INVESTIGATION OF CONVERGENCE OF RETURNS ON STOCK MARKETS IN IRAN
Due to the nature of the assets in Iran, markets such as stock markets are options facing investors as asset portfolio, with different returns. Usually, investors are looking for higher returns. By accumulation of investors on markets with higher returns, it is expected that the long-run returns of such markets be decreased, which leads to the induction of difference between these markets’ returns with other markets. This can be named as returns convergence of different asset markets.
This study aims to also examine the returns convergence of stock markets in Iran over the period 2009:05- 2016:02, using Nahar and Inder method. This method examines the returns convergence of each of these markets to the average returns of them.
Based on the results, the returns of banks and credit institutions, industrial companies, mining of metal ores, chemical products, refined petroleum and nuclear fuel, cement are converged to the average returns. All coefficients are statistically significant at a confidence level of ten percent. But basic metals, telecommunications, multidisciplinary, automobile and parts, engineering services, materials and Manufacture of coke, lime and plaster, materials and pharmaceutical products, transport, storage and communications, computer and related activities, mass product, real estate and food products and Beverage except sugar`s returns has not converged to the average returns.
This study can be called as the convergence of diverse market. Namely, returns of different investment markets will be converged on each other in the long term.
The present study, when focusing on the examination the returns convergence of stock markets in Iran, differs from the previous researches.
Akaike, H (1973). Information theory and an extension of the maximum likelihood principle. Proceedings of the Second International Symposium on Information Theory, 267- 281.
Anand, R., and Madhogaria. Sh. (2012). Is gold a haven? An econometric analysis. Journal of Proscenia Economics And Finance, 1, 24-33. https://doi.org/10.1016/s2212-5671(12)00005-6
Apergis, N. (2012). Country and industry convergence of equity markets: International evidence from club convergence and clustering. The North American Journal of Economics and Finance, 29, 36-58. https://doi.org/10.1016/j.najef.2014.05.002
Baele, L., Ferrando, A., Hördahl, P., Krylova, E., Monnet, C. (2004). Measuring financial integration in the Euro area. European Central Bank, no. 14.
Barro, Robert j., Salai- Martin, Xavier. (1992). Convergence. The Journal of Political Economy, 100, 223-251. https://doi.org/10.1086/261816
Barro, Robert j., Salai- Martin, Xavier. (1995). Economic growth. The MIT Press, Cambridge, MA.
Pourrostami, N., and Sobhanian, M.H., (2013). An assessment on economic convergence of Latin America and Caribbean countries. World Studies Quarterly. Issue 3, p 67-91.
Bruno, G., De Bonis, R., Silvestrini, A. (2012). Do financial system convergence. Journal of Comparative Economics, 40, 134-144.
Bulut, H., Kaya, P., Kocak, E. (2015). Testing convergence of return on assets: Empirical evidence from the Turkish banking sector. Journal of International and Global Economic Studies, 8(2), 40-48.
Caporale, G., Erdogan, B., Kuzin, V. (2009). Testing for convergence in the stock market: A Non-linear factor approach. Journal of Empirical, 42, 481-498. https://doi.org/10.1007/s10663-014-9259-x
Cont, R. (2001). Empirical properties of asset returns: stylized facts and statistical issues. Quantitative Finance, 1, 223-236. https://doi.org/10.1080/713665670
Drastichova, M., Ostrava. V. (2012). The relations of real and nominal convergence in the EU with impacts on the euro area participation. Central European Review of Economic Issue, 15, 107-122. https://doi.org/10.7327/cerei.2012.06.03
Erasmus, S., Nzioka, O. (2012). Determining the extent of financial integration in East Africa using beta convergence and cointegration analysis. 8th International Operations Research of Eastern Africa Conference, Tanzania.
Fallahi, F., Salmani, B., and Kiani, S., (2012). An assessment on Beta-type convergence among Iran and selected Islamic countries. Economic Researches Quarterly. 12(4): 171-194.
Horta, I., S. Camanho, A. (2015). A nonparametric methodology for evaluating convergence in a multi-input and multi-output setting. European Journal of Operational Research, 246(2), 554- 561. https://doi.org/10.1016/j.ejor.2015.05.015
İskenderoğlu, Ömer, Aslan, Alper and Ozturk, Ilhan, (2009). Persistence Of Profit In Turkish Banking Firms: Evidence From Panel Lm Tests, 124(10), 429-434. http://dx.doi.org/10.1080/13504850500426178
Kaijage, PES, Nzioka, MOM. (2009).Determining the extent of financial integration in East Africa using Beta convergence and co-integration analysis.
Lee, K., Pesaran, M. H., Smith, R., (1997). Growth and convergence in a Multi- Country empirical stochastic Solow model. Journal of Applied Econometrics, 12, 357- 392. https://doi.org/10.1002/(SICI)1099-1255(199707)12:4<357::AID-JAE441>3.3.CO;2-K
Murinde, Victor, Agung, Juda, Mullineux, Andy. (2004). Patterns of corporate financing and financial system convergence in Europe. Review of International Economics, 12, 693-705. https://doi.org/10.1111/j.1467-9396.2004.00476.x
Nahar, S., Inder, B. (2002). Testing convergence in economic growth for OECD countries. Applied Economics, 34, 2011-2022. https://doi.org/10.1080/00036840110117837
Philipp, Maddaloni, Angela, Manganelli, Simone. (2003). The Euro-Area financial system: structure, integration, the policy initiatives. Oxford Review Of Economic Policy, 19, 180-213. https://doi.org/10.1093/oxrep/19.1.180Sala-i-Martin, Xavier. (1996). The classical approach to the convergence analysis. The Economic Journal,106, 1019-1036. https://doi.org/10.2307/2235375
Shahbazi, K., Fallahi, F., and Gholami, A., (2012). Convergence of price index among Iranian provinces. Economic Modeling Quarterly. 6(4): 111-128.
Solow, Robert M., (1956). A contribution to the theory of economic growth. Quarterly of Economics, 70, 65-94.https://doi.org/10.2307/1884513
Swan, Trevor, (1956). Economic growth and capital accumulation. Economic Record,32, 334-361.https://doi.org/10.1111/j.1475-4932.1956.tb00434.x
- There are currently no refbacks.
Copyright (c) 2017 Mehdi Shirafkan, sarah masoomzadeh, Morteza Sayareh
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.