This study investigates the separate relationships between three macroeconomic variables the
consumer price index, oil prices, and foreign exchange rates and the consolidated price
movements of a 24-industry index of stocks listed on the Tehran Stock Exchange during
2003–2009. We hypothesize a significant and direct relation between each macro variable and
price movements of the 24-industry index. To test our hypotheses, we use econometric
methods that include ordinary least squares (OLS), linear regression, the Dickey–Fuller test,
the Phillips–Perron unit root test, the F test, and the White test. Results indicate a direct and
significant relation between the CPI and the 24-industry index. However, results confirm that
there is no significant relation between either the oil price or the exchange rate and the index
during the period examined.
کلید واژگان :
Consumer Price Index (CPI), oil price, exchange rate, 24-industry index, Tehran
