The Relationship between Stock Market and Macroeconomic Variables: a Case Study for Iran
نویسنده: mehrara، mohsen؛
زمستان 1385 - شماره 18 ISC (12 صفحه - از 51 تا 62)
"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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