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:: Volume 21, Issue 67 (Quarterly Journal of Economic Research and Policies 2013) ::
qjerp 2013, 21(67): 89-104 Back to browse issues page
The Effect of Macroeconomic Variables on Systematic Risk of Tehran's Stock Exchange
Abolfazl Shahabadi * , Mohammad Kazem Naziri , Sahar Havaj
Abstract:   (7791 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 investigated the relationship between Systematic risk of market and some macroeconomic variables such as inflation, exchange rate, private investment in real estate. Furthermore the relationship between these macroeconomic variables and Tehran stock market return also has been studied. Monthly data during 2001 to 2009 and GARCH-M model have been used in this study. Results showed 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 380 kb]   (3877 Downloads)    
Type of Study: Research | Subject: Special
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Shahabadi A, Naziri M K, Havaj S. The Effect of Macroeconomic Variables on Systematic Risk of Tehran's Stock Exchange. qjerp 2013; 21 (67) :89-104
URL: http://qjerp.ir/article-1-769-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 67 (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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