The Effect of Macroeconomic Variables on Systematic Risk of Tehran's Stock Exchange

According to the Capital Pricing Model (CAPM)، market return is related to risk associated with macroeconomic health of the economy، which in turn affects systematic risk component. This study investigated the relationship between Systematic risk of market and some macroeconomic variables such as inflation، exchange rate، private investment in real estate. Furthermore the relationship between these macroeconomic variables and Tehran stock market return also has been studied. Monthly data during 2001 to 2009 and GARCH-M model have been used in this study. Results showed that inflation rate and housing return rate have negative effects on systematic risk but، risk premium and exchange rate coefficient are not significant.