The Relationship between Crude Oil Volatility, CPI and industrial Production with Stock Market Return

In this paper we examine the effect of the oil volatility، Consumer Price Index (CPI) and Industrial Production on the Stock Market return in Tehran Stock Exchange (TSE). We used seasonal data in period 1378-1390 and Auto Regressive Distributed Method (ARDL) for the short-term and long-term relationship between the variables. As results of research indicate، we find that there is positive short-term relationship between oil volatility and industrial production with stock market return and no long-term relationship between these variables.