Linear and Nonlinear Response of Stock Market Segments to Gold, Currency and Oil Price Movements

The purpose of this study is to investigate the linear and nonlinear response of stock market segments to gold, currency and oil price movements. The statistical population of the study is the companies that are listed in the Tehran Stock Exchange. Research data are reviewed during the years 2010 to 2020. The research data is time series and linear and nonlinear regression methods are used to test the research hypothesis. The results show that in the short run, stock prices in intervals 1, 3 and 7 have a positive effect and in intervals 2, 4, 6 and 8 have a negative effect on stock prices in the current period. According to the parent test, overall stock prices are positively affected by their breaks. Also, in the long run, both positive and negative shocks of oil prices have a significant effect on the stock index, the elasticity of the index to world oil prices is about 70%. Unlike oil prices, the exchange rate and gold have a positive effect on stock prices in Iran. According to the results of the estimated coefficients of the nonlinear pattern, the stock price as a whole is positively affected by its intervals