Oil Revenue, Exchange Rate and Stock Market Investment in Iran: Evidence from Markov Switching Model

Dizaji, Monireh; Hajipour, Azam

doi:10.22096/esp.2022.132061.1385

Oil Revenue, Exchange Rate and Stock Market Investment in Iran: Evidence from Markov Switching Model

Document Type : Original Article

Authors

Monireh Dizaji ¹

Azam Hajipour ²

¹ Assistant professor, Department of Economics, Tabriz Branch, Islamic Azad University, Tabriz, Iran.

² Master student of economic, Islamic Azad University, Tabriz Branch, Tabriz, Iran.

10.22096/esp.2022.132061.1385

Abstract

The aim of this study is to investigate the effect of oil revenues and exchange rates on the amount of investment in the stock market in Iran using seasonal data in the period 2008-2016. To this end, the impact of oil revenues and exchange rates and the amount of liquidity on investment in the stock market in Iran has been estimated using the Markov-Switching two-mode model. The results of model estimation show that oil revenues, exchange rates and liquidity have different effects on investment in the stock market in Iran. Second regime are related to the variance and high average ( Prosperity) and diet (2) are associated with variance and low average (recession) regimes. It should be noted that in regime (1) only the volume of liquidity has a positive and significant effect on the amount of investment in the stock market, but in regime (2) the exchange rate has a negative and significant effect and oil revenues have a positive and significant effect on the amount of investment in the market Has had shares.

Keywords

Oil Revenue

Exchange Rate

Liquidity volume

Stock Market

Markov- Switching

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