TY - JOUR ID - 31002 TI - The Relationship between Stock Market and Macroeconomic Variables: a Case Study for Iran JO - Iranian Economic Review JA - IER LA - en SN - 1026-6542 Y1 - 2007 PY - 2007 VL - 12 IS - 18 SP - 51 EP - 62 DO - 10.22059/ier.2007.31002 N2 - This paper examines the causal relationship between stock prices and macroeconomic aggregates in Iran, by applying the techniques of the long–run Granger non–causality test proposed by Toda and Yamamoto (1995). We test the causal relationships between the TEPIX Index and the three macroeconomic variables: money supply, value of trade balance, and industrial production using quarterly data for the period 1372:1 to 1383:4. The results show unidirectional long run causality from macroeconomic variables to stock market. Accordingly, the stock prices are not a leading indicator for economic variables, which is inconsistent with the previous findings that the stock market rationally signals changes in real activities. Contrarily, the macro variables seem to lead stock prices. So, Tehran Stock Exchange (TSE) is not informationally efficient UR - https://ier.ut.ac.ir/article_31002.html L1 - https://ier.ut.ac.ir/article_31002_1d5c811aa54ffae9bbe11dc2eace3a12.pdf ER -