چکیده:
This study investigates the separate relationships between three macroeconomic
variables—the consumer price index, oil prices, and foreign exchange rates—and the
consolidated price movements of a 28-industry index of stocks listed on the Tehran Stock
Exchange during 2010–2014. We hypothesize a significant and direct relation between
each macro variable and price movements of the 28-industry index. To test our
hypotheses, we use econometric methods that include ordinary least squares (OLS), linear
regression, the Dickey–Fuller test, the Phillips–Perron unit root test, the F test, and the
White test. Results indicate a direct and significant relation between the CPI and the 28-
industry index. However, results confirm that there is no significant relation between
either the oil price or the exchange rate and the index during the period examined.
خلاصه ماشینی:
Evaluation of the Relationship between Macroeconomic Variables and Industrial Price Index In Tehran Stock Exchange Ali Tazik1*, Fatemeh Tazik2, Athar Tazik3 and Amir Hassan Susaraie4 1Department of Accounting and Management, Ali Abad katoul Branch, Islamic Azad University, Ali Abad Katoul, Iran 2Department of Accounting and Management, Ali Abad katoul Branch, Islamic Azad University, Ali Abad Katoul, Iran 3Department of Accounting and Management, Ali Abad katoul Branch, Islamic Azad University, Ali Abad Katoul, Iran 4Department of Accounting and Management, Islamic Azad University, Gonbad Kavoos Branch,, Gonbad Kavoos, Iran Original Article: Received 10 April.
3 – Previous Research Background Chakravarty (2006) examined the relationship between Indian stock prices and several macroeconomic variables (inflation, money supply, exchange rate, and gold price) from 1991 to 2005 using monthly serial statistics.
Ahmed (2008) evaluated the relationship between macroeconomic variables (industrial products, exports, direct foreign investment, money supply, exchange rate, and interest rate and stock prices in India.
1 This reference is not cited in the reference list } evaluated the effects of macroeconomic variables (inflation rate, real exchange rate, and house price index) and confirmed a balanced relationship among variables using statistical regression and the Johansen maximum likelihood estimator.
Ghasem Zadeh (2005) evaluated the long-term relationship of the Tehran Stock Exchange All-Shares Price Index (TEPIX) with macro monetary variables using portfolio theory and Fisher’s fundamental theory.
However, this study found no significant relation of either the price of oil or exchange rate with a 28-industry index of Iranian stocks.
The evaluation of macroeconomic variables effect on the industry price index of the accepted companies in Tehran Stock Exchange.