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Dissertation/Thesis Abstract

The impact of macroeconomic variables on the stock market of the oil-exporting countries: The case of Iran
by Niknam Esfahani, Naser, D.B.A., Alliant International University, 2016, 113; 10243507
Abstract (Summary)

The purpose of this study is to investigate the impact of oil income and the gold price fluctuation on the stock market of Iran, and to examine whether consideration of the oil and the gold markets followed by other investment markets, such as the real estate market and the foreign exchange market have any significant impact on the stock market behavior. This study examines the impact of the oil income and gold price fluctuation, as well as other macroeconomic indicators such as housing construction, deposit interest rate, foreign exchange rate, consumer price index, and gross domestic products on the Iranian stock market, as measured by the quarterly data from January 1990 to December 2012. First, regression analysis was applied for oil revenue, housing activities, deposit interest rate, foreign exchange rate, CPI, and GDP to examine the stock market reaction to each market activity. After this, ceteris paribus, oil revenue was replaced with gold price to examine whether the price of gold without consideration of the oil revenue had any impact on the stock market activity. Finally, the model was run to examine the impact of all variables, including oil revenue and gold price, upon stock market activity. In a separate model, this paper also examines the relationship between all of the above-mentioned variables and stock market volatility. In the next phase, the impulse response function based on the vector auto-regression model was generated to examine the behavior of the stock market followed by a shock to each independent variable. Because Iran is an oil-exporting country—not an oil-importing country—economic forces, market structure as well as the investment culture and investing policies are different in Iran than in Western nations or other oil-importing countries, it may not be wise or productive to analyze investment in the Iranian stock market from the same perspective or with the same methods used when analyzing investment in Western countries. Because gold, foreign currencies, and the real estate market are the most popular and common investment markets in Iran for domestic investors, this paper aims to determine whether there is any relationship between those markets and the stock market in general from an investment point of view.

Indexing (document details)
Advisor: Sayim, Mustafa
School: Alliant International University
Department: San Diego-DBA
School Location: United States -- California
Source: DAI-A 78/05(E), Dissertation Abstracts International
Subjects: Finance, Economic history
Keywords: Economy, Gold price, Iran, Macroeconomics, Oil revenue, Oil-exporting countries, Stock market
Publication Number: 10243507
ISBN: 978-1-369-37154-3
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