Financial Globalization and Stock Return: Theory and Evidence from Time Series Data

Document Type : Research Paper

Authors

1 Assistant Prof. in Economic, University of Kurdistan, Sanandaj, Iran

2 Ph.D. Student of Financial Management, Islamic Azad University, North Tehran Branch, Tehran, Iran

Abstract

In recent decades the world economy has witnessed vast changes that mainly occurred because of the emergence of factors that make up globalization. The purpose of this study is to evaluate the impact of financial globalization on stock return. In this respect, total foreign direct investment and investments in portfolios are employed as indicator of financial globalization. Also, among the other macroeconomic variables affecting the stock return, GDP, liquidity, inflation, market exchange rate and oil revenues are considered. This study applies the Bounds test and Autoregressive Distributed Lag (ARDL) models for Iranian economic during 1997-2015. The results provide a positive relationship between financial globalization and stock return. In other words, expansion of financial globalization lead to increase in stock return in Iran.

Keywords

Main Subjects


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