Evaluation of The Effect of Macroeconomic Variables, Including Crude Oil Prices, Market Exchange Rate and Inflation Rate on the Stock Price Changes in the Tehran Stock Exchange

Abstract

Due to the impact of macroeconomic variables on different parts of the Iranian capital market, in this article the impact of changes in economic variables, including crude oil prices and average market exchange rate and the inflation rate on the stock price changes for 316 member companies of Tehran Stock Exchange as of and for the period of 5 years from the years 1389 to 1393 is examined. In order to accurately evaluate the effects of declared variables, Augmented Dickey - Fuller test and the VAR model with error correction mechanism is used. According to the results of paper, changes in crude oil prices is a significant positive effect on the stock price changes. And changes in inflation rate and average market exchange rate is a significant negative effect on the stock price changes. based on analysis of variance changes in the average exchange rate was the largest share in the stock price changes and inflation rate is the lowest share in the stock price changes. The findings of this paper provides beneficial implications for investors and policy makers.

DOI: 10.5901/mjss.2016.v7n4S2p59