The relationship between exchange rates, short and long- term interest rates and stock returns of banksaccepted inTehran Stock Exchange

ABSTRACT:Banks play a key role in the implementation of monetary policy and exchange rate. Since the macroeconomic variables affect stock returns, in this study investigates the significant relationship and accumulation relationship between Index s of bank Stock returns with macroeconomic variables such as exchange rates, short and long term interest rates for adopted bank in Tehran stock Exchange has been paid. Therefore, using time series data during 2003 to 2011 as a seasonal, suggested model is estimated. In this study, the multiple regression model, and Autoregressive Distributed Lag (ARDL) and error correction model (ECM) was used to test the model. The findings suggest that between the exchange rates andshort-term interest rates withbank stock returns index is positive and significant relationship ( long- term variable interest rates was not significant and therefore has no effect on the model). According to the results obtained from a co-integration test is a long term relationship between the exchange rates, short and long term interest rates with the banks stock returns index, in that the relationship between the exchange rate and long term interest rate, there is positive relationship and between short-term interest rates has a negative relationship with stock returns banks index.