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:: Volume 10, Issue 37 (Quarterly Journal of Fiscal and Economics Policies 2022) ::
qjfep 2022, 10(37): 73-111 Back to browse issues page
Evaluation of macro factors affecting stock price index: Bayesian averaging approach
Saman Hatamerad, Jafar Haghighat *, HOSSAIN Asgharpur, Bahram Adrangi
Faculty of Economics, and Manegment, Tabriz, Tabriz University, Tabriz, Iran
Abstract:   (314 Views)
The present study represents an attempt to examine the main macro determinants of stock prices in OPEC oil exporting and importing countries in the study period 1996 to 2016 using Bayesian model averaging (BMA). The oil importers in this study are the United States, Britain and Japan, and three countries, Iran, Saudi Arabia and Kuwait, have been selected as oil exporters. The findings of this study are that to predict and evaluate the stock price index for oil-importing countries, the three variables of exchange rate index, consumer price index and economic growth should be given more importance than other variables, while for oil-exporting countries, The three variables of broad money growth, exchange rate and import are the most important variables that should be considered. For oil-importing countries, among the macro variables studied, OPEC oil prices have a completely negative relationship with the stock price index of those countries, but in oil-importing countries, the gold price has a completely inverse relationship with the stock price index.
Keywords: Stock price, Bayesian Model Averaging, Bayesian Estimation
Full-Text [PDF 1565 kb]   (47 Downloads)    
Type of Study: Research | Subject: Special
Received: 2022/01/19 | Accepted: 2022/06/21 | Published: 2022/06/21
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hatamerad S, haghighat J, Asgharpur H, Adrangi B. Evaluation of macro factors affecting stock price index: Bayesian averaging approach. qjfep. 2022; 10 (37) :73-111
URL: http://qjfep.ir/article-1-1287-en.html


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Volume 10, Issue 37 (Quarterly Journal of Fiscal and Economics Policies 2022) Back to browse issues page
فصلنامه سیاستهای مالی و اقتصادی Quarterly Journal of Fiscal and Economic Policies
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