Identification and impact of monetary and financial shocks on the stock returns and stock industries of the country

Capital market is a dynamic market whose risk and return depend on internal and external factors of companies and industries. In the present study, first to identify and model external factors or optimal economic macro variables on the stock returns of companies and industries in Tehran Stock Exchange has been studied by the genetic algorithm function approximation (GFA) method in the period 1390 to 1399 and then the impact of economic shocks has been analyzed by the panel vector auto regression (PVAR) method. The modeling results showed that out of 10 macro variables affecting companies' stock returns, four variables, free exchange rate, OPEC oil price, coin price and interest rate on account are optimal. Government exchange rates, inflation, coin prices and interest rates are optimally calculated. The effect of two variables of coin price and interest rate on account on companies 'stock returns and the average return of stock exchange industries have been negative and significant. Also, the results showed that companies' stock returns are highly affected by oil and coin price shocks and government exchange rates. It has a significant effect on the average return of stock exchange industries.