Decision Sciences
3 years ago

Budget deficit and oil revenues key in predicting Iran's stock returns

DOAJ (DOAJ: Directory of Open Access Journals)
Dynamic relationships between financial conditions index and stock returns
Amin Sadat, Ebrahim Abbasi, Hasan Ghalibaf Asl

Paper Summary

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The researchers aimed to improve the predictability of stock returns in Iran by studying the relationship between the financial conditions index (FCI) and stock returns. They used a TVP-DMA model to analyze data from April 1991 to July 2019. The results showed that factors like budget deficit, FCI, oil revenues, and economic growth significantly impact stock returns in Iran. The study found that incorporating flexibility in FCI coefficients leads to more accurate predictions of stock returns.