The relationship between the size of the government and Tehran,s Stock Exchange Market Performance

Subject Areas : Financial Knowledge of Securities Analysis

مهدی پدرام ¹ , عبدالرحمن حری ²

1 - تدارد
2 - نویسنده مسئول

Received: 2013-11-06 Accepted : 2013-12-16 Published : 2014-10-12

Keywords: Bourse, Government Size, arbitrage pricing theory,

Abstract :

This study aims to measure government size’s effect on Tehran stock marketperformance. To reach our goal we use Arbitrage Pricing Theory for specify a function toexplain behavior of stock price. We use quarterly data covering 1998 to 2011. Othervariables that have been used consist of Consumer Price Index (CPI), money stock, landprice, exchange rate and industrial production index. Long run relation that has beenobtained by Auto Regressive Distributed Lags (ARDL) show that government size hassignificant negative effect on stock price. Other results show that money stock, land priceand exchange rate have significant and negative effect on stock price, too. However CPIpositively affects dependent variable.