[Home ] [Archive]   [ فارسی ]  
:: Main :: About :: Current Issue :: Search :: Submit ::
Main Menu
Home::
Journal Information::
Articles archive::
For Authors::
For Reviewers::
Registration::
Contact us::
Site Facilities::
::
:: Volume 18, Issue 54 (Summer 2010) ::
qjerp 2010, 18(54): 73-94 Back to browse issues page
Stock Market and Macroeconomic Variables: a Case Study for Iran
Maysam Musai * , Nader Mehregan , Hossein Amiri
, mousaaei@ut.ac.ir
Abstract:   (19139 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.
Keywords: Macroeconomic Variables, Stock Price Index, Granger Causality, Efficient Market Hypothesis
Full-Text [PDF 384 kb]   (7844 Downloads)    
Type of Study: Research | Subject: General
Send email to the article author

Add your comments about this article
Your username or Email:

CAPTCHA


XML   Persian Abstract   Print


Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

Musai M, Mehregan N, Amiri H. Stock Market and Macroeconomic Variables: a Case Study for Iran. qjerp 2010; 18 (54) :73-94
URL: http://qjerp.ir/article-1-238-en.html


Rights and permissions
Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Volume 18, Issue 54 (Summer 2010) Back to browse issues page
فصلنامه پژوهشها و سیاستهای اقتصادی Journal of Economic Research and Policies
Persian site map - English site map - Created in 0.06 seconds with 37 queries by YEKTAWEB 4645