Testing the Long-Run Neutrality of Money In Stock Market of Iran

Mohammad Reza Monjazeb (), Meysam Rafei () and Maryam Ahmadi ()
Additional contact information
Mohammad Reza Monjazeb: Assiciate Professor, Department of Economics,Kharazmi University,Tehran
Meysam Rafei: Asistant Professor, Department of Economics,Kharazmi University,Tehran
Maryam Ahmadi: M.Sc of Industrial Engineering-Socio Economic Systems Engineering-Economic Systems Planning, Kharazmi University,Tehran

Quarterly Journal of Applied Theories of Economics, 2020, vol. 6, issue 4, 137-162

Abstract: In recent years, the role of stock market in the economy of Iran is growing. Therefore, it is important to recognize the factors affecting to this market. Changes in the money supply can be one of this factors, so this study investigates long run neutrality of money in the stock market of Iran. In this regard, quarterly data of monetary aggregates M1, M2 and the real stock indexes that is total index, industrial index and financial index has been employed in this study over the period ranging from the second quarter of 2001 to the second quarter of 2015. In this paper the order of integration of the series for money supply and real stock indexes has been identified by using Hegy test. The Fisher-Seater (FS) methodology has been used to test the neutrality of money in this research. The empirical results indicate that permanent changes in money supply (defined as M1) don’t affect the real stock indexes. Similar results were also obtained for money defined as M2. In general, the results support that money is neutral in the stock market of Iran

Keywords: Neutrality of money; Stock market of Iran; Stock price indexes; Fisher and Seater Methodology (search for similar items in EconPapers)
JEL-codes: E44 E50 E52 G10 (search for similar items in EconPapers)
Date: 2020
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ecoj.tabrizu.ac.ir/article_9832_89f177bf149ca469fdd00673722db9fd.pdf Full text (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ris:qjatoe:0167

Access Statistics for this article

Quarterly Journal of Applied Theories of Economics is currently edited by Sakineh Sojoodi

More articles in Quarterly Journal of Applied Theories of Economics from Faculty of Economics, Management and Business, University of Tabriz Contact information at EDIRC.
Bibliographic data for series maintained by Sakineh Sojoodi ().