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2014 | 6 | 1-9
Article title

The nexus between Prices and Macroeconomic Variables in Iran

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EN
Abstracts
EN
This paper examines the causal relationship between stock prices and macroeconomic aggregates in Iran, by applying the techniques of the long–run Granger non–causality test 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 1993:1 to 2010:4. 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.
Year
Volume
6
Pages
1-9
Physical description
Contributors
  • Faculty of Economics, University of Tehran, Kargar-e-shomali, Po Box 14166-6445, Tehran, Iran, mmehrara@ut.ac.ir
References
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Document Type
article
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.psjd-ed03c17d-134b-4c2a-b8ea-24d6921e516c
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