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Investigating the Effects of Liquidity Shocks on Selected Industries in Tehran Stock Exchange Using a Varying Parameter Approach
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Sajjad Barkhordari *1   , Ghahraman Abdoli1 , Reza Amiri1 |
| 1- University of Tehran |
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Abstract: (1198 Views) |
| This paper attempts to describe and analyze the effects of monetary shock as an exogenous shock on companies listed in the Tehran Stock Exchange market by using a varying parameter model (TVP-FAVAR) and the seasonal data from 2011 to 2018. It also analyzes the effects of positive monetary shocks on the value of these companies. The results indicate a standard deviation of monetary shock (positive monetary shock) has a different impact on companies listed on Tehran Stock Exchange. Also, the response of the industry's value varies in different periods. Hence, there is a need for applying a varying-parameter model (TVP-FAVAR). In the selected sectors, the companies in the basic metal and the food and beverage industries have a positive response, and the companies in the chemical industry have a negative response to a liquidity shock. Also, how the value of companies operating in other industries has been affected by this momentum varies over time. |
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Full-Text [PDF 1655 kb]
(617 Downloads)
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Type of Study: Empirical Study |
Subject:
Prices, Business Fluctuations, and Cycles (E3)
Received: 2020/02/24 | Accepted: 2021/05/17 | Published: 2021/11/17
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