The Relationship between Crude Oil Volatility, CPI and industrial Production with Stock Market Return

Document Type : Research Paper


1 Assistant Professor, Isfahan University, Economics Faculty

2 Science and Research Unit of Isfahan Center

3 Shiraz University, Faculty of Economics


In this paper we examine the effect of the oil volatility, Consumer Price Index (CPI) and Industrial Production on the Stock Market return in Tehran Stock Exchange (TSE). We used seasonal data in period 1378-1390 and Auto Regressive Distributed Method (ARDL) for the short-term and long-term relationship between the variables. As results of research indicate, we find that there is positive short-term relationship between oil volatility and industrial production with stock market return and no long-term relationship between these variables.
JEL Classification: C32, E44, E200, G10


Volume 49, Issue 3 - Serial Number 3
October 2014
Pages 483-498
  • Receive Date: 24 February 2013
  • Revise Date: 08 August 2014
  • Accept Date: 30 September 2014
  • First Publish Date: 30 September 2014