Investigation the Effects of Macroeconomic Indices on Stock Returns with a Lag

The main purpose of this study is to investigate the relationship between macroeconomic variables (inflation, growth of stock price index, employment rate, and Gross Domestic Product (GDP)) and stock returns in Tehran Security Exchange(TSE) between the period 1380 to 1387, using the VAR modeling and Granger causality tests. In this study, seasonal variables were collected and studied. The results showed that employment rate growth can not explain the stock returns and the causality of any relationship between employment rate growth and stock returns does not exist and only stock returns with a lag period is able to explain employment rate growth. GDP with a lag period is able to explain the stock returns and the stock returns with a lag period can also explain the GDP. The bi-causality relationship between stock returns and GDP, as being aware of either of them, the other variable can be predicted. The stock return with tow lag periods is able to explain the inflation. The monocausality relationship between both from stock return to inflation, as being aware ofstock returns, the inflation can be predicted. Growth of stock price index with tow lag periods is able to explain the stock returns and stock return with tow lag periods can also explain the growth of stock price index. In addition, the mono-causality relationship between both from stock returns to growth of stock price index, as being aware of stock return, the growth of stock price index can be predicted.