Investigation the Effects of Macroeconomic Indices on Stock Returns with a Lag

Subject Areas : Management Accounting

دکتر زهرا پورزمانی ¹ , دکتر علی روحی ² , کیوان مام حمه ³

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Received: 2010-10-12 Accepted : 2011-02-09 Published : 2010-12-22

Keywords: words:Inflation, Growth stock index, Growth rate of employment, GDP, Stock Returns, (VAR), Granger Causality Test,

Abstract :

The main purpose of this study is to investigate the relationship betweenmacroeconomic variables (inflation, growth of stock price index, employment rate,and Gross Domestic Product (GDP)) and stock returns in Tehran Security Exchange(TSE) between the period 1380 to 1387, using the VAR modeling and Grangercausality tests. In this study, seasonal variables were collected and studied.The results showed that employment rate growth can not explain the stock returnsand the causality of any relationship between employment rate growth and stockreturns does not exist and only stock returns with a lag period is able to explainemployment rate growth.GDP with a lag period is able to explain the stock returns and the stock returnswith a lag period can also explain the GDP. The bi-causality relationship betweenstock returns and GDP, as being aware of either of them, the other variable can bepredicted.The stock return with tow lag periods is able to explain the inflation. The monocausalityrelationship between both from stock return to inflation, as being aware ofstock returns, the inflation can be predicted.Growth of stock price index with tow lag periods is able to explain the stockreturns and stock return with tow lag periods can also explain the growth of stockprice index. In addition, the mono-causality relationship between both from stockreturns to growth of stock price index, as being aware of stock return, the growth ofstock price index can be predicted.