The purpose of this Research is to investigate the causal relationship between the stock price index in the insurance industry, banking sector, and the investment sector during 2009 – 2017 period. So, a long-term relationship between variables was investigated by Johansson-Juselius test. Then, by Vector error correction model (VECM), the causal relation between the variables of the model was studied. According to the results, the existence of long-term Granger causality is confirmed from stock prices in banking sector and investment sector indices toward insurance industry. Also, the existence of a long-term Granger causality from insurance industry and banking sector toward investment sector is not confirmed, but there is a long-term causal relationship from Insurance industry and investment sectors toward banking sector. Only a short-run causal relationship is found from stock price index of insurance industry and stock price index of banking sector toward investment sector. Banking sector has a negative impact on insurance industry, which indicates the Substitution effect of banking sector in insurance industry. It can also be argued that if the stock market is a good indicator of economic environment, the insurance sector and banking sector act ineffectively in persuading investment, which indicates a necessity for revision on the subject.
azarniyush F, bashir khoda parasti R, modamadzade Y. Investigating the Short-run and Long-run Causal Relationship between the Stock Price Index in Insurance Industry, Banking Sector and Investment Sector. qjfep 2019; 7 (25) :105-128 URL: http://qjfep.ir/article-1-759-en.html