Investigating the Asymmetric Effect of Housing Market Prices on the Tehran Stock Market

Document Type : Original Article

Authors

1 Master of Economics, Department of Economics, Faculty of Social Sciences, Economics and Entrepreneurship, Razi University, Kermanshah, Iran.

2 Associate Professor, Department of Economics, Faculty of Social Sciences, Economics and Entrepreneurship, Razi University, Kermanshah, Iran

3 Associate Professor, Department of Economics, Faculty of Social Sciences, Economics and Entrepreneurship, Razi University, Kermanshah, Iran.

Abstract

The housing sector is one of the economic sub-sectors that has a major contribution to the gross domestic product, gross fixed capital formation and employment, and in terms of having a strong connection with other financial sectors, it plays a vital role in creating dynamics and prosperity of stock market and securities market activities. Therefore, according to the importance of the subject, in this research, the short-term and long-term effects of the asymmetric effect of the housing market price on the Tehran Stock Exchange market have been examined. For this purpose, by collecting annual data during the years 1988 to 2019 and using the econometric model, the estimation of the model and the interpretation of the results have been done. The research results show that in the long term, if the housing price index increases by one percent, the total stock market index will decrease by 0.78 percent. Also, the goods and services price index variable has a positive effect on the total stock market index, so that with a one percent increase in the goods and services price index, the total stock market index increases by 1.562 percent. The unofficial exchange rate and interest rates (expected) of bank facilities for long-term deposits have a positive effect on the overall stock market index. So that with a one percent increase in these variables, the total stock market index will increase and decrease by 1.149 and 0.801 percent. Economic growth (gross domestic product growth) has a positive and small effect on the overall stock market index. So that with a one percent increase in the country's economic growth, the total stock market index increases by 0.001 percent. Also, the obtained coefficients for positive and negative housing price shocks show that both in the long term and in the short term, the reaction of the total stock market index to positive and negative shocks of the housing price index is asymmetric.

Keywords

References

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Public Sector Economics Studies
Volume 1, Issue 1
November 2022
Pages 59-84

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History

  • Receive Date: 30 April 2022
  • Revise Date: 03 September 2022
  • Accept Date: 12 September 2022

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