The Impact of Interest Rate Changes on Stock Returns of Private Banks Accepted in Tehran Stock Exchange

The main objective of this research is to study the effect of interest rate changes on stock returns of private banks accepted in Tehran Stock Exchange. The research hypotheses test was performed by regression analysis using the ordinary least squares (OLS) method and combined data. The statistical population of the research includes three private banks accepted in Tehran Stock Exchange which their seasonal returns are studied during a ۶-year period from ۲۰۰۵ to ۲۰۱۰. Levin-Lin-Chu unit root test indicates that the interest rate variable and other variables are reliable at the first order difference. Results show that the interest rate has a significant negative effect on the stock return of private banks accepted in the stock exchange with ۹۵% confidence level. So, one unit change in the interest rate leads to ۱۰.۸۳ units decrease in the stock return of private banks accepted in Tehran Stock Exchange.

کلیدواژه ها:

Interest Rate ، efficiency of stocks ، Multivariable regression ، ordinary least squares (OLS)