The effect of macroeconomic variables on the stock market index of the Tehran stock exchange

Abstract: This paper examines the relationship between stock market index and macroeconomic policies (Fiscal and Monetary) on Iran's economy using quarterly data in the period 1999-2013. This study employed cointegration test and vector autoregressive models (VAR) to examine relationships between the stock market index and the macroeconomic variables. The empirical results reveal that a positive money shock can increase stocks return. According to impulse responses, the government expenditure had a slight impact on stocks return in the short term. But the government expenditure has a positive effect on exchange index in long run. Also the effect of taxes on the stock's price index is negative, so that it reaches its maximum level after the third lag and then alleviates. The GDP shock has positive effect on the stock's price index. Increase in production level leads to increase in earnings and profitability, leading to a positive response from stocks index. Therefore the results showed that t

Object Details

• Location: Deutsche Nationalbibliothek Frankfurt am Main
• Extent: Online-Ressource
• Language: Englisch
• Notes: Veröffentlichungsversion ; begutachtet (peer reviewed) ; In: International Letters of Social and Humanistic Sciences (2016) 71 ; 17-24

Classification and Topics

• Classification: Wirtschaft

Contributors, Places and Time

• Event: Veröffentlichung
• (where): Mannheim
• (when): 2016
• Creator: Gudarzi Farahani, Yazdan ; Mehrara, Mohsen ; Karsalari, Abbas Rezazadeh ; Faninam, Farzan

Further information

• DOI: 10.18052/www.scipress.com/ILSHS.71.17
• URN: urn:nbn:de:101:1-2019080411513580501876
• Rights: Open Access; Open Access; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
• Last update: 15.08.2025, 7:23 AM CEST