تجزيه و تحليل عوامل مؤثر بر شاخص قيمت بازار اوراق بهادار تهران با استفاده از روش همجمعي

Analysis of Relationship between Variables of Macroeconomics and Indices Price of Tehran Stock Market by Using Co-Integration Approach

the present study examine the relationship between variables of macroeconomics including inflation rate, (MS), exchange rate, short term rate ,long term rate and interest rate, industrial production index and Tehran Price Index stock market. In order to explain long term relationship between study variables, seasonal time series data 1991-2008(1370-1387) and co-integration techniques were used by using Method (EG) and Method (JJ). Principle question of research is if changes in variables of macroeconomics in Iran affect on Tehran Price Index stock market in long time? Resulted incomes from estimating model based on EG method confirm that there is long term relationship between macroeconomics variables and stock price index and results of estimating model based on JJ method shows change in exchange rate, inflation rate, Money Supply and industrial production scale affect on changes in price index of Tehran Price Index stock market and there is negative relationship of changes in short term interest rate and long term interest rate on Tehran Price Index stock market which consistent with research hypothesis.