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The Effect Of Economic Factors On Tehran Stock Exchange

Ghanbari, Ameneh | 2013

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 45012 (01)
  4. University: Sharif University of Technology
  5. Department: Industrial Engineering
  6. Advisor(s): Eshraghniaye Jahromi, Abdolhamid
  7. Abstract:
  8. In this study it is attempted to investigate the impact of macroeconomic variables on the determination stock price in Iran.In this study it is used quarterly time series data of stock price and also macroeconomic variables including Growth of Consumer Price Index(Inflation), Iran Crude Oil Price, Exchange Rate, Gold Price, Liquidity, Money Supply and Gross Domestic Product for a period of 10 years (1381:1-1390:4). Data is obtained from monthly and quarterly reports, available on the website of the Central Bank of Iran and Tehran Stock Exchange Organization. In the analysis of the collected data, It is applied unit root tests, test for co integration, and utilize a Vector Auto Regressive model and Vector Error Correction model. A shortcoming of many previous investigations in this subject which has been considered up to three variables, they did not completely account for the feedback effect among variables. While in addition to using more of macroeconomic variables and closer to reality in this study, it is used Vector Auto regressive model to consider the effects among the variables. The estimation of the model is carried out with Eviews 7.0 econometrics software. The results show that in the long term, there is significant relationship between stock price index and macroeconomic variables . Also variance decomposition result is the dominant sources of stock price changes, were largely due to exchange rates, oil prices, gold prices, money supply, consumer price index growth and liquidity
  9. Keywords:
  10. Stock Price ; Macroeconomic Variables ; Vector Error Correction Model ; Vector Autoregressive Model ; Contegratio ; Iran ; Tehran Stock Exchange ; Variance Decomposition

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