كاربرد تئوري قيمت گذاري آربيتراژ با استفاده از متغيرهاي كلان اقتصادي در بورس اوراق بهادار تهران

Application of the Arbitrage Pricing theory Using Macroeconomic Variables in the Tehran Stock Market Exchange

The purpose of this research is investigation of application of the arbitrage pricing theory and effect of unanticipated changes in a set of macroeconomic variables such as inflation rate, money supply, exchange rate, oil price, term structure and industrial production on expected security return in Tehran stock exchange. In this research, data are analyzed quarterly for the period of 1997-2008 (44 quarter) and by using of the system of iterated non-linear seemingly unrelated regressions. The results indicate that risk premium associated with unanticipated changes of variables of money supply, exchange rate, term structure and industrial production are significant at the 5% level and the restrictions of the APT reveals on an unrestricted linear factor model. Therefore, the arbitrage pricing theory is a reasonable model for explanation of expected security return and the significant macroeconomic variables are sources of systematic risk in Tehran stock exchange. JEL classification: 113