THE EFFECT OF MACROECONOMIC VARIABLES ON SYSTEMATIC RISK OF TEHRAN'S STOCK EXCHANGE

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MEMAR NEJAD ABBAS; BABAZADEH MAHMOUD

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Journal: Journal of Economic Research and Policies Year:2013 | Volume:21 | Issue:66 Page(s): 178-208

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Information Journal Paper

Title

THE EFFECT OF MACROECONOMIC VARIABLES ON SYSTEMATIC RISK OF TEHRAN'S STOCK EXCHANGE

Author(s)

MEMAR NEJAD ABBAS | BABAZADEH MAHMOUD | Issue Writer Certificate

Keywords

ARCH MODELQ2

GARCHQ2

M MODELQ2

TEHRAN'S STOCK EXCHANGEQ2

RISKQ2

RETURNQ2

Abstract

According to the Capital Pricing Model (CAPM), market RETURN is related to RISK associated with macroeconomic health of the economy, which in turn affects systematic RISK component. This study was aimed at investigating and RISK of market RETURN fluctuations as well as the relationship between macroeconomic variables, such as inflation rate, exchange rate, private investment in real estate and total stock market RETURN RISK. Monthly data during 2001 to 2009 and GARCH-M model have been used in this study. Results show that inflation rate and housing RETURN rate have negative effects on systematic RISK but, RISK premium and exchange rate coefficient are not significant.

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APA: Copy

. (2013). THE EFFECT OF MACROECONOMIC VARIABLES ON SYSTEMATIC RISK OF TEHRAN'S STOCK EXCHANGE. JOURNAL OF ECONOMIC RESEARCH AND POLICIES, 21(66), 178-208. SID. https://sid.ir/paper/89626/en

Vancouver: Copy

. THE EFFECT OF MACROECONOMIC VARIABLES ON SYSTEMATIC RISK OF TEHRAN'S STOCK EXCHANGE. JOURNAL OF ECONOMIC RESEARCH AND POLICIES[Internet]. 2013;21(66):178-208. Available from: https://sid.ir/paper/89626/en

IEEE: Copy

, “THE EFFECT OF MACROECONOMIC VARIABLES ON SYSTEMATIC RISK OF TEHRAN'S STOCK EXCHANGE,” JOURNAL OF ECONOMIC RESEARCH AND POLICIES, vol. 21, no. 66, pp. 178–208, 2013, [Online]. Available: https://sid.ir/paper/89626/en

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