cointegration analysis of tehran stock exchange and islamic stock market in selected countries
نویسندگان
چکیده
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.
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عنوان ژورنال:
تحقیقات مالی اسلامیجلد ۵، شماره ۹، صفحات ۱۵۵-۱۸۰
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