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Stock Market and Macroeconomic Variables: a Case Study for Iran
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Maysam Musai *   , Nader Mehregan , Hossein Amiri |
| , mousaaei@ut.ac.ir |
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Abstract: (19253 Views) |
| This paper examines the causal relationship between stock prices and macroeconomic aggregates in Iran, by applying the techniques of the long–run Granger non–causality test based on cointegration analysis. We test the causal relationships between the TEPIX Index and the four macroeconomic variables: money supply, GDP and exchange rate using quarterly data for the period 1370:1 to 1385:4. The results show unidirectional long run causality from macroeconomic variables to stock market. Accordingly, the stock prices are not a leading indicator for economic variables, which is inconsistent with the previous findings that the stock market rationally signals changes in real activities. Contrarily, the macro variables seem to lead stock prices. So, Tehran Stock Exchange (TSE) is not informationally efficient. |
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| Keywords: Macroeconomic Variables, Stock Price Index, Granger Causality, Efficient Market Hypothesis |
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Full-Text [PDF 384 kb]
(7980 Downloads)
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Type of Study: Research |
Subject:
General
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