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Investigating the Short-run and Long-run Causal Relationship between the Stock Price Index in Insurance Industry, Banking Sector and Investment Sector
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Farhad Azarniyush *   , Ramin Bashir khoda parasti , Yusef Modamadzade |
| urmia university |
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Abstract: (4648 Views) |
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.
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| Keywords: stock price index, insurance industry, banking sector, investment sector, granger causality |
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Full-Text [PDF 878 kb]
(1137 Downloads)
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Type of Study: Research |
Subject:
Special
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