Asymmetric Effects of Housing Price on Iran Stock Market Participation: Quantile Regression Approach

Document Type : Research Article

Authors

1 Assistant Professor, Department of Economic Sciences, Faculty of Humanities and Social Sciences, University of Kurdistan, Sanandaj, Iran

2 Ph.D. Student of Economic Sciences, Department of Economics, School of Economic and Social Sciences, Bu-Ali Sina University, Hamadan, Iran

Abstract

Increasing people's participation in the capital market is one of the important discussions in the process of economic development. Housing as a capital good and stocks are important channels in the assets market. It is of high interest to investigate the influence of these markets on each other and how housing prices can influence them and interact with them. The current research is different in its contecnt and methodology than previous studies in the followimg ways: 1- Estimation of the asymmetric effects of housing prices on participation in the Tehran Stock Exchange. 2- Using the asymmetric quantile regression method to investigate the participation model in the Iranian stock market. The main aim of this research is to investigate the asymmetric effects of housing prices on the participation rate in the Iranian stock market. The method used is quantile regression as it allows to present the influence of independent variables in all parts of the distribution, especially in the beginning and end sequences, without violating the classical assumptions and outlier data in the estimation of coefficients. The variables presented in the model are: logarithm of stock market index, logarithm of gold price, logarithm of unofficial exchange rate, logarithm of housing price, logarithm of GDP per capita and interest rate. The time period of this research is 1991 to 2020. The results show that housing prices in different quantiles of participation in the stock market had negative and significant effects on stock market participation. The estimation results show that the absolute value of the currency elasticity of participation in the stock market is smaller than 1, with negative sign and significant. Among other results, the negative and significant effect of gold price and interest rate, mostly  in the upper deciles are worth noting. GDP per capita and stock market efficiency have had a positive and significant effect on participation in the stock market.

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Main Subjects

References

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Journal of Applied Economics Studies in Iran
Volume 11, Issue 43
December 2022
Pages 39-69

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