INVESTIGATION THE EFFECTS OF MACROECONOMIC INDICES ON STOCK RETURNS WITH A LAG

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POURZAMANI Z.; ROHI A.; MAM HAMEH K.

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

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Journal: MANAGEMENT ACCOUNTING Year:2011 | Volume:3 | Issue:7 Page(s): 1-18

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Title

INVESTIGATION THE EFFECTS OF MACROECONOMIC INDICES ON STOCK RETURNS WITH A LAG

Author(s)

POURZAMANI Z. | ROHI A. | MAM HAMEH K. | Issue Writer Certificate

Keywords

INFLATIONQ2

GROWTH STOCK INDEXQ3

GROWTH RATE OF EMPLOYMENTQ3

GDPQ2

STOCK RETURNSQ2

((VAR))Q3

GRANGER CAUSALITY TESTQ3

Abstract

The main purpose of this study is to investigate the relationship between macroeconomic (VAR)iables (INFLATION, growth of stock price index, employment rate, and Gross Domestic Product (GDP)) and STOCK RETURNS in Tehran Security Exchange (TSE) between the period 1380 to 1387, using the (VAR) modeling and GRANGER CAUSALITY TESTs. In this study, seasonal (VAR)iables were collected and studied.The results showed that employment rate growth cannot explain the STOCK RETURNS and the causality of any relationship between employment rate growth and STOCK RETURNS does not exist and only STOCK RETURNS with a lag period is able to explain employment rate growth.GDP with a lag period is able to explain the STOCK RETURNS and the STOCK RETURNS with a lag period can also explain the GDP. The bi-causality relationship between STOCK RETURNS and GDP, as being aware of either of them, the other (VAR)iable can be predicted.The stock return with tow lag periods is able to explain the INFLATION. The mono-causality relationship between both from stock return to INFLATION, as being aware of STOCK RETURNS, the INFLATION can be predicted.Growth of stock price index with tow lag periods is able to explain the STOCK RETURNS and stock return with tow lag periods can also explain the growth of stock price index. In addition, the mono-causality relationship between both from STOCK RETURNS to growth of stock price index, as being aware of stock return, the growth of stock price index can be predicted.

Cites

AN ANALYSIS OF THE ASYMMETRY BETWEEN THE STOCK INDEX AND THE INFLATION RATE USING THE HIDDEN CO-INTEGRATION APPROACH: A CASE STUDY IN IRAN

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APA: Copy

POURZAMANI, Z., ROHI, A., & MAM HAMEH, K.. (2011). INVESTIGATION THE EFFECTS OF MACROECONOMIC INDICES ON STOCK RETURNS WITH A LAG. MANAGEMENT ACCOUNTING, 3(7), 1-18. SID. https://sid.ir/paper/198729/en

Vancouver: Copy

POURZAMANI Z., ROHI A., MAM HAMEH K.. INVESTIGATION THE EFFECTS OF MACROECONOMIC INDICES ON STOCK RETURNS WITH A LAG. MANAGEMENT ACCOUNTING[Internet]. 2011;3(7):1-18. Available from: https://sid.ir/paper/198729/en

IEEE: Copy

Z. POURZAMANI, A. ROHI, and K. MAM HAMEH, “INVESTIGATION THE EFFECTS OF MACROECONOMIC INDICES ON STOCK RETURNS WITH A LAG,” MANAGEMENT ACCOUNTING, vol. 3, no. 7, pp. 1–18, 2011, [Online]. Available: https://sid.ir/paper/198729/en

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