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Investigating the Recession Sustainability of Main Industries in Tehran Stock Exchange: Using Cox Regression | ||
| Iranian Journal of Economic Studies | ||
| مقاله 7، دوره 5، شماره 1 - شماره پیاپی 9، شهریور 2016، صفحه 101-116 اصل مقاله (505.91 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22099/ijes.2017.26659.1354 | ||
| نویسندگان | ||
| Ezatollah Abbasian* 1؛ Ali Yehea Nemer2 | ||
| 1Department of Economics, Bu Ali Sina University, Hamedan, Iran. | ||
| 2Faculty of Management, Tehran University, Tehran, Iran. | ||
| چکیده | ||
| Objectives: The Tehran Stock Exchange fell in recession in December 2013, as it roughly persisted until the end of 2015. However, there are significant differences in the various industries both in terms of the beginning of recession and in terms of the end of recession. By the evaluation of the Bulls and Bears Markets in the major industries in the Tehran Stock Exchange, the recession contexts can be identified and indicated. Method: In the present study, the Lunde and Timmermann approach is applied to identify the situation of the different industries during the period of November 2008 to February 2016 and, Cox regression is used to examine the impact of the industry type and the main macroeconomic variables effect on the continuation of the Bears Market. Result and Conclusions: The results indicated that since the beginning towards the end of the recession between the under-study industries, there are many differences, which can be used as a criterion to identify the key industries in the recession of the capital market. In addition, the results of Cox regression indicate that the type of industry and the inflation rate have a significant effect on the continuation of the Bears Market. | ||
| کلیدواژه‌ها | ||
| Bulls and Bears Markets؛ Cox regression؛ Tehran Stock Exchange | ||
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