Estimating the impact of fundamental macroeconomic factors on the capital market (combined data approach with different frequency)

Abstract: As one of the pillars of financing countries, the stock market plays a key role in the prosperity of economic activities. The key position of the stock market has caused many researches to be conducted to identify the factors affecting it. This market provides a platform to provide an incentive to savers and provide their surplus resources to investors by investing in the shares of economic enterprises or securities, and therefore plays an important role in improving Investment and improvement of economic growth plays a role. This research was written with the aim of investigating the effects of macroeconomic variables on the state of the stock market, and it was carried out using the self-regression method with distribution breaks with the approach of data with different frequencies (MIDAS). This method is a special form of regression with distribution intervals in which the independent variables have a higher frequency per unit of time than the dependent variable, and in other words, in this method, there is a trade-off between the benefit of using more information and the cost of having more parameters for estimation. There is. The fundamental variables used in this research include gross domestic product, interest rate, oil price, exchange rate and inflation. In this research, after examining the necessary statistical tests for explanatory and dependent variables, the time period of this research was chosen between 1370 and 1401. The results of the Midas model show that the price of oil, liquidity and exchange rate have a positive and significant effect on the behavior of the stock market and can be considered as an explanatory factor of the stock market index in the long term. The previous proposition means that the increase of the mentioned variables was accompanied by the increase of the stock market index. Also, the results show that the price of oil leads to the improvement of the market situation due to the increase in government revenues and its non-intervention in the stock market. The exchange rate provides the basis for the growth of the stock market index by increasing the profitability of export companies, increasing the profitability of non-export companies through the nominal growth of profits, and increasing the value of assets through the creation of inflation in the economy. Liquidity also affects the improvement of the market on the one hand by creating inflation and on the other hand by increasing market liquidity and prosperity in it. Among the important findings of this research is the positive impact of variables on the stock market, which at the level of macroeconomics, there are controversial issues regarding the negative effects of their increase. In particular, the two variables of exchange rate and liquidity are among the variables whose increase has been accompanied by the occurrence of inflation in Iran's economy. Therefore, to improve the stock market, the set of adopted policies should be comprehensive and avoid partiality. In fact, although the increase of the aforementioned variables can lead to the growth of the stock market, it can also have negative effects on the macroeconomic level.