ANALYSIS OF RELATIONSHIP BETWEEN VARIABLES OF MACROECONOMICS AND INDICES PRICE OF TEHRAN STOCK MARKET BY USING CO-INTEGRATION APPROACH

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AZIMI MAJID; KARIMI FARZANEH; NOUROUZI MOHAMMAD

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Journal: FINANCIAL ACCOUNTING Year:2010 | Volume:2 | Issue:5 Page(s): 76-93

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Title

ANALYSIS OF RELATIONSHIP BETWEEN VARIABLES OF MACROECONOMICS AND INDICES PRICE OF TEHRAN STOCK MARKET BY USING CO-INTEGRATION APPROACH

Author(s)

AZIMI MAJID | KARIMI FARZANEH | NOUROUZI MOHAMMAD | Issue Writer Certificate

Keywords

MACROECONOMICS VARIABLESQ3

TEHRAN PRICE INDEX STOCK MARKETQ3

CO INTEGRATION METHODQ3

Abstract

This paper to examining the relationship between Tehran stock market the present study examine the relationship between variables of macroeconomics including inflation rate, (MS), exchange rate, short term rate ,long term rate and interest rate, industrial production index and TEHRAN PRICE INDEX STOCK MARKET. In order to explain long term relationship between study variables, seasonal time series data 1991-2008(1370-1387) and co-integration techniques were used by using Method (EG) and Method (JJ). Principle question of research is if changes in variables of macroeconomics in Iran affect on TEHRAN PRICE INDEX STOCK MARKET in long time? Resulted incomes from estimating model based on EG method confirm that there is long term relationship between MACROECONOMICS VARIABLES and stock price index and results of estimating model based on JJ method shows change in exchange rate, inflation rate, Money Supply and industrial production scale affect on changes in price index of TEHRAN PRICE INDEX STOCK MARKET and there is negative relationship of changes in short term interest rate and long term interest rate on TEHRAN PRICE INDEX STOCK MARKET which consistent with research hypothesis.

Cites

ESTIMATION LONG RUN RELATIONSHIP BETWEEN STOCK PRICE INDEX OF FINANCIAL INDUSTRY AND MONETARY MACROECONOMIC VARIABLES BY ARDL APPROACH

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APA: Copy

AZIMI, MAJID, KARIMI, FARZANEH, & NOUROUZI, MOHAMMAD. (2010). ANALYSIS OF RELATIONSHIP BETWEEN VARIABLES OF MACROECONOMICS AND INDICES PRICE OF TEHRAN STOCK MARKET BY USING CO-INTEGRATION APPROACH. FINANCIAL ACCOUNTING, 2(5), 76-93. SID. https://sid.ir/paper/168132/en

Vancouver: Copy

AZIMI MAJID, KARIMI FARZANEH, NOUROUZI MOHAMMAD. ANALYSIS OF RELATIONSHIP BETWEEN VARIABLES OF MACROECONOMICS AND INDICES PRICE OF TEHRAN STOCK MARKET BY USING CO-INTEGRATION APPROACH. FINANCIAL ACCOUNTING[Internet]. 2010;2(5):76-93. Available from: https://sid.ir/paper/168132/en

IEEE: Copy

MAJID AZIMI, FARZANEH KARIMI, and MOHAMMAD NOUROUZI, “ANALYSIS OF RELATIONSHIP BETWEEN VARIABLES OF MACROECONOMICS AND INDICES PRICE OF TEHRAN STOCK MARKET BY USING CO-INTEGRATION APPROACH,” FINANCIAL ACCOUNTING, vol. 2, no. 5, pp. 76–93, 2010, [Online]. Available: https://sid.ir/paper/168132/en

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