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International Journal of Economics and Finance Studies

Yıl 2011 , Cilt 3 , Sayı 1

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Makale özeti
Başlık :

Macroeconomic variables and stock market: evidence from iran

Yazarlar :
Yazar kurumları :
Department of Economics Abarkouh Branch Islamic Azad University1
Görüntülenme :
131
DOI :
Özet Türkçe :

In this paper, we examine the relationship between Tehran Stock Exchange (TSE) price index and a set of three macroeconomic variables from 2001 to 2007 using Unrestricted Vector Autoregressive (VAR) model. Our analysis based on Impulse Response Function (IRF), indicate that the response of TSE price index to shocks in macroeconomic variables such as consumer price index (CPI), free market exchange rate, and liquidity (M2) is weak. In addition, generalized Forecast Error Variance Decomposition (FEVD) reveals that share of macroeconomic variables in fluctuations of TSE price index is about 12 per cent. Finally, it seems that political shocks or other economic forces can effect on TSE price index in Iran.

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