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2016 | 40 | 235-247
Article title

The effect of inflation on stock prices of listed companies in Tehran stock exchange

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EN
Abstracts
EN
Iranian, in the recent history, faced two major economic crises which were in April 2005 and February 2014. In this paper, we examine whether the risk return relationship as well as the effects of two macroeconomic variables, output growth and inflation, on real stock returns and volatility changed or not due to these crises using three different monthly indices of the Tehran Stock Exchange. We study the effects both for the whole period and the subperiods that we determine regarding the times of the crises using EGARCH-M framework. Our results show that the risk-return relationship changes as the economy moves from one regime to another. Moreover, the crises cause some changes on the relationships between stock returns and macroeconomic variables. The greatest impact of the crisis is seen in the Financial Sector.
Year
Volume
40
Pages
235-247
Physical description
Contributors
  • Department of Management, Payame Noor University, PO BOX 19395 - 3697, Tehran, Iran, freyedon@yahoo.com
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Document Type
article
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.psjd-39128530-6e8d-4215-8860-43d6f0c04dd6
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