The Effect of Uncertainty of Macroeconomic Indicators on Tehran Stock Exchange Return With an Approach of the TVP-SV Model

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1 Inernaional Journal of Finance and Managerial Accouning, Vol.3, No.9, Spring 2018 The Effec of Uncerainy of Macroeconomic Indicaors on Tehran Sock Exchange Reurn Wih an Approach of he TVP-SV Model Samaneh Tarighi Ph.D. Candidae of Economics, Faculy of Managemen and Economics, Science and Research Branch, Islamic Azad Universiy, Tehran, Iran Taqi Torabi Associae Professor, Deparmen of Economics, Faculy of Managemen and Economics, Science and Research Branch, Islamic Azad Universiy, Tehran, Iran (Corresponding auhor) Farhad Ghaffari Assisan Professor, Deparmen of Economics, Faculy of Managemen and Economics, Science and Research Branch, Islamic Azad Universiy, Tehran, Iran Abbas Memarnezhad Assisan Professor, Deparmen of Economics, Faculy of Managemen and Economics, Science and Research Branch, Islamic Azad Universiy, Tehran, Iran ABSTRACT One of he mos imporan duies of financial economy is modeling and forecasing he volailiies of price of risky asses. From analyss and policy makers view, price volailiy is a key variable conribuing o percepion of marke volailiies. Therefore, analyss need o have an appropriae of forecas of price volailiy as a necessary inpu o perform duies such as risk managemen, porfolio allomen, assessmen of a-risk value, pricing, auhoriy of ransacion and fuure conracs. Accordingly, in he presen sudy, using TVP-SV and PLS models and comparison hem wih he mehod OLS in MATLAB and XLSTAT sofware in he period from o (monhly) he effec of acual variables (indusrial producion, invesmen of acual secor in housing, economic growh, share of governmen expenses o GDP and growh rae of nonoil expor) and moneary variables (inflaion, money arena, oil price, domesic price of gold) on reurn of he Tehran Sock Exchange is invesigaed. Based on he PLS model, i was concluded ha variables of economic growh and oil price affeced he efficiency of he Tehran Sock Exchange more han oher variables. Then, variables of economic growh and oil price were enered o he TVP-SV model. According o resuls, he model TVP is more efficien han he OLS one. In addiion, he TVP-SV model afer pause of sock reurn, economic growh during he period had he highes efficiency on sock reurn. Keywords: Time-Varying, Sochasic Volailiy, Sock Reurn, TVP-SV. Wih Cooperaion of Islamic Azad Universiy UAE Branch 29

2 30 / The Effec of Uncerainy of Macroeconomic Indicaors on Tehran Sock Exchange Reurn Wih 1. Inroducion Financial markes play a key role in he developmen and economic growh of counries. Therefore, idenifying variables of financial secor and relaionship wih he acual secor are highly imporan (Chen e al., 1986). Unforeseen changes of macroeconomic variables can be a facor affecing he efficiency of capial markes (Azeez, & Yonezawa, 2006). Thus, idenifying he facors affecing he capial marke can considerably help o direc invesors capial in choosing he opimal porfolio. Some expers regard he source of economic shocks as unforeseen changes of exchange raes, inflaion and changes in he marke. Gulekin (1983), Solnik (1983), Benderly and Swick (1985), Fama and Schwer (1977), Mayasmai and Koh (2000), Gan e al. (2006), Serleis (1993), Mudsen (2002) and Humpe and Macmillan (2004) concluded ha creaing a shock on macroeconomic variables generally caused by changes in moneary policies is effecive on sock marke reurn. Based on he resuls of he majoriy of domesic and foreign research, macroeconomic variables affec sock reurn. The main problem in mos of he abovemenioned research is disregarding he insabiliy of he esimaed parameers over ime. In oher words, in he presen sudy, using regime change and sochasic volailiy models, insabiliy of he esimaed parameers over ime is also aken ino consideraion. In classical regression mehods, i is assumed ha a relaionship wih consan parameers can be applied a differen imes. Incorrec resuls of his unrealisic assumpion creaed dynamic models, being more similar o he realiy of he ouside world. According o Sock and Wason (2008), among he problems in previous models (radiional models based on resricive classical assumpions) was he fac ha hey could no presen an accurae forecas over ime. In some cases, i was observed ha some models could esimae forecas beer only in recession and some oher ones could esimae forecas beer only a boom imes, causing o consider a model incapable of solving his problem so ha i would able o provide more reliable forecass a all inervals (recession and boom imes). Time-varying parameer sochasic volailiy (TVP-SV) approach is one of he laes echniques and mehods used in economeric lieraure, providing he esimaion of unobservable variables or sae variables in he equaion sysem. TVP-SV approach has examined srucural insabiliy in he model parameers and allows he possibiliy of changing he model parameers over ime. In addiion, one of he mos imporan benefis of his mehods over oher radiional and convenional ime series mehods such as ordinary leas squares (OLS) is ha in his approach, here is no need o examine he uni roo ess in he ime-series variables, and here is no necessiy concerning he reliabiliy of he variable a he level. Thus, in his approach, he researcher should no worry abou he variables and differencing he ime series variables. This caused he adven of TVP ha could have prediced huge models (wih large number of variables) over ime. This paper is wrien in five secions. Afer he inroducion, in he second secion, heoreical principles and he foreign and domesic lieraure concerning he issue are presened. In he hird secion, he research mehod and esimaed models are analyzed. Finally, in he fifh secion, resuls are summarized and policy suggesions are offered. 2. Lieraure Review Pricing model and Capial Asses Lucas saes ha idenifying facors affecing he sock marke and predicing changes in he marke have always been of ineres o economiss and policymakers. To idenify he facors affecing price in he sock marke, way of deermining he price of securiies should be considered. In he capial asses pricing model, he price of asses such as socks reflecs curren price of he expeced reurn of asses. Therefore, in he sock price, each facor affecing he expeced sock reurn will affec he sock price. Lucas, in his paper, considers a quie simple economy wih a produc and a consumer wih he following condiions. In his economy, he consumer maximizes his expeced uiliy funcion as Equaion 1 shows: (1) where C is level of consumpion in period, U(0) uiliy funcion, ß discoun facor and E he mah expecaion operaor. In his economy, he producion is (y) conduced by n producion uni ha heir producion can be considered in he period in he form of he vecor Y Y, Y,..., Y ). Therefore, ( 1 2 n

3 Inernaional Journal of Finance and Managerial Accouning / 31 concerning level of consumpion in he period, we will have: (2) Furhermore, ownership of each producion uni will be deermined in sock in each period in a compeiive marke. Sock price of each uni is deermined based on he acual fuure paymen o each and price of he unis for he period can be shown in a vecor P P, P,..., P ). Moreover, share of a ( 1 2 n consumer of ownership of he uni vecor in he period is shown in he vecor Z Z, Z,..., Z ). Lucas poins ou ha here ( 1 2 n is only one produc and consumer in his economy. In his regard, all values are cerain. In oher words, consumpion of each period for is producion is n C Y n i 1 and share of consumer of all unis of producion is equal for all periods ( Z (1,1,...,1) for all periods). Therefore, he main poin of he analysis would be deermining he behavior of he sock equilibrium price (Lucas, 1978). Lucas, o deermine he equilibrium price behavior, emphasizes ha all informaion concerning he presen and fuure physical sae of he economy is gahered in he curren producion vecor (Y) gahered. Moreover, considering recursiviy of preferences and assuming sabiliy of he funcion P(0) in all periods, i is shown ha he sock marke solves a problem idenical for each period, herefore, he equilibrium price (on he condiion ha always follows a sysemaic behavior) should be shown as a funcion of he economic condiions ( P P Y ). ( According o Lucas, level of consumpion and a decision on a consumer s porfolio, C ) depend ( Z 1 on his iniial porfolio Z ), prices o be faced P ) ( ( and informaion received on he curren saus and fuure of he economy Y ). Thus, his behavior can be ( explained by fixed decision-making laws C(0) and g(0) as follows: (3) (4) Therefore, if he fuure behavior of prices P Y ) ( is deermined and specified, hen he consumer has he abiliy o opimize he aforemenioned funcions. Considering he above, on he one hand wih he price, he consumer s behavior can be deermined, on he oher hand, by deermining he consumer s decision rules g(0) and C(0), he curren sock prices faciliaing he marke-clearing can be deermined (Lucas, 1978). Given he above, a model close o he model presened by Lucas can be indicaed as follows where he price of sock is he presen value of he expeced sock profi (Kia, 2003a, 38). where (5) P is he sock price in ime, 1 D he ineres paymens beween he periods and + 1 (paymen o shareholders beween he wo periods), R ineres raes in ime, E expecaion operaor based on informaion in ime. For P, his equaion 1 can be wrien as follows: Tha by subsiuing i for (6) P, we will have: (7) Now, if he same hing is repeaed n-1 and by assuming ha he discoun rae of all periods is equal, in oher words: (8) And he curren value of fuure expeced sock price is equal o zero as follows: (9)

4 32 / The Effec of Uncerainy of Macroeconomic Indicaors on Tehran Sock Exchange Reurn Wih The curren sock price ( P ) will be equal o he following equaion: (9) The validiy of his model (presen value on he sock marke model) has been discussed in several sudies. Akdeniz e al. (2007) in a sudy using he general equilibrium asses pricing model, invesigaed he validiy of his model and marke efficiency. They used condiional variance bound o es his model. The es resuls indicaed ha variance bound does no become disored. Therefore, he model is no rejeced and he marke is efficien. An efficien capial marke is characerized by one in which securiy prices adjus rapidly o he arrival of new informaion. Therefore, he curren prices of securiies reflec all informaion abou he securiy. Championed by Fama (1970), he semi srong form of efficien marke hypohesis saes ha sock prices mus conain all relevan informaion including publicly available informaion. This has imporan implicaions for policy-makers and he sock-broking indusry alike. Policy makers should feel free o conduc naional macro-economic policies wihou he apprehension of influencing capial formaion and he sock rade process. In addiion, economic heory suggess ha sock prices should reflec expecaions abou fuure corporae performance. Corporae profis generally reflec he level of economic aciviies. If sock prices accuraely reveal he underlying fundamenals, hen he sock prices should be employed as leading indicaors of fuure economic aciviies. Therefore, he causal relaions and dynamic ineracions among macroeconomic variables and sock prices are imporan in he formulaion of he naion s macroeconomic policy. The relaionship beween he oal economic indicaor and sock reurns is as follows. Indusrial producion Acual secor invesmen in housing Economic growh Acual variables Share of governmenal expendiure o GDP Rae of non-oil expor growh Sock reurn Inflaion Money supply Exchange rae Moneary variables Oil revenues Acual ineres rae Diagram 1: Macroeconomic facors on sock reurns

5 Inernaional Journal of Finance and Managerial Accouning / 33 Owing o exisence of various researches concerning he curren issue, resuls researches are briefly divided ino wo main caegories. The firs caegory is in favor of he fac ha macro facors are effecive on sock reurn and he oher is agains i. Table 1 summarizes he research resuls of hese wo groups. According o he resuls of Table 1, i is observed ha in he majoriy of researches, he resul is ha he volailiies in macroeconomic variables affec sock reurn. Table 1: Summary of resuls of domesic and foreign researches (Impac of macroeconomic variables on sock reurn) Advocaes Daisy Li e al. (2014); Kurov (2014); Hilde e al. (2013); Chang & Chena (2012); Aalia Sizva e al. (2011); Liwung e al. 2011, Aleve & Jemazy (2010), Chang (2009); Jamazy & Aleve (2009), Yang & Cheng (2008); Gay (2008); Anhony & Quam (2008); Agrawalla & Tueja (2008); Pol e al. (2009); Liu (2008); Pooh e al. (2007); Avanidiz & Kananicas (2007); Hump & McMillan (2006); McCurdy e al. (2005); Jernland and Limu (2005); Hump & McMillan (2004); Madsen (2002); Shali & Tizaky (2001); Avanidiz & Kananicas (2007); Hump & McMillan (2006); McCurdy e al. (2005); Jernland and Limu (2005); Hump & McMillan (2004); Madsen (2002); Shali & Tizaky (2001) Mayasmay & Ke (2000); Gupa e al. (2014); Chan e al. (2016); Jones e al. (2014); Anonio e al. (2013); Yu (2011); Nakajima (2011); Gruen e al. (2011); Momaz (2010) ; Klodilin e al. (2009); Gregorio e al. (2009); Sargen e al. (2005); Gara e al. (2011); Primisiri (2004); Bernanke & Kuner (2004); Ibrahim (2003); Yunidis & Kononikas (2008); Kai (2010); Alajideh e al. (2010); Zhao (2010), Subari & Salyho (2010); Chynzera (2011). Opponens Aposolos Serlies (1993), Daly & Cerny (2005), Pune & Taylor (1991), Chen e al. (2007) 3. Mehodology In his secion, we inroduce he mehods used in his sudy. In his research, wo general caegories of models are used, which are discussed below TVP-SV Regression Model wih Sochasic Volailiies The TVP-SV Model in a srong and flexible way enables us o record possible changes in he fundamenal srucure of economy. TVP regression model is considered as follows. Regression: (1) Time-varying parameers: (2) where y is dependen variable marix, x and z vecors of explanaory variables, a vecor of consan parameers, and parameers and a vecor of ime-varying h sochasic volailiies. We assume 0, 0 u N(0, ), 0 and h I is assumed ha all parameers follow he firsorder sochasic sep process, leading o a permanen and emporary ransfer in parameers. Sochasic volailiies play an imporan role in he TVP models. Alhough he idea of sochasic volailiies was originally proposed by Black (1976), following i, many differen developmens are formed in financial economerics (Geisel, Harvey & Renaul 2002; Shepard, 2005). Sochasic volailiies: (3) 3.2. Parial Leas Squares (PLS) Parial Leas Squares (PLS) is exremely appropriae o solve complex and non-linear models and analyze models simulaneously (Naik e al., 2000). This echnique allows o invesigae he relaionship beween laen variables (invisible variables) and measures (visible variables) simulaneously. In he

6 34 / The Effec of Uncerainy of Macroeconomic Indicaors on Tehran Sock Exchange Reurn Wih PLS models, wo models are esed: ouer models and inner models. The ouer model is similar o measuremen and inner model is similar o pah analysis in srucural equaion models. Afer esing he ouer model, i is necessary o presen he inner model indicaing he relaionship beween he research laen variables. Pah analysis + confirmaory facor analysis = SEM Inner model + ouer model= Parial Leas Squares Thus, he PLS mehod is capable o prioriize he mos imporan facors affecing sock reurn according o process of daa (inner model) and invisible facors (ouer model) Inroducion of Research Daa The sudy ime period is from 2003 o 2013 in he form of monhly daa. Exracing he presen paper daa is as follows: Volume of money exraced from he websie of he Cenral Bank of he Islamic Republic of Iran Oil revenues exraced from he websie of he Cenral Bank of he Islamic Republic of Iran Inflaion rae exraced from he websie of he Cenral Bank of he Islamic Republic of Iran Exchange rae exraced from he websie of he Cenral Bank of he Islamic Republic of Iran Acual ineres raes exraced from he websie of he Cenral Bank of he Islamic Republic of Iran (based on he researcher s calculaions) Sock reurn on he Tehran Sock Exchange exraced from Codal Websie of he Tehran Sock Exchange (Rahavard Novin Sofware) Economic growh exraced from he websie of he Cenral Bank of he Islamic Republic of Iran Governmenal expendiure o GDP raio exraced from he websie of he Cenral Bank of he Islamic Republic of Iran Indusrial producion index exraced from he websie of he Cenral Bank of he Islamic Republic of Iran Non-oil expor exraced from he websie of he Cenral Bank of he Islamic Republic of Iran Acual secor invesmen in housing exraced from he websie of he Minisry of Housing and Urban Developmen 4. Resuls In his secion, he research model is esimaed Esimaion of he PLS Model In his secion, using he PLS mehod, he mos imporan acual and moneary indicaors in sock reurn are deermined. Moneary and acual variables are as follows: Acual variables X1: Indusrial producion X2: Acual secor invesmen in housing X3: Economic growh X4: Share of governmenal expendiure o GDP X5: Rae of non-oil expor growh Moneary variables X6: Inflaion X7: Money supply X8: Exchange rae X9: Oil revenues X10: Acual ineres rae. The research main model is as follows: =f X, X,... ) y ( 1 2 X10 Where Y is he dependen variable represening sock index reurn and he explanaory variables and X represens he effecive moneary and acual facors. A summary of he resuls of he PLS model is presened below. According o Diagram 2, whenever vecors are closer o he cener of he circle, he level of correlaion beween sock index reurn and componens will be less.

7 2 Inernaional Journal of Finance and Managerial Accouning / 35 Correlaions wih on axes 1 and 2 x2 x10 x1 x4 y1 x7 x5 X x6 Y x8 x9 x3 index. Accordingly, he effec of uncerainy of economic growh variable X3 represening he acual secor oil revenues variable X9 represening he moneary secor is invesigaed. I should be noed ha according o he PLS model resuls, we can conclude ha: Table 3: Prioriizing he research indices Variable Symbol Prioriy Naure X3 Economic growh 1 Acual X9 Oil revenues 2 Moneary X6 Inflaion 3 Moneary X8 Exchange rae 4 Moneary 1 Diagram 2: Correlaion of he model variable wih esimaion componens (Source: Researcher s calculaions) In Table 2, he variables are prioriized in order of imporance from op o boom wih respec o heir sock index reurn: Table 2: Variables in order of imporance in he firs wo componens Lower Upper Sandard Variable VIP bound bound deviaion (95%) (95%) X X X X X X X X X X (Source: Researcher s calculaions) According o Table 2, he variables x3 and x9 have he highes share of impac on sock index reurn. In oher words, since hese wo variables have he highes share in he explanaion of he sock exchange, hen have he highes share in he reasons of changes in his X4 Share of governmenal expendiure o GDP 5 Acual X7 Money supply 6 Moneary X1 Indusrial producions 7 Acual X2 Acual secor invesmen in housing 8 Acual X10 Domesic price of gold 9 Moneary X5 Growh rae of non-oil expors 10 Acual Source: Researcher s calculaions According o he resuls in Table 3, i is observed ha moneary indices are more effecive on he sock reurn han acual indices ha his may be due o he counry s shallow capial marke Esimaion of TVP-SV Model In he above equaions, x and y is marix of sock reurn, z are vecors of explanaory variables (moneary and acual variables), a vecor of consan parameers, parameers, and a vecor of ime-varying h sochasic volailiies. In he following, he model esimaion resuls are presened.

8 36 / The Effec of Uncerainy of Macroeconomic Indicaors on Tehran Sock Exchange Reurn Wih Diagrams 3 and 4 presen ime-varying parameers of he TVP model wih sochasic volailiies for individual independen variables. In he following diagrams, he TVP models wih advanced sochasic volailiies are used. In his mehod, a parameer is calculaed for each period of ime. As a resul, for each parameer of he model, parameer can be calculaed for each of he model parameers per period. The following diagrams show he esimaed parameers (no he procedure of daa for each variable) for each variable. According o Diagram 3, i is observed ha he ime-varying parameer of oil price in he period, and period as well as , period and period in monhly form is low, high and average, respecively. The rend of parameer of oher variables is as he following diagram. Diagram 3: Time-varying parameer of oil price Source: Researcher s calculaions Diagram 4: Time-varying parameer of economic growh rae Source: Researcher s calculaions

9 Inernaional Journal of Finance and Managerial Accouning / 37 According o Diagram 4, i is observed ha he ime-varying parameer of economic growh rae in mos courses, here is a negaive effec on sock reurns. This resul is due o he phenomenon of Duch Disease in Iranian economy Afer esimaing he TVP model wih sochasic volailiies o compare is predicive resuls wih he dynamic TVP models used in inernaional sudies in recen years, he TVP models are esimaed and heir resuls o predic sock reurn are compared. Therefore, in Table (4) he values MAFE and MSFE of he esimaion of differen OLS and TVP-SV models are provided in he forecas horizon one and four. Table 4: A Comparison of differen models based on Kalman s filer Forecas Mehod OLS TVP-SV h = 1 MAFE Source: Researcher s calculaions MSFE Resuls of Table 4 show ha all he sudy models of he OLS model (he radiional approach) have higher accuracy so ha he TVP-SV model has beer forecas accuracy han oher mehods. Based on Table 5, i is observed ha a any ime period which variables have had an impac on sock reurn. For example, i is observed ha in he period , he firs inerrupion of sock reurn is effecive on he sock reurns. For insance, i is observed ha in he period , he firs inerrupion of sock reurn and economic growh rae have he highes impac on he Tehran Sock Exchange. Such an analysis can be presened o oher periods. The resuls of he above able are presened as follows: The firs inerrupion of sock reurn in he period (162 periods) has had a significan impac on sock reurn. Oil price has had a significan impac on sock reurn in 94 periods. Economic growh has had a significan effec on sock reurn in 73 periods. In conclusion, i is observed ha afer he firs inerrupion of sock reurn, economic growh during he sudying period has had he highes impac on sock reurn. Table 5: Variables affecing sock reurn in differen periods Period Variable consan AR_ consan AR_ consan AR_ consan AR_1 POIL_ consan AR_1 Y_ consan AR_1 POIL_ consan AR_1 Y_ consan AR_1 POIL_ consan AR_1 POIL_ consan AR_1 Y_ consan AR_1 POIL_ consan AR_1 Y_ consan AR_ consan AR_1 Y_ consan AR_1 Y_ consan AR_1 Y_ consan AR_1 Y_ consan AR_ consan AR_ consan AR_ consan AR_ consan AR_ consan AR_1 POIL_0 Y_ consan AR_1 POIL_ consan AR_1 POIL_ consan AR_1 POIL_ consan AR_ consan AR_1 POIL_ consan AR_1 POIL_0 Y_ consan AR_1 POIL_0 Y_0 Source: Researcher s calculaions 5. Discussion and Conclusions One of he problems ha invesors use o predic he expeced reurn models is ha hese models are highly unsable and sensiive o differen markes and siuaions. In fac, conduced sudies show ha alhough here may be evidence for he abiliy o predic he expeced reurn forecasing models, i is so weak ha invesors canno use hem in pracice. On he oher hand, based on he heoreical and experimenal foundaions, he foundaion of Markowiz s Porfolio Theory (1952) is based on he relaionship beween urbulence and expeced reurn.

10 38 / The Effec of Uncerainy of Macroeconomic Indicaors on Tehran Sock Exchange Reurn Wih Markowiz s model is good guidance and an appropriae mehod on which he invesor creaes his opimum porfolio based on he power of risk olerance, expeced reurn, variance (or sandard deviaion) of securiies reurn and covariance or correlaion beween securiies reurn. The capial asses pricing model (CAPM) developed by Sharp (1964), Liner (1965) and Mucin (1966) is based on heories and findings of Markowiz s Modern Invesmen and Invesmen Baske Theory, having undeniable effec on he financial and invesmen affairs. In applying regression o invesigae relaions beween financial variables, he relaion beween variables is considered saic and developmen of hese relaionships over ime changing coefficiens of equaions is ignored. In hese mehods, i is assumed ha an equaion wih fixed parameers can be applied a differen imes. Incorrec resuls of his unrealisic assumpion creaed dynamic models, being more similar o he realiy of he ouside world. One of he main characerisics of dynamic sysems is ha heir behavior can be described hrough changes of is componens. Therefore, o resolve hese problems, a combinaion of TVP-SV and PLS models was used. The presen sudy resuls indicae more accuracy of dynamic models wih TVP han radiional models in forecasing sock reurn. Thus, he resuls of his sudy are as follows: 1. Based on he resuls of he TVP-SV model, a various inervals, variables wih differen inensiies (differen parameers) are effecive on sock reurn. This reflecs he fac ha forecasing sock reurn should be conduced a shor-erm inervals and longerm forecass canno be considered in sock invesmen. 2. Share of influence of variables during he sudying period on sock reurn is differen, and he impac of each variable on sock reurn a differen imes is differen. As a resul, developing he model o he TVP-SV mehods and assuming ime volailiies variable have made he sock reurn forecas model efficien. Therefore, he heory of sochasic volailiies changes in financial daa is confirmed. 3. According o he resuls afer he firs inerrupion of sock reurn, economic growh in he sudying period had he highes effec on sock reurn. Considering ha differen variables a differen inervals have differen effec on sock reurn. Therefore, using models capable of separaing regime changes a differen probabiliy levels is proposed o forecas sock reurn. In his regard, i is recommended ha policymakers and individuals acive in financial markes should use general policies a all imes o improve he saus of financial markes and in each regime depending on wha facors affecs sock reurn, use ools suiable o ha regime in order o make heir policies. References 1) Adam A. M., Tweneboah G. (2008). Do macroeconomic variables play any role in he sock marke movemen in Ghana?. MPRA, 93(57): 28 2) Agrawalla T. (2008). Share Prices and acroeconomic Variables in India:An Approach o Invesigae he Relaionship Beween Sock Markes and Economic Growh. Journal of Managemen Research, 8( 3):212 3) Aliyu S., Usman R. (2011). Reacion of sock marke o moneary policy shocks during he global financial crisis: he Nigerian case, MPRA, 35(81):71 4) Anhony K. (2008). Impac of macroeconomic indicaors on sock marke performance. Journal of Risk Finance, 9 (4): ) Apergis N., Elefheriou S. (2002).Ineres raes, inflaion, and sock prices: he case of he Ahens sock Exchange. Journal of Policy Modeling, 24(3), ) Azeez, A. & Yonezawa, Y. (2006). Macroeconomic facors and he empirical conen of he Arbirage Pricing Theory in he Japanese sock marke. Japan and he World Economy, 18: ) Bjørnland H.C, Leiemo H. )2005(. Idenifying he inerference beween us moneary policy and he sock marke.bank of finland research discussion research. 8) Case K.E.,Quigley J.M.,Shiller R.J. )2005(. Comparing wealh effecs: he sock marke versus he housing marke. Advance Macroeconomics, 5(1): ) Cenral bank of he Islamic Republic of Iran. Research of Deparmen of Economic Sudies, Various years.

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