"Islamic Finance Researches" (IFR)

Cointegration Analysis of Tehran Stock Exchange and Islamic Stock Market in Selected Countries

Document Type : Paper

Authors

1 PhD student in Public Sector Economics, Mazandaran University

2 PhD student in Economics, Shiraz University

Abstract

The process of economic globalization and integration has had a tremendous growth in recent years and the convergence of various economic sectors, including the financial markets is increasingly in the spotlight. This increasing trend has strengthened investors' interests in the subject of convergence among the world's stock markets and investors experimentally show a passion for understanding the relationship between the various stock markets, in order to create a high-yield portfolio. Consequently, to determine the convergence of Tehran Stock Exchange as the core of the financial economy of an Islamic economy, with other countries' Islamic stock can be fruitful for investment decisions about selecting an optimal portfolio. Accordingly, this study by using the method of cointegration analysis, has dealt with the short and long term relation between Tehran stock exchange and Islamic stock exchange of the selected countries. The research has been done in the period of May 2002 to December 2014 using stock indices of different countries on a monthly basis. They indicate that firstly, there is a weak link between Tehran stock index and Islamic stock index of UK, USA, and Arabic and Islamic world index in the short term. Secondly, no convergence and connection is seen between these indicators in the long term. The results may indicate Iran's stock market's distance from the defined Islamic index.

Keywords

ابونوری، اسمعیل و محمدرضا عبداللهی (1389)، «ارتباط بازارهای سهام ایران، آمریکا، ترکیه و مالزی دریک مدل گارچ چند متغیّره»، بورس اوراق بهادار، شماره 14، صص 61-79.
اکباتانی، محمدعلی (1373)، شاخص قیمت سهام، تهران: سازمان بورس و اوراق بهادار تهران.
جعفر عبدی، اکبر (1389)، «بررسی ارتباط میان بازارهای سهام تهران و دبی»، پایان‌نامه کارشناسی ارشد، تهران: دانشگاه صنعتی شریف.
راعی، رضا و احمد پویانفر (1393)، مدیریت سرمایه‌گذاری پیشرفته، تهران: سازمان مطالعه و تدوین کتب علوم انسانی دانشگاه‌ها (سمت).
زاهدی تهرانی، پریوش (1391)، «تبیین راهبرد سرایت نوسانات بازارهای سرمایه بین‌المللی بر بورس اوراق بهادار تهران»، مطالعات مدیریت راهبردی، شماره 11، صص 131-153.
سوری، علی (1394)، اقتصادسنجی (پیشرفته)، تهران: فرهنگ‌شناسی، چاپ سوم.
گجراتی، دامودار (1390)، مبانی اقتصادسنجی، ترجمه: حمید ابریشمی، تهران، دانشگاه تهران، جلد دوم، چاپ دهم.
مقاره عابد، سپهر (1389)، «بررسی اثر سرایت بحران مالی جهانی بر شاخص‌های بازار سهام تهران»، پایان‌نامه کارشناسی ارشد، تهران: دانشگاه صنعتی شریف.
وب سایت سازمان بورس و اوراق بهادار تهران www.irbourse.com
وب سایت شاخص سرمایه مورگان استنلی www.msci.com
وب سایت یاهوفایننس www.finance.yahoo.com 
Abraham, A., Seyyed, F. J. and Al-Elg, A. (2001), "Analysis of diversification benefits of investing in the emerging Gulf equity markets", Managerial Finance, (27).
Aktar, I., (2009), "Is there any comovement between stock markets of Turkey, Russia and Hungary? ", International Research J. Finance and Economics, (26).
Bose, Suchismita, & Mukherjee, Paramita, (2005), "A study of interlinkages between the Indian stock market and some other emerging and developed markets", Retrieved from http://Ssrn. Com/Abstract=876397.
Chen, G.M., M. Firth and O.M. Rui, (2002), "Stockmarket linkages: Evidence from Latin America", J.Banking and Finance, (26).
Engle, R. F. and Granger, C. W. J. (1987), Cointegration and Error Correction: Representation, Estimation and Testing, Econometrica, 55 (2), pp. 251-276.
Hoque, H.A., (2007), "Co-movement of Bangladesh stock market with other markets Cointegration and error correction approach", Managerial Finance, 33 (10), pp. 810-820.
Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, (12), pp. 231- 254.
Johansen, S. and K. Juselius, (1990), Maximum Likelihood Estimation and Inference on cointegration with applications to the demand for money. Oxford Bulletin of Economics and Statistics, (52).
Khan, Aftab & Masih, Mansur, (2014), "Correlation between Islamic stock and Commodity markets: An investigation into the impact of financial crisis and financialization of commodity markets", MPRA Paper 56979, University Library of Munich, Germany.
Mukherjee, Kedar Nath, & Mishra, R.K. (2007), "International stock market integration and its economic determinants: A study of Indian and world equity markets", Vikalpa, 32 (4), pp. 4–29
Narayan, P., R. Smyth and M. Nandha, (2004), "Interdependence and dynamic linkages between the emerging stock markets of South Asia", Accounting and Finance, (44), pp. 419-439.
Searat, A. zaheer butt, B. Rehman, K (2011), "Comovement Between Emerging and Developed Stock Markets: An Investigation Through Cointegration Analysis", world applied sciences journal, 12 (4), pp. 395-403.
Wong, W.P., R.D. Terrell and K. Lim. (2004), "The Relationship Between Stock Markets of Major Developed Countries And Asian Emerging Markets", J. Appl. Mathematics and Decision Sci., 8 (4).
Worthington, A., M. Katsuura and H. Higgs. (2003), "Price Linkages in Asian Equity Markets: Evidence Bordering the Asian Economic, Currency and Financial Crises ", Asia-Pacific Financial Markets, (10).
 
Volume 5, Issue 1 - Serial Number 9
November 2015
Pages 155-180
  • Receive Date: 26 December 2015
  • Revise Date: 10 April 2016
  • Accept Date: 11 April 2016