Evaluating the relationship between macroeconomic variables and financial market variables in Tehran Stock Exchange using seemingly unrelated regression (SUR)

The aim of this study is to evaluate the impact of macroeconomic variables and money market including GDP growth, consumer price index, economic participation rate, industrial price index, long-term interest rate, exchange rate, money supply, and foreign direct investment on financial market indicators including market value, total revenue index, price index, cash index, industrial index and financial index using seemingly unrelated regression model in the temporal period from 1991 to 2015. Goodness of fit and adjusted goodness of fit statistics showed that all six models have been specified accurately and 30 variables out of 48 used variables are significant. Summing interest rate index shows that when interest rate rises stock market indices face a significant drop because it increases the opportunity cost of investments in the financial market leading to the withdrawal of capital from financial market. Consumer price index has a significant effect on indicators in the first, third, fifth and sixth models; however, it is not significant in the second and fourth models. Price index is not significant in the second and fifth models; however, it is significant in the other four models, especially in models with dependent variable of industrial price index of Tehran Stock Exchange Tehran indicating that when there is an increase in the price of industrial products, interests of industrial firms increases and the stock price of industrial companies increases consequently and at last the industrial price index increases. Although the variable of exchange rate has a positive impact, it is not significant. Foreign investment variable is also not significant in any of the models may be due to the poor presence of foreign officials in Tehran Stock Exchange and poor trend of foreign direct investment during the course of this study.

کلیدواژه ها:

macroeconomics ، money market ، financial market ، seemingly unrelated regression