The Impact of Interest Rate on the Stock Market Return Case Study: Tehran Stock Exchange
Author(s)
Khalil Taleb nia , Kamran Yeganegi , Nabi alah Mohamadi ,
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Abstract
The current study was carried out with the objective of studying and evaluating the dynamic impact of interest rate on the stock returns of the Tehran stock exchange. Based on the literature review, two hypotheses were pointed out, and in order to test these hypotheses, the data from the Iran Central Bank were used after theoretical investigations. The collected data were investigated annually for 16 years from 2002 through 2016. The collected data were estimated using the GARCH model. The analyses were performed in Excel and Eviews, and the results were obtained to be as follows. The results imply that the changes in this variable in the studied period was initially low at the beginning of the period and increased gradually in a generally oscillatory manner and increases in 2013.Observing the changes in this variable in the studied period shows that this variable is oscillatory in a sinusoidal form. The maximum changes drop, and the maximum changes were observed in 2008 and 2013, respectively. Also, the changes to this variable in the studied period were smoothly increasing
Keywords
Dynamic interest rate, stock returns
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