Transactions on Data Analysis in Social Science

Transactions on Data Analysis in Social Science

The Impact of Interest Rate Changes on Stock Returns of Private Banks Accepted in Tehran Stock Exchange

Document Type : Original Article

Authors
N. Jafari Azarki 1
M. M. Noorbakhsh Langrudi 2
1 Master of Business Management, Finance Orientation, Young Researchers Club, Langroud Branch, Islamic Azad University, Langroud, Iran
2 Assistant Professor at Department of Economics, Islamic Azad University, Rasht, Iran
10.47176/TDASS/2020.1
Abstract
The main objective of this research is to study the effect of interest rate changes on stock returns of private banks accepted in Tehran Stock Exchange. The research hypotheses test was performed by regression analysis using the ordinary least squares (OLS) method and combined data. The statistical population of the research includes three private banks accepted in Tehran Stock Exchange which their seasonal returns are studied during a 6-year period from 2005 to 2010. Levin-Lin-Chu unit root test indicates that the interest rate variable and other variables are reliable at the first order difference. Results show that the interest rate has a significant negative effect on the stock return of private banks accepted in the stock exchange with 95% confidence level. So, one unit change in the interest rate leads to 10.83 units decrease in the stock return of private banks accepted in Tehran Stock Exchange.
Keywords
Interest rate
efficiency of stocks
multivariable regression
ordinary least squares (OLS)
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Transactions on Data Analysis in Social Science
Volume 2, Issue 1
2020
Pages 1-9

  • Receive Date 07 October 2019
  • Revise Date 16 November 2019
  • Accept Date 28 February 2020