The Effects of Macroeconomic Variables on the Output Indicators of Tehran Stock Exchange

The aim of this paper is to evaluate the macroeconomic variables on Tehran stock exchange by using cointegration method and seasonal data during 1998 – 2008. The estimation with 5 indicators for stock output (cash return, stock price index, and cash return and stock price index, industrial price index and financial price index) represent that Gross Domestic Product, money stock and liquidity are the main effective variables on the return of stock market. Coin is a week substitution for the stock exchange but, exchange rate and housing, based on selected indicator for stock exchange, affect the return of stock exchange. Although, the impact of real interest rate is negative, but it is not stable. Also, the findings show that periodical election influences the return of stock exchange.