STUDY THE EFFECT OF MACROECONOMIC VARIABLES AND SYSTEMATIC RISK ON ORDINARY STOCK RETURNS OF LISTED COMPANIES LISTED IN TEHRAN STOCK EXCHANGE

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SHAHRABADI ABOLFAZL; BALSINI ELNAZ

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Journal: QUANTITATIVE RESEARCHES IN MANAGEMENT Year:2012 | Volume:3 | Issue:3 Page(s): 17-34

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Title

STUDY THE EFFECT OF MACROECONOMIC VARIABLES AND SYSTEMATIC RISK ON ORDINARY STOCK RETURNS OF LISTED COMPANIES LISTED IN TEHRAN STOCK EXCHANGE

Author(s)

SHAHRABADI ABOLFAZL | BALSINI ELNAZ | Issue Writer Certificate

Keywords

EXCHANGE RATEQ2

OIL PRICEQ2

INVESTMENTQ2

SYSTEMATIC RISKQ2

STOCK RETURNQ2

STOCK EXCHANGEQ2

Abstract

Stock price and profitability of companies’ stocks are influenced by numerous internal factors as well as economic, psychological, political and other factors. As these factors may affect the price of companies’ stocks, identification of the impacts of macroeconomic variables and the factors contributing to STOCK RETURNs can help investors to plan for the future. The aim of this article is to study the impacts of macroeconomic variables (oil price and EXCHANGE RATE) and SYSTEMATIC RISK (b) on ordinary STOCK RETURN of listed companies in the Tehran STOCK EXCHANGE. This study has an applied method in terms of goal and descriptive method in terms of data collection and is classified as survey study. The data of the study has been collected during the years 2006-2010 by using Rahavard Novin Software Program, economic reports of the Central Bank of Islamic Republic of Iran and website of oil exporting countries (OPEC). The results achieved indicate that SYSTEMATIC RISK (b) and OIL PRICE have a positive and direct relation with return of companies’ stocks in the meaningful level 5% and that there is no meaningful relation between EXCHANGE RATE and return of companies’ stocks. In general, according to calculated R2, there is a meaningful weak relation between macroeconomic variables, SYSTEMATIC RISK (b) and return of companies’ stocks. In other words, only 7.9% of changes of STOCK RETURN relates to OIL PRICE and 24% relates to SYSTEMATIC RISK. Other factors may also affect the returns of company's stocks.

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APA: Copy

SHAHRABADI, ABOLFAZL, & BALSINI, ELNAZ. (2012). STUDY THE EFFECT OF MACROECONOMIC VARIABLES AND SYSTEMATIC RISK ON ORDINARY STOCK RETURNS OF LISTED COMPANIES LISTED IN TEHRAN STOCK EXCHANGE. QUANTITATIVE RESEARCHES IN MANAGEMENT, 3(3), 17-34. SID. https://sid.ir/paper/191977/en

Vancouver: Copy

SHAHRABADI ABOLFAZL, BALSINI ELNAZ. STUDY THE EFFECT OF MACROECONOMIC VARIABLES AND SYSTEMATIC RISK ON ORDINARY STOCK RETURNS OF LISTED COMPANIES LISTED IN TEHRAN STOCK EXCHANGE. QUANTITATIVE RESEARCHES IN MANAGEMENT[Internet]. 2012;3(3):17-34. Available from: https://sid.ir/paper/191977/en

IEEE: Copy

ABOLFAZL SHAHRABADI, and ELNAZ BALSINI, “STUDY THE EFFECT OF MACROECONOMIC VARIABLES AND SYSTEMATIC RISK ON ORDINARY STOCK RETURNS OF LISTED COMPANIES LISTED IN TEHRAN STOCK EXCHANGE,” QUANTITATIVE RESEARCHES IN MANAGEMENT, vol. 3, no. 3, pp. 17–34, 2012, [Online]. Available: https://sid.ir/paper/191977/en

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