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The Impact of Macroeconomic Variables on Stock Prices:The Case of Tehran Stock Exchange

Ali Hassanzadeh () and Mehran Kianvand ()
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Ali Hassanzadeh : Monetary and Banking Research Institute (MBRI), Central Bank of the Islamic Republic of Iran (CBI)
Mehran Kianvand : Islamic Azad University

Journal of Money and Economy, 2012, vol. 6, issue 2, 171-190

Abstract: This paper examines the effects of selected macroeconomic variables on the stock market index in Iran. Using quarterly data, we examine the relationships between the Tehran Stock Index (TSI) and five macroeconomic variables which consist of gross domestic product, nominal effective exchange rate, money supply, gold coin price and investment in housing sector from 1996:1 to 2008:1.Various econometric analyses such as Co-integration and Vector Error Correction Method (VECM) are employed on time series data. It finds that Iran's stock market index is positively influenced by the growth rate of the GDP, the money supply and negatively affected by the gold prices, the private sector investment in housing sector and the nominal effective exchange rate.

Keywords: Stock Market; Macroeconomic Variables; Co-integration (search for similar items in EconPapers)
JEL-codes: E44 G10 G12 (search for similar items in EconPapers)
Date: 2012
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