Check contagion of price fluctuations in the index of currency and oil with the index of stock prices in the Stock Exchange

Abstract

Presence of the efficient financial markets and institutes is considered as one of the characteristics of the developed countries which play an important role in the economy of these countries and straighten the economic growth and development of these countries. Tehran stock exchange is able to accelerate movement toward growth and development as the most main pillar of the capital market in the country meanwhile equipping and injecting the stagnant savings in the country and leading them into production. Methodology: Since the value of the present shares in the stock exchange is affecting by some various factors especially the macro-economical variables, so price fluctuation transmissibility of some macro-economical variables has been studied with stock price index in the present research. Results: For this purpose, the VAR method has been used to study the capital market transmissibility from markets of foreign exchange, oil, and gold. The research data was collected daily (since March 2008 until end of August 2014) and they have been tested using Eviews software. Conclusion: The results of this research revealed the capital market transmissibility from both foreign exchange and oil markets.