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The Relationship between Stock Market and Macroeconomic Variables: a Case Study for Iran


ISC (12 صفحه - از 51 تا 62)

کلید واژه های ماشینی : The Relationship Stock Market Macroeconomic، Relationship Stock Market Macroeconomic Variables، Stock، Relationship Stock Returns Exchange Rates، Exchange Rate Stock Prices Stock، Rate Stock Prices Stock Market، Exchange Rates Stock Prices، Stock Returns Real Activity، Granger، The Tehran Stock Exchange

خلاصه ماشینی:

"The purpose of the present study is to investigate the empirical relationship between stock prices and macroeconomic aggregates: industrial productions, trade balance, money supply in the Tehran Stock Exchange (TSE) using quarterly data that span from 1372-01 to 1383-04. Specifically, in this study we test for market informational efficiency in TSE, by testing the existence of a long-run causal relationship between macroeconomic aggregates and stock prices using Granger non-causality test proposed by Toda and Yamamoto (1995). So, we first conduct augmented Dickey_Fuller (ADF) and Phillips-Perron (PP) tests to establish the order of integration for the real economic activity (IP), stock price (TEPIX), trade balance (TB) and money stock (M1) series. More over, we Table 2: Results of long run Ca‌usality due to Toda-Yamamoto (1995) Null Hypothesis MWALD Statistics p-values Stock price versus money supply TEPIX does not Granger cause M1 4. 04 fail to reject the null hypothesis of Granger non-causality from stock price to macro variables including money supply, value of trade balance and industrial production at 5% level of significance. The main objective of the present paper is to determine the lead and lag relationships between the Iran stock market and three key macroeconomic variables: Money Supply (M1), Trade Balance (TB) and Industrial Production (IP). So, the stock price index is not a leading indicator for economic variables, which is inconsistent with the findings that the stock market rationally signals changes in real activities (Fama, 1991; Geske & Roll, 1983)."

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