Document Type : Original Article
Authors
1
Associate Professor of Management, Shahid Chamran University, Ahvaz, Iran
2
Assistant Professor of Management, Shahid Chamran University, Ahvaz, Iran
3
M.A. in Business of Management, Shahid Chamran University, Ahvaz, Iran
Abstract
In this study, we collected weekly and monthly data for net capital flow, Tehran Exchange Index, Dollar prices and gold coins in free market, bank deposit interest rates and the inflation rate over a period of three and a half years from March 21st, 2009 to September 21st, 2012. After the initial calculations for extracting time series related to growth rate, weekly and monthly returns, and conducting Unit Root and multicollinearity Tests, our decision on the final model for this study was the dynamic Autoregressive-Distributed Lag (ARDL). Results showed that based on weekly gathered data, stock market returns in the previous week, the first interval, positively affect current week’s net capital flow. In addition, net capital flow in the previous two weeks, the first and the second intervals, positively influences current week’s net capital flow. However, coin market returns and the inflation rate negatively influence net capital flow. Based on monthly gathered data, net capital flow in the previous month, the first interval, positively affects the net capital flow in the current month. However, net capital flow of the last two months, the inflation rate, and coin market return have a negative impact on net capital flow of investment funds in the current month. In both weekly and monthly models, no evidence supporting the influence of interest rates and dollar market return on net capital flow was found.
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