Macroeconomic Variables and Stock Market Returns in Iran: Vector Auto Regressive approach

This study examines the impact of macroeconomic variables on stock market return in Iran. Research period is 1388-1397 and Vector Auto Regressive is used as research’s method. The dependent variable is Tehran Securities Exchange (TSE) market overall index known as TEDPIX and Independent variables are monetary and fiscal policies andother selected macroeconomic variables. The results show that there is no relation between fiscal policy indicators and TEDPIX in short or long term. But monetary policy indicators showed an impact on TEDPIX in short and long term. Among other variables, exchange rate was meaningful both in short and long term, and had a positive effect on thedependent variable. Oil price was meaningful in long term but not meaningful in short term. Finally, Inflation rate and sanction were meaningless and not affected TEDPIX in short or long term

Keywords:

fiscal policy , monetary policy , Vector Auto Regressive , TEDPIX