Study of relationship between macroeconomic variables and stock returns in Tehran Stock Exchange
Journal Title: International Research Journal of Applied and Basic Sciences - Year 2014, Vol 8, Issue 4
Abstract
This study aimed to determine the relationship between the growth rate of long-term stock returns and a set of macroeconomic variables such as inflation, growth rate, liquidity, exchange rate and oil revenues, was performed. In this study, quarterly data for the period 1999-2009 using time series methods, are analyzed. Dickey Fuller unit root test showed that the level of liquidity growth rate and other variables in first difference are stable. Test results also indicate the existence of co-integration relationship between the economic variables and growth rates of return index TEPIX.
Authors and Affiliations
Seyed Reza Bahari Saravi| MA of economic and social systems engineering - Department of Industrial Engineering and Management Systems - Amirkabir University of Technology, email: baharireza@chmail.ir, Mehdi Goudarzian Orimi| Master Student of Accountancy, Islamic Azad University of Sari Research Science Branch
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