Investigating the Effect of Business Cycles and Investment-Specific Technology Shocks on Stock Returns in the Tehran Stock Exchange

Beyond a shadow of a doubt, the stock return is of great importance and one of the most influential criteria while making decisions in capital markets. For this reason, investigating the determinant factors of stock returns is important. Since the investment-specific technology shocks and business cycles are considered as factors that affect stock returns, the purpose of this study is to investigate the effect of business cycles and investment-specific technology shocks on stock returns in the Tehran Stock Exchange.

The statistical sample of this study is the companies listed on the Tehran Stock Exchange during the period from 1991 to 2018. The data are analyzed, using an autoregressive distributed lag model. Additionally, the short-run and long-run relationships between variables have been estimated in this study.

The results of the study reveal that business cycles, investment-specific technology shocks, and interest rates have significant positive effects on stock returns.