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

Khani, Abdollah; Karimi, Zohre; Karimi, Leila

doi:10.22059/jte.2014.52439

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

Document Type : Research Paper

Authors

Abdollah Khani ¹

Zohre Karimi ²

Leila karimi ³

¹ Assistant Professor, Isfahan University, Economics Faculty

² Science and Research Unit of Isfahan Center

³ Shiraz University, Faculty of Economics

10.22059/jte.2014.52439

Abstract

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

Keywords

oil prices

macroeconomic indicators

stock market return