A Study of Stock Return Cointegrationbetween Bank and Credit Institution and Chemical Products Industry in Tehran Stock Exchange
Journal Title: Journal of Science and today’s world - Year 2014, Vol 3, Issue 5
Abstract
In this study the relationship between Stock Return Integration between bank and credit institutions and chemical products industry in Tehran Stock exchange has been investigated. The sample of the study was selected from bank and credit institutions and chemical products industry during 2006 to 2013. For testing hypotheses related to the selected hypotheses in addition to statistical descriptive analyses, inferential analysis is also used and considering the type of scale, the data collected and the main aim of the study multivariate regression was used for analysis.After fitting regression model the related statistics were analyzed and then significance test βhas been carried out for each independent variable.In the present study, for investigating cointegration between return between bank and credit institutions and chemical products industry in Tehran Stock Exchange Engle-Granger method and for determining the stationary of variables Augmented Dickey Fuller method has been used. The hypotheses were studied in proportionate to the two industries and finally in all models a significant relationship was found between the returns of bank and credit institutions and chemical products industry and cointegrationwas confirmed between the returns of these two industries.
Authors and Affiliations
seyed farshid masoumi, Reza Tehrani, saeed shirzadi
Keywords
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