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The Effect of Macroeconomic Variables on Systematic Risk of Tehran's Stock Exchange
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Abbas Memar Nejad   , Mahmoud Babazadeh * |
| , babazadeh_ma@yahoo.com |
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Abstract: (9273 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 |
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| Keywords: ARCH Model, GARCH-M Model, Tehran\'s Stock Exchange, Risk, Return. |
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Full-Text [PDF 376 kb]
(4552 Downloads)
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Type of Study: Research |
Subject:
Special
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