بررسي ارتباط شاخص هاي تورم (CPI) و (PPI) و بازده ي سهام در بورس اوراق بهادار تهران

The Investigation of the Relationship between Inflation Indexes (CPI & PPI) and Stock Return in Tehran Stock Exchange

The relationship between stock return and inflation has been noticed by many researchers so far on which there has been no absolute findings. For this reason , it is considered as a puzzle. This relationship is quite different from one country to another because of the presense of various rates of inflation and economic structures. In this study, the relationship between two indexes of CPI (Consumer Price Index) , PPI(Producer Price Index), and stock return is investigated from Tir 1371 to Khordad 1387. The regression result of the first hypothesis showed that the variables of CPI and PPI are not suitable for explaining the stock return. The analysis of second hypothesis is done with respect to GARCH and Exponential GARCH (EGARCH) models and leverage effect. The estimated result showed that this model is suitable for explaining the stock return volatility.By using the result of leverage effect hyhotesis which has used the exponential Garch, the assymetry of volatility and presence of the leverage effect are confirmed in Tehran Stock Exchange and finally , test second hyphotesis showed that these variables didnʹt have any effects on both mean and stock return volatility.But,because of asymmetry of volatility in Tehran Stock Exchange,we must apply Garch exponential model for testing this hyphotesis. JEL Classification: : E31, P24, GO