Examination of Relationship between Macroeconomic Variables and Stock Exchange Price Index in Iran Using VECM

Volume 8, Issue 3 - Serial Number 3
Autumn 2011
Pages 89-103

Document Type : Research Paper

Authors

Abstract
In this study we examined the relationship between Tehran stock exchange price index and some macroeconomic variables such as CPI, exchange rate, house price index, gold price index and value added of industry during 1991-2006 using VAR and VECM approach.  According to the results, stock exchange price index is affected by its own lages, exchange rate and value added of industry, in short run, while it is influenced by gold price index, house price index, CPI, exchange rate, value added of industry and export, in long run. 
 
JEL classification: G1, G10, G15, E44

Keywords

  • Receive Date 15 June 2014
  • First Publish Date 15 June 2014
  • Publish Date 23 September 2011