The Effect of Inflation on the Stock Return in Tehran Stock Exchange

The purpose of this study is investigating the effect of inflation (CPI) on the stock return in Tehran stock exchange. For this purpose investigated the relationship between ۱۰۰ firms monthly return and monthly inflation rate that their stocks have continuous trading during ۱۹۹۸ – ۲۰۱۰. To test the first hypothesis of the study, we used the regression model with a variable delay period prior. To test the second hypothesis of the study, a Generalized Autoregressive Conditional Heteroskedasticity model, GARCH (۱,۰) is used. The results of regression analysis indicate that the inflation does not have significant effect on the stock return. So the results of GARCH(۱,۰) model indicate that the effect of inflation is not statistically significant on the return mean and return variance simultaneously. So in Tehran stock exchange, inflation dose not have a direct significant effect on return and stock prices, and equity investment can not be a good shield against inflation.

کلیدواژه ها:

: Consumer Price Index ، Inflation ، Stock Return ، Return Variance ، GARCH(۱ ، ۰) Model. JEL classification: E۳۱ ، P۲۴ ، G۰ ، شاخص قیمت مصرف کننده ، تورم ، بازده سهام ، واریانس بازده ، مدل GARCH(۱ ، ۰) طبقه بندیJEL:G۰ ، P۲۴ ، E۳۱