The Asymmetric Impact of Weighting Economic and Political Events on the Fluctuations of Banking Group Index (Case of Tehran Stock Exchange)

Journal of Money and Economy Pub Date : 2021-09-01 DOI:10.52547/jme.16.3.399

Saeed Dehghan Khavari, Seyed Hossein Mirjalili, Maryam Iraji

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Abstract

Stock Exchange Investors have paid more attention to the banking group in recent years so that in many cases, the direction of the banking index has changed the general direction of the market. Therefore, exploring the banking index fluctuation is important from the point of view of investors as well as the direction of the market. The purpose is to examine the effectiveness and direction of news, as one of the most important factors in the formation of volatility, on the banking group index in Tehran Stock Exchange by using 1460 daily records during 2018-2019 and the GARCH family's method. The data were collected for four different newsgroups, including economic, political, psychological, and financial. After that, the news that had more relationship with the banking group was separated to underscore in the weighting stage and divided into the positive and negative news, according to the perspectives of capital market experts and economic elites. The results indicated that newsgroups have a significant effect on the group index, and only the negative political model on the banking group has an asymmetric effect. The results indicated that political and economic news has a positive and significant impact on banking index fluctuations.

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经济和政治事件加权对银行集团指数波动的不对称影响(以德黑兰证券交易所为例)

近年来，证券交易所投资者对银行集团的关注越来越多，以至于在很多情况下，银行指数的走势改变了市场的大方向。因此，无论是从投资者的角度，还是从市场的方向，对银行业指数波动进行探讨都是非常重要的。目的是通过使用2018-2019年期间的1460条每日记录和GARCH家族方法，研究新闻作为形成波动性的最重要因素之一对德黑兰证券交易所银行集团指数的有效性和方向。这些数据是为四个不同的新闻组收集的，包括经济、政治、心理和金融。之后，根据资本市场专家和经济精英的观点，在权重阶段将与银行集团关系更密切的新闻分开强调，分为正面新闻和负面新闻。结果表明，新闻组对集团指数有显著影响，只有负面政治模型对银行集团有不对称影响。结果表明，政经新闻对银行指数波动具有显著的正向影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Journal of Money and Economy

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