Evaluation of the Relationship between Macroeconomic Variables and Industrial Price Index In Tehran Stock Exchange

Ali Tazik, Fatemeh Tazik, Athar Tazik, Amir Hassan Susaraie


This study investigates the separate relationships between three macroeconomic variables—the consumer price index, oil prices, and foreign exchange rates—and the consolidated price movements of a 28-industry index of stocks listed on the Tehran Stock Exchange during 2010–2014. Methodology: We hypothesize a significant and direct relation between each macro variable and price movements of the 28-industry index. To test our hypotheses, we use econometric methods that include ordinary least squares (OLS), linear regression, the Dickey–Fuller test, the Phillips–Perron unit root test, the F test, and the White test.  Results: Results indicate a direct and significant relation between the CPI and the 28-industry index. However, results confirm that there is no significant relation between either the oil price or the exchange rate and the index during the period examined.  Conclusion: Results confirmed a significant and direct relation between the CPI and the 24-industry index of Iranian stocks. The first hypothesis of this research was accepted. Our results confirm those of Shahidi and Bad Kobe-ee-Hezare. Their study found that the relation between inflation and stock price is direct, while this study identified the same relation between the CPI and the 24-industry index.


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DOI: https://doi.org/10.24200/jmas.vol7iss02pp31-38


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