Showing 2 results for Stock Market Index
Majid Shafiei, Parviz Rostamzadeh, Mohammad Rastegar, Zahra Dehghan Shabani,
Volume 14, Issue 53 (12-2023)
Abstract
The stock market, as one of the vital components of the capital market, is an important part of the country's economy that can manage the flow of capital, optimize capital allocation, and thereby contribute to economic growth and development. More accurate prediction of the stock market trend can help investors' decision-making for higher returns by reducing risk. In general, the stock market is constantly changing and many factors influence the trend of this market, so predicting the patterns of movement in the stock exchange requires sufficient information about the past and influencing factors of the market. This article is part of the forecast of the stock market index of Iran, seeking to interpret the model and identify the most influential economic variable on the price index prediction. For this purpose, daily stock market and economic data, during the period 1394-1401 were used. Machine learning models are also used for prediction and the Shapley Additive exPlanations (SHAP) to interpret how to predict and determine the most important variables in the predictive model. Based on results from tree-based ensemble methods, the proposed model in this study, ExtraTrees, performed best based on predictive error criteria. In the study of the feature importance is also based on the ExtraTrees model, in order of the dollar rate (Nima), unemployment rate, dollar rate of market and liquidity, the most important economic variables influencing the forecast model. Also, according to other models used in the research, liquidity is the most effective variable on the stock index trend. Finally, it can be said that the most effective monetary variables on the stock market index in Iran are liquidity and exchange rate variables, so monetary policymakers and stock market investors should be more sensitive to these variables in their decisions.
Roghaye Mohsi Nia, Ali Rezazadeh, Yousef Mohammadzadeh, Shahab Jahangiri,
Volume 15, Issue 55 (5-2024)
Abstract
The fundamental aim of this study is to investigate the structural dependence between the cryptocurrency and the stock market index. In this study, the total index of Tehran Stock Exchange has been used as a representative of the developing stock market and the index (S&P500) has been used as a representative of the developed stock market. using daily data during the period from 8 August 2015 to 21 February 2023. The results show that there is no structural dependence between the return Bitcoin and Iran stock market , either in the short term or in the long term. In other words, the changes domain in return of Bitcoin during the low and high ranges on the return of the mentioned index are insignificant. The results indicates that the cryptocurrency market is separated from the main class of financial and economic assets and hence offers various benefits to investors. Also, in the long term, for the return of Bitcoin cryptocurrency and the S&P500 stock index, Clayton's copula function was chosen in the first place as the appropriate model to explain the correlation. There is no correlation between the returns of Bitcoin and the s&p500 stock index in the short term. The findings of this study indicate the important role of cryptocurrencies in investors' portfolios as they act as a diversified option for investors and confirm that cryptocurrencies are a new investment asset class. Furthermore, it analyzes the upside and downside risk spillovers between stock markets and the cryptocurrency market by quantifying market risk measures, namely the conditional VaR (CoVaR) and the delta CoVaR (ΔCoVaR). The results indicate that Bitcoin, Ethereum and Ripple cannot be considered a strong hedge during the time of crisis. The speculative nature of cryptocurrencies and risks embedded in Bitcoin, Ethereum, and Ripple increases the risk flow to stock markets during a crisis, thus rendering the hedging costlier. increases the risk flow to stock markets during a crisis, thus rendering the hedging costlier.
