چكيده لاتين :
This paper examines the causal relationship between stock
prices and macroeconomic aggregates in Iran, by applying the
techniques ofthe long-ron Granger non-causalitytest proposed
by Toda and Yamamoto (1995). We test the causal
relationships between the TEPIX Index and the three
macroeconomic variables: money supply, value of trade
balance, and industrial. production using quarterly data for the
period 1372:.1 to 1383:4. The results show unidirectional long
run causality from macroeconomic variables to stock market.
Accordingly, the stock prices are not a leading indicator for
economic variables, which is inconsistent with the previous
findings that the stock market rationally signals changes in real
activities. Contrarily, the macro variables seem to lead stock
prices. So, Tehran Stock Exchange (TSE) is not informationally
efficient.
