Shock investigate alternative markets (competing) on stock market returns with an emphasis on the oil market shock (a new approach VAR models modified parameter change time)

Abstract

The purpose of this study was to investigate the effect of the shock on markets of rival markets (currency, gold and housing) on Tehran Stock Exchange (TSE) returns. The oil price variable has been used as a moderating and non-monetary factor for the government in the economy. In the present study, seasonal data of 1991-2016 was used using modified dynamic model of autonomous autoregressive model of time parameter change. The results show that the shock of the variables of price of currency, oil price, government expenditures and liquidity has a positive and significant effect on stock returns, but the price of gold and private sector investment in housing have a negative effect on stock returns and private sector investment is more than the time dimension It takes time to minimize all of its effects on stock returns and gold prices. It can be argued that real variables are more effective than price variables on stock returns and, over a longer period of time, lead to the stabilization of capital market conditions.