Investigating the relationship between macroeconomic variables and stock index returns in cash: Tehran Stock Exchange

The aim of this study is to determine the long-term relationship between growth rate of stock index cash returns (TEDIX) and a set of macroeconomic variables such as inflation rate (CPI), money supply growth rates, exchange rates and oil revenues. The data in this study has been analyzed as seasonal for the period of 1998 to 2007 with Auto Regressive Distributed Lag (ARDL) method. The Results of Dickey-Fuller (ADF) generalized unit root test showed that variable rate liquidity in first order and other variables in the first order of difference are stable. The co-integration test results also indicated there is a long-term relationship between aforementioned economic variables and growth rate cash index returns, so that the relation between the long-term growth and cash returns index of oil revenue and exchange rate is negative and with inflation this relationship will be positive. Besides the significant liquidity growth factor in the ninety percent level of confidence was rejected.