APPLICATION OF THE ARBITRAGE PRICING THEORY USING MACROECONOMIC VARIABLES IN THE TEHRAN STOCK MARKET EXCHANGE

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SAJADI S.H.; FARAZMAND H.; BADPA B.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: Journal of Economic Research Year:2011 | Volume:46 | Issue:94 Page(s): 45-66

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Information Journal Paper

Title

APPLICATION OF THE ARBITRAGE PRICING THEORY USING MACROECONOMIC VARIABLES IN THE TEHRAN STOCK MARKET EXCHANGE

Author(s)

SAJADI S.H. | FARAZMAND H. | BADPA B. | Issue Writer Certificate

Keywords

ARBITRAGE PRICING THEORYQ2

UNANTICIPATED CHANGES OF MACROECONOMIC VARIABLESQ2

EXPECTED SECURITY RETURNQ2

RISK PREMIUMQ2

SYSTEM OF SEEMINGLY UNRELATED REGRESSIONSQ2

Abstract

The purpose of this research is investigation of application of the ARBITRAGE PRICING THEORY and effect of unanticipated changes in a set of macroeconomic variables such as inflation rate, money supply, exchange rate, oil price, term structure and industrial production on EXPECTED SECURITY RETURN in Tehran stock exchange. In this research, data are analyzed quarterly for the period of 1997-2008 (44 quarter) and by using of the system of iterated non-linear seemingly unrelated regressions.The results indicate that RISK PREMIUM associated with unanticipated changes of variables of money supply, exchange rate, term structure and industrial production are significant at the 5% level and the restrictions of the APT reveals on an unrestricted linear factor model. Therefore, the ARBITRAGE PRICING THEORY is a reasonable model for explanation of EXPECTED SECURITY RETURN and the significant macroeconomic variables are sources of systematic risk in Tehran stock exchange.

Cites

THE RELATIONSHIP BETWEEN THE SIZE OF THE GOVERNMENT AND TEHRAN,S STOCK EXCHANGE MARKET PERFORMANCE

References

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APA: Copy

SAJADI, S.H., FARAZMAND, H., & BADPA, B.. (2011). APPLICATION OF THE ARBITRAGE PRICING THEORY USING MACROECONOMIC VARIABLES IN THE TEHRAN STOCK MARKET EXCHANGE. TAHGHIGHAT-E-EGHTESADI, 46(94), 45-66. SID. https://sid.ir/paper/12102/en

Vancouver: Copy

SAJADI S.H., FARAZMAND H., BADPA B.. APPLICATION OF THE ARBITRAGE PRICING THEORY USING MACROECONOMIC VARIABLES IN THE TEHRAN STOCK MARKET EXCHANGE. TAHGHIGHAT-E-EGHTESADI[Internet]. 2011;46(94):45-66. Available from: https://sid.ir/paper/12102/en

IEEE: Copy

S.H. SAJADI, H. FARAZMAND, and B. BADPA, “APPLICATION OF THE ARBITRAGE PRICING THEORY USING MACROECONOMIC VARIABLES IN THE TEHRAN STOCK MARKET EXCHANGE,” TAHGHIGHAT-E-EGHTESADI, vol. 46, no. 94, pp. 45–66, 2011, [Online]. Available: https://sid.ir/paper/12102/en

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