Master's thesis in the field of economic-social systems engineering
Program trend system breakdown economic
February 2013
Abstract:
Given the importance of financial markets and since the stock exchange is one of the most important pillars of this market, and on the other hand, the importance of banks as one of the most important centers for collecting savings and granting facilities, in this research, the effect of real interest rates on the nominal returns of selected industries in the stock exchange is investigated. The price of Tehran was calculated based on wavelet transformation. In this research, monthly data was used during the period from April 2015 to September 2013. This approach analyzes the studied time series in different time scales. Based on this, the time series have been divided into 6 detail levels and a smooth level.
The results of this study indicate that the real interest rate on the nominal returns of petroleum products industry stocks in the time horizons of 2 months, 4 months, 16 months, 32 months and 64 months and chemicals in the time horizons of 2 months, 4 months, 16 months month and 64 months, and the transportation industry has a negative and significant effect on the levels in the time horizons of 8 months, 16 months, and 64 months, and the sugar industry in the time horizons of one month, 8 months, 16 months, and 32 months.
Also, the real interest rate has a significant effect on the nominal return of banks, credit, financial, and radio industries in the 32-month time horizon of Meriut to the level of D6 and The pharmaceutical products and materials industry has a positive and significant effect in the time horizons of one month, 2 months, 4 months and 8 months.
In the mass industries of real estate and real estate, basic metals and automobiles, and manufacturing parts, the real interest rate does not have a significant effect on stock returns at any of the levels.
Also, the models used at all levels and in all industries have a high explanatory power, in Longer term, the power of explanation increases. Chapter 1: Overview of the research Introduction: Interest rate, as one of the important factors in investment and supply and demand of funds, plays a key role in investment and total supply and demand, and is very important in the money and capital market. The main purpose of this thesis is to examine the effect of interest rates on stock returns of Tehran Stock Exchange at all levels of the industry in different time scales. using the wavelet method. This method is based on the multi-scale wavelet method, which decomposes certain time series on a scale-by-scale basis. The main advantage of wavelet analysis is the ability to break down information into several time scales and the ability to work with unknown information, localization in the time dimension, and the separation of signals for the purpose of scale analysis. it is time The use of wavelet analysis enables us to study the dynamic relationship between interest rates and stock returns in the field of Let's talk about time and frequency domain, which will open a way for a deeper understanding of the real relationship between these variables. Knowledge of the relationship between interest rates and stock prices in different time scales is undoubtedly one of the topics of interest. Investors, portfolio managers, company managers and monetary policy makers provide important and vital information for risk management and asset allocation, portfolio management or decisions in the field of monetary policies. 1-1) The main research problem The main research problem is whether it is possible to Using wavelet transformation, a certain relationship between stock returns and interest rates Get it or not? Maybe at some time – Different scales of the presence or absence of the relationship are different and the intensity of the relationship in some situations may be affected by the time-scale.The main question is, does the bank interest rate have a significant effect on the stock returns of selected industries? There is also the question whether the amount of this effect is different in different scales?
1-2) Description and statement of the issue
Financial markets are one of the most fundamental markets of the country. The conditions of these markets strongly influence the real sectors of the economy and are strongly influenced by other sectors (not only in the short term) (Samadi et al., 2016).
Awareness of the factors affecting the returns of industrial stocks is important. One of these factors is the economic factors that greatly affect the economic prosperity and recession of the stock market, so that during the period of economic prosperity, with an increase in investment in stocks, companies and as a result of growing industries, their stock prices will increase, and in a recession, their stock prices will decrease, because in these conditions, investing in financial assets with fixed income is superior to investing in common stocks. (Bahar-e-Moghadam, 2013).
Changes in some macroeconomic variables such as bank interest rate, inflation rate, exchange rate, gold rate, volume of liquidity and many other macro-variables affect the demand of people to keep their assets, including stocks.
In order to achieve economic growth and development, investment is considered one of the important and key factors. Since depositing in the bank is a risk-free investment and, on the other hand, investing in the stock exchange is considered a high-risk investment, risk-averse investors look for risk-free investments. By entering the market, the risk-averse transitioner tries to maximize his return and minimize his risk. In the first step, he seeks to answer the question whether he can increase his yield (without increasing risk) or reduce his risk (without decreasing yield)? Finally, it is these motivations to achieve risk-free profit or a portfolio with risk-free investment that leads the market towards efficiency (Badri and Sadeghi, 2015). Therefore, risk-averse people turn to depositing in banks and financial institutions, which is considered risk-free investment, which is the most common. The types of deposits in banks and financial institutions are as follows: short-term (date), three months, six months, nine months, one year, two years, three years, four years and five years. Each of these deposits has an interest rate. As one of the important factors in investment and supply and demand of funds, the interest rate plays a key role in investment and supply and demand and is of great importance in the money and capital market. The main goal of this research is to present an approach The purpose of this research is to investigate the effect of interest rates on the nominal returns of selected industries in the Tehran Stock Exchange. In this approach, each time series is divided into different time scales and this makes it possible to Namana's data[1] can be worked better. Also, this analysis helps to examine the relationship locally, which may increase the accuracy in finding relationships between phenomena. The use of wavelet analysis enables us to study the dynamic relationship between interest rates and stock returns in the time domain and the frequency domain, which leads to a deeper understanding of the real relationship between these variables. 1-3) Necessity of conducting research. Considering that this topic is one of the topics being investigated in the world and the method used in it is a method to solve the shortcomings of traditional methods, it can be expected that this research can solve some of the limitations of traditional methods and be effective in the scientific analysis of financial and economic phenomena. Dealing with this method and examining specific issues and current topics of Iran's economy can be the most important strength of this research. 1-4) Research hypotheses The effect of real interest rate on the nominal returns of selected industries is significant and different.