Ezatollah Abbasian; Mahdi Moradpour Oladi; Vahid Abbasiuon
Volume 12, Issue 36 , October 2008, , Pages 135-152
Abstract
This paper examines the influence of macroeconomicvariables on stock market equity valuesin Tehran Stock Exchange Market. We use the Tehran Stock Exchange Market all share price index to represent the stock market and (a) moneysupply, (b) interest rate, (c) consumer price index (as a measure of inflation), ...
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This paper examines the influence of macroeconomicvariables on stock market equity valuesin Tehran Stock Exchange Market. We use the Tehran Stock Exchange Market all share price index to represent the stock market and (a) moneysupply, (b) interest rate, (c) consumer price index (as a measure of inflation), (d) exchangerate and (e) trade balance as macroeconomic variables. We use the data quarterly data for the above variables for the 20 quarterly periods from Farvardin 1377 to Esfand 1384 employinga battery of tests, which include unit roots,cointegration, vector error correction models (VECM), impulse response functions (IRFs) and variancedecompositions (VDCs). These tests examineboth long-run and short-run relationships between the stockmarket index and the economic variables.The VECM analyses provides some support for the argument that the lagged values of macroeconomic variableshave a significant influence on the stock market. Both VDC and IRF analyses reveal thatshocks to economic variables explained onlya minority of the forecast variance error of the market index and the effects do not persist for verylong.
