Document Type : Original Article


1 Department of Accounting and Management, Gonbad Kavoos Branch, Islamic Azad University, Gonbad Kavoos, Iran

2 Department of Accounting, Minoodasht Branch, Islamic Azad University, Minoodasht, Iran

3 Department of Public Administration, Payam Noor University, PO BOX 19395-4697 Tehran, Iran

4 Young Researchers and Elite Club, East Azarbaijan Science and Research Branch, Islamic Azad University, Tabriz, Iran


This study investigates the separate relationships between three macroeconomic variables the consumer price index, oil prices, and foreign exchange rates and the consolidated price movements of a 24-industry index of stocks listed on the Tehran Stock Exchange during 2003–2009. We hypothesize a significant and direct relation between each macro variable and price movements of the 24-industry index. To test our hypotheses, we use econometric methods that include ordinary least squares (OLS), linear regression, the Dickey–Fuller test, the Phillips–Perron unit root test, the F test, and the White test. Results indicate a direct and significant relation between the CPI and the 24-industry index. However, results confirm that there is no significant relation between either the oil price or the exchange rate and the index during the period examined.


Abu N.E., and Gelaleh M. (2005). The effect of macroeconomic indices  on the stock price indices in Iran’s  petrochemical industry by using ARDL model, Mazandaran University, Department of Economics.
Ansari, A. (1995). Foreign physical capital and their attraction method. Publication of the Ministry of Economy and Finance, Tehran.
Osulian, M. and Tehrani R. (2005). The evaluation of macroeconomic variables effect on the industry price index of the accepted  companies in Tehran Stock Exchange. MS Thesis, Tehran University, Tehran.
Bid Abad, B. and  Kambiz  P. (2007). Simulation and prediction of global crude oil prices, Quarterly Economic Bulletin, Seventh Year, No. IV, Winter, pp. 85-85.
Tafazzoli, F. (1996). Macroeconomic theory and economic policy. Ney Publications, Tehran.
Jahankhani, Ali and Ali Parsayyan (1996). Stock Exchange; Tehran University Publications, Tehran.
Salimi Afshar, A., and Nikbakht, M.R. (2003). Relationship between inflation rate and the shareholders’ return rate. MS Thesis, Tehran University.
Sadegh Vaziri, B. (2006). The effect of macroeconomic variables on stock price index in Tehran Stock Exchange. MS Thesis, Tehran University. {4.2 This reference is not cited in the text}
Raei, R. and Ahmad T. (2004). Management of advanced investment in Tehran, Samt Publishing, First Print, Winter, p. 82.
Ghasem Zadeh, M. (2006). Evaluation of a long-term relation between stock price index and macro monetary variables by using co- integration method in Iran’s economy. Iran’s Economic Research, Winter, No. 27.
Maloieyan, K. and Zare H. (2003). The evaluation of macroeconomic variables and alternative assets effect on the stock prices in Iran: a pattern of auto-correlation with distribution lag. Shiraz University, Department of Economics.
Deputy of Economic Study and Market Development of Tehran Stock Exchange Company. (2008) Evaluation of the relation between stock index, as well as macroeconomic variables. Publications of Research and Development Management, Tehran.
Samimi, A., Jafari and Yahia Zadehfar M. (1999). Evaluation of relation between inflation and real stock returns in the companies accepted in Tehran Stock Exchange. PhD thesis, Tehran University.
Anari, A. and Kolari, J. (2001) Stock prices and inflation: Texas A&M university, Journal of Finance 24, 587-602.
Chakravarty, S. (2006) Stock Market and macroeconomic behavior in India: Institute of Economic Growth, Enclave University, Delhi – 110007, 1-24.
Ahmed, S. (2008) Aggregate Economic Variables and Stock Markets in India:  International Research, Journal of Finance Economics, ISSN1450-2887, Issue14 (2008).