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:: Volume 21, Issue 66 (Quarterly Journal of Economic Research and Policies 2013) ::
qjerp 2013, 21(66): 178-208 Back to browse issues page
The Effect of Macroeconomic Variables on Systematic Risk of Tehran's Stock Exchange
Abbas Memar Nejad , Mahmoud Babazadeh *
, babazadeh_ma@yahoo.com
Abstract:   (9098 Views)
According to the Capital Pricing Model (CAPM), market return is related to risk associated with macroeconomic health of the economy, which in turn affects systematic risk component. This study was aimed at investigating and risk of market return fluctuations as well as the relationship between macroeconomic variables, such as inflation rate, exchange rate, private investment in real estate and total stock market return risk. Monthly data during 2001 to 2009 and GARCH-M model have been used in this study. Results show that inflation rate and housing return rate have negative effects on systematic risk but, risk premium and exchange rate coefficient are not significant
Keywords: ARCH Model, GARCH-M Model, Tehran\'s Stock Exchange, Risk, Return.
Full-Text [PDF 376 kb]   (4364 Downloads)    
Type of Study: Research | Subject: Special
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Memar Nejad A, Babazadeh M. The Effect of Macroeconomic Variables on Systematic Risk of Tehran's Stock Exchange. qjerp 2013; 21 (66) :178-208
URL: http://qjerp.ir/article-1-733-en.html


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Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Volume 21, Issue 66 (Quarterly Journal of Economic Research and Policies 2013) Back to browse issues page
فصلنامه پژوهشها و سیاستهای اقتصادی Journal of Economic Research and Policies
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