Oil Price, Exchange Rate, Interest Rate, and Market Return Relationships with Industries Stock Returns: Evidence from Iranian Stock Exchange

Ali Asghar Anvary Rostamy ； Ghasem Hosseini ； Farideh Bakhshitakanlou

《Research and Applications in Economics》 1卷1期 (2013/10) Pp. 6-12

並列摘要

Systematic risk factors or market changes and fluctuations have chain effect on real economic activities and they are very important devices to explain stock price and return changes; hence this study examines the impact of market return, oil price, exchange rate and interest rate changes on stock returns of 36 industry sectors in Tehran Stock Exchange (TSE) using monthly data during the period of November 22, 2003 to November 20, 2008. In this paper, the multivariate regression model was used to study the relationship among market return, oil price, exchange rate and interest rate to stock return of each industry and method of autoregressive distributed lag (ARDL) is employed to test the model. Findings indicate that market return, oil price, exchange rate and interest rate changes have significant impacts on some industries returns while some have obtained contrary results.

並列關鍵字

Market Return ； Oil Price ； Exchange Rate ； Interest Rate ； Stock Return of Each Industry