The Impact of Macroeconomic Variables on the Stock Market: Evidence from Tehran Stock Exchange Market
This paper examines the influence of macroeconomicvariables on stock market equity valuesin Tehran Stock Exchange Market. We use the Tehran Stock Exchange Market all share price index to represent the stock market and (a) moneysupply, (b) interest rate, (c) consumer price index (as a measure of infl...
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2008-09-01
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| Series: | فصلنامه پژوهشهای اقتصادی ایران |
| Subjects: | |
| Online Access: | https://ijer.atu.ac.ir/article_3569_ca82d464476f9d382f90a0da531f64b6.pdf |
| _version_ | 1797369417351299072 |
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| author | Ezatollah Abbasian Mahdi Moradpour Oladi Vahid Abbasiuon |
| author_facet | Ezatollah Abbasian Mahdi Moradpour Oladi Vahid Abbasiuon |
| author_sort | Ezatollah Abbasian |
| collection | DOAJ |
| description | This paper examines the influence of macroeconomicvariables on stock market equity valuesin Tehran Stock Exchange Market. We use the Tehran Stock Exchange Market all share price index to represent the stock market and (a) moneysupply, (b) interest rate, (c) consumer price index (as a measure of inflation), (d) exchangerate and (e) trade balance as macroeconomic variables. We use the data quarterly data for the above variables for the 20 quarterly periods from Farvardin 1377 to Esfand 1384 employinga battery of tests, which include unit roots,cointegration, vector error correction models (VECM), impulse response functions (IRFs) and variancedecompositions (VDCs). These tests examineboth long-run and short-run relationships between the stockmarket index and the economic variables.The VECM analyses provides some support for the argument that the lagged values of macroeconomic variableshave a significant influence on the stock market. Both VDC and IRF analyses reveal thatshocks to economic variables explained onlya minority of the forecast variance error of the market index and the effects do not persist for verylong. |
| first_indexed | 2024-03-08T17:46:27Z |
| format | Article |
| id | doaj.art-e954819f054149d9abb2882a724b9f70 |
| institution | Directory Open Access Journal |
| issn | 1726-0728 2476-6445 |
| language | fas |
| last_indexed | 2024-03-08T17:46:27Z |
| publishDate | 2008-09-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | فصلنامه پژوهشهای اقتصادی ایران |
| spelling | doaj.art-e954819f054149d9abb2882a724b9f702024-01-02T10:28:22ZfasAllameh Tabataba'i University Pressفصلنامه پژوهشهای اقتصادی ایران1726-07282476-64452008-09-0112361351523569The Impact of Macroeconomic Variables on the Stock Market: Evidence from Tehran Stock Exchange MarketEzatollah Abbasian0Mahdi Moradpour Oladi1Vahid Abbasiuon2Assistant Professor in Economics, Department of Economics, Bu-Ali Sina University, HamedanMA in EconomicsMA in Financial ManagementThis paper examines the influence of macroeconomicvariables on stock market equity valuesin Tehran Stock Exchange Market. We use the Tehran Stock Exchange Market all share price index to represent the stock market and (a) moneysupply, (b) interest rate, (c) consumer price index (as a measure of inflation), (d) exchangerate and (e) trade balance as macroeconomic variables. We use the data quarterly data for the above variables for the 20 quarterly periods from Farvardin 1377 to Esfand 1384 employinga battery of tests, which include unit roots,cointegration, vector error correction models (VECM), impulse response functions (IRFs) and variancedecompositions (VDCs). These tests examineboth long-run and short-run relationships between the stockmarket index and the economic variables.The VECM analyses provides some support for the argument that the lagged values of macroeconomic variableshave a significant influence on the stock market. Both VDC and IRF analyses reveal thatshocks to economic variables explained onlya minority of the forecast variance error of the market index and the effects do not persist for verylong.https://ijer.atu.ac.ir/article_3569_ca82d464476f9d382f90a0da531f64b6.pdfmacroeconomic variables . stock returns . cointegration . causality |
| spellingShingle | Ezatollah Abbasian Mahdi Moradpour Oladi Vahid Abbasiuon The Impact of Macroeconomic Variables on the Stock Market: Evidence from Tehran Stock Exchange Market فصلنامه پژوهشهای اقتصادی ایران macroeconomic variables . stock returns . cointegration . causality |
| title | The Impact of Macroeconomic Variables on the Stock Market: Evidence from Tehran Stock Exchange Market |
| title_full | The Impact of Macroeconomic Variables on the Stock Market: Evidence from Tehran Stock Exchange Market |
| title_fullStr | The Impact of Macroeconomic Variables on the Stock Market: Evidence from Tehran Stock Exchange Market |
| title_full_unstemmed | The Impact of Macroeconomic Variables on the Stock Market: Evidence from Tehran Stock Exchange Market |
| title_short | The Impact of Macroeconomic Variables on the Stock Market: Evidence from Tehran Stock Exchange Market |
| title_sort | impact of macroeconomic variables on the stock market evidence from tehran stock exchange market |
| topic | macroeconomic variables . stock returns . cointegration . causality |
| url | https://ijer.atu.ac.ir/article_3569_ca82d464476f9d382f90a0da531f64b6.pdf |
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