Aim and Introduction
Achieving sustained and long-term economic growth necessitates the optimal allocation and utilization of resources at the national level. This goal relies heavily on the existence of efficient financial markets, particularly well-functioning and extensive capital markets. Numerous macroeconomic variables can influence the level of risk associated with shareholder rights, corporate cash flows, and adjusted discount rates. Additionally, changes in economic conditions can alter both the quantity and nature of investment opportunities.
However, establishing a fixed and consistent relationship between macroeconomic variables and stock price indices remains challenging. The complex and dynamic nature of financial markets makes it difficult to identify a method that accurately reflects economic conditions and captures the most critical influencing variables. Therefore, this study employs machine learning models to identify the key macroeconomic factors affecting stock price indices.
Methodology
Feature selection is one of the most common and crucial techniques in data preprocessing and serves as an essential component of machine learning. This study employs feature selection models to identify the most relevant predictors of the stock price index. The models utilized include the random forest method and regularized linear regression. To examine the nature of the relationships between variables, the jointness method was applied. Additionally, the mutual information analysis was conducted to assess the influence of key variables over different decades, enabling a deeper understanding of how the impact of macroeconomic factors on stock prices has evolved over time.
Findings
The study analyzed the impact of selected macroeconomic variables on stock price indices, focusing on the Tehran Stock Exchange. The findings from the Random Forest (RF) and Regularized Linear Regression (RLR) models indicate that exchange rates, financial development, inflation, economic growth, trade openness, and global uncertainty significantly influence Iran’s stock price index. The results demonstrate that global uncertainty, interest rates, and trade openness exert negative effects on stock prices, whereas the other variables positively influence stock prices.
The jointness method was employed to analyze the relationships between these variables, further confirming their significance. Moreover, the Mutual Information method was used to examine how the influence of these key variables varied across different decades.
Discussion and Conclusion
Among the variables examined, exchange rates, financial development, inflation, economic growth, trade openness, and global uncertainty emerged as the most significant factors influencing Iran’s stock price index. This finding is not surprising, given Iran’s historical experience with significant exchange rate fluctuations and persistent inflationary pressures. Global uncertainty has consistently influenced domestic markets in Iran due to political and economic instability. Previous research has highlighted the complex relationship between exchange rate fluctuations and stock price indices (Ratanapakorn & Sharma, 2007). Scholars have argued that the relationship between stock prices and exchange rates can significantly affect monetary and fiscal policy, as a recessionary stock market can reduce overall demand and impact broader economic performance.
Extensive research has also investigated the relationship between inflation and stock prices, identifying inflation as a significant factor affecting stock indices
(Boudoukh & Richardson, 1993; Fama & Schwert, 1977; Jaffe & Mandelker, 1976) . While some studies have reported a positive correlation between inflation and stock prices, others have found a negative relationship.
Moreover, trade openness has been recognized as a key factor influencing stock market fluctuations. Open economies are more vulnerable to external shocks due to increased global risk-sharing among markets. Although some studies have not found conclusive evidence of a direct effect between trade openness and stock prices, trade openness remains one of the influential factors (Nickmansh, 2016).
Stock prices reflect the present value of future cash flows, which are subject to two main effects: cash flow changes driven by increased production and interest rates, which serve as a discount factor. Stock prices tend to decline when expected cash flows decrease or interest rates rise. The level of actual economic activity directly influences cash flows, as higher economic activity generally leads to increased cash flow. Among the various indicators used to predict commodity markets, real Gross Domestic Product (GDP) is considered the most comprehensive measure of economic activity (Yuhasin, 2011; Christopher et al., 2006).
Aim and Introduction
Over the past few decades, the housing market has experienced recurrent boom-and-bust cycles and considerable price volatility. A significant portion of this volatility can be attributed to speculative activities. Speculators often purchase properties with the expectation of future price increases, which contributes to the formation of housing price bubble. These bubbles not only destabilize the economy but also lead to serious social consequences. As such, policymakers have consistently focused on identifying the determinants of speculative behavior and housing market bubbles. One of the government’s regulatory instruments in this domain is the transfer tax, intended to influence trader behavior and mitigate housing price bubbles. This study investigates the effect of transfer tax policies on the housing price bubble in Shiraz city.
Methodology
This research employs an Agent-Based Model (ABM) to simulate the dynamic processes of the housing market and analyze the contributing factors to price bubble formation. The model incorporates four key agents active in the housing market: sellers, buyers (including both personal-consumption and speculative buyers), developers, and real estate agencies. Data and statistics up to the beginning of 1401 (2022) were incorporated into the model to forecast housing prices in Shiraz through 1409 (2030).
Three scenarios were tested by varying the proportion of speculative buyers—30%, 50%, and 70%—and applying different transfer tax rates of 1% and 5%. The simulation explores how these variables influence the magnitude and growth of the housing price bubble under different market conditions.
Results and Discussion
The findings reveal that, regardless of the proportion of speculative buyers, the implementation of transfer taxes can reduce the housing price bubble in Shiraz. However, the extent of this effect varies with market conditions. These results align with prior studies, such as Chen (2017) and Izadkhasthi et al. (2018), which found that transfer taxes can mitigate housing price volatility.
Proponents of transfer taxes argue that speculative activities drive housing price bubbles and that such taxes increase transaction costs, thereby reducing speculative trading and contributing to market stability. For instance, with a 70% speculative buyer share and a 5% tax rate, the housing price bubble decreased by approximately 25% between 1401 and 1409. In contrast, a 1% tax rate under the same market conditions led to a 22% reduction in the bubble. However, when only 30% of buyers were speculative, the tax had a comparatively more minor effect, indicating that the efficacy of the tax diminishes when fewer speculators are present.
Conclusion
The results suggest that increasing the transfer tax rate does not necessarily reduce the housing price bubble. In scenarios with 30%, 40%, and 50% speculative buyer presence, higher average tax rates did not result in a significant reduction in the housing bubble and, in some cases, slightly intensified it. This supports earlier warnings in financial economics literature—such as those by Schwert and Seguin (1993) – that excessive transaction taxes may deter informed traders, who play a vital role in maintaining market efficiency and price stability. Similarly, Friedman (1953) emphasized the stabilizing role of rational traders in financial markets.
According to the simulation results, Article 59 of Iran’s Direct Taxes Law, which stipulates a 5% transfer tax, may help reduce housing bubbles in Shiraz and potentially nationwide. However, the optimal tax rate should be adaptive and context-specific, considering the varying proportions of speculative and non-speculative market participants. Therefore, the government is advised to collect comprehensive data on the structure of the housing market, assess the share of speculative transactions, and adjust tax rates accordingly.
Moreover, since the transfer tax only applies to documented transactions, many informal or contract-based transactions—particularly those occurring prior to property completion—escape taxation. In such cases, builders may sell properties through promissory notes or undocumented agreements, which are difficult to track and tax. As a result, it is recommended that the government strengthen monitoring mechanisms for such transactions. This includes identifying and intercepting units exchanged informally or without official documentation to ensure both effective taxation and bubble control.