock market index and has a negative and significant impact in the low and medium regimes. The growth of oil prices has had a negative and significant effect on all stock market index regimes. Also, in the high regime of the stock market index, the prevalence and increase in the coronavirus cases will lead to a decrease in the stock market index, and on the contrary, in the low regime of the stock market index, the prevalence and increase in the coronavirus cases will increase the stock market index. In the high regime of the stock market index, the coronavirus outbreak can lead to a decrease in the stock market index and the outflow of capital from the stock market and transfer to other parallel markets such as currency and housing can occur, and speculation increases.https://ijer.atu.ac.ir/article_12939_42470f4cc2bbf9238b9c32851ebc50c6.pdfexchange rateoil pricestock indexcoronavirus |
| spellingShingle | Soheil Roudari Masoud Homayounifar Investigation of the Effect of Coronavirus Outbreak on Iran Stock Market by Considering Regime Changes فصلنامه پژوهشهای اقتصادی ایران exchange rate oil price stock index coronavirus |
| title | Investigation of the Effect of Coronavirus Outbreak on Iran Stock Market by Considering Regime Changes |
| title_full | Investigation of the Effect of Coronavirus Outbreak on Iran Stock Market by Considering Regime Changes |
| title_fullStr | Investigation of the Effect of Coronavirus Outbreak on Iran Stock Market by Considering Regime Changes |
| title_full_unstemmed | Investigation of the Effect of Coronavirus Outbreak on Iran Stock Market by Considering Regime Changes |
| title_short | Investigation of the Effect of Coronavirus Outbreak on Iran Stock Market by Considering Regime Changes |
| title_sort | investigation of the effect of coronavirus outbreak on iran stock market by considering regime changes |
| topic | exchange rate oil price stock index coronavirus |
| url | https://ijer.atu.ac.ir/article_12939_42470f4cc2bbf9238b9c32851ebc50c6.pdf |
| work_keys_str_mv | AT soheilroudari investigationoftheeffectofcoronavirusoutbreakoniranstockmarketbyconsideringregimechanges AT masoudhomayounifar investigationoftheeffectofcoronavirusoutbreakoniranstockmarketbyconsideringregimechanges |