Localization of Uncertainty Index Model in the Tehran Stock Exchange

Abstract

The main problem in this study is to determine the key categories and components of developing an appropriate uncertainty model of the Tehran Stock Exchange. This study was aimed at localizing the uncertainty index model of the Tehran Stock Exchange. Quantitative and qualitative methods were concurrently used for this study. To carry out the qualitative section of the study, key concepts and relevant indicators were identified using Systematic Grounded Theory, while for the quantitative section, the findings were measured using mathematical and statistical methods. In this connection, necessary tests were carried out to investigate the volatility of the index under study. Then, stochastic differential equations were used to localize the uncertainty index model of the Tehran Stock Exchange. According to the findings, macroeconomic variables such as housing market, gold, and coin market, bank interest rates and foreign exchange market, and, most importantly, inflation rates, each of which being interrelated and affecting the stock market index were examined. Securities were also found to be influential. This study also provides a local index model of uncertainty in the Tehran Stock Exchange. This model includes all the variables affecting the Stock Exchange index, demonstrates the interrelationship between the variables and explains the theoretical concepts behind these variables in the subset of variables.