IMPACT OF MACROECONOMIC VARIABLES ON STOCK MARKET: THE CASE OF IRAN

Abstract

This paper investigates the relationship between a set of economic variables (i.e. inflation rate, interest rate of one-year investing deposits in state banks, interest rate of bonds and the growth rate of gold price) and Tehran Stock Exchange (TSE) indicators during April 1998 to March 2008Economic variables, Tehran stock Exchange(TSE), Vector auto-regressive model, Johansen co- integration test, Vector-error correction model