Investigation Relationship Between The Macroeconomic Markets And Financial Market Using The Conditional Capital Asset Pricing Model (Case Study Of Tehran Stock Exchange)

One of the most important issues in the financial economics that has long been of interest to financial economists is questions about cross-sectional variation and time variation in the risk premium. One of the ways that answer to these questions is to examine the relationship between financial markets and the macroeconomy. The purpose of this article is to examine the relationship between macroeconomic variables and stock return in Iran. For this purpose we use consumption-based capital assets pricing (CCAPM) to examine variables affecting on returns in the 18 selected industries of the Stock Exchange in Tehran. On the CCAPM model the consumption growth rate is the most important factor affecting returns. In this article the conditional CCAPM model contains variables per capita consumption growth rate, P/E (price-earnings ratio of shares) and conditional variable (coin). To introduction macroeconomic risk, is used of conditional variable, the condition variable is obtained of co-integration relation between macroeconomic variables (GDP growth rate, inflation rate, the difference between short-term and long-term interest rates). Co-integration relation between these variables is studied with Johansen method, after obtaining this condition variable as coin, is estimated the conditional CCAPM using seasonal data of 1379 to 1392. The results show that the coefficients of conditional CCAPM model are significant and in the conditional CCAPM model, in the estimated conditional CCAPM, conditional variable (representing the macro-economic risks) as well as the rate of change in per capita consumption and P/E ratio play an important role in the excess stock returns industries.