Investigation of the Relationship Between GNP and Inflation Rate with Actual Return on Stock in Production Companies Listed in Tehran Stock Market

摘要

Background: Capital market has a close relationship with national economic structures. One of the problems of capital markets is how to interact and have mutual effect with economic main variables. Therefore, researchers and financial and economic analyzers attempt to help investor for a suitable investment through recognition of factors contributing to return on stock and effect of each one. In this way, effect of major economic variables such as GNP and inflation on stock market and specifically return on stock and its contribution to investors’ decision along with risk evaluation are issues which must be investigated by financial experts and researchers. The main purpose of present paper is to investigate the relationship between GNP and inflation rate and actual return on stock of companies listed in Tehran stock market. Literature reveals the presence of various and conflicting viewpoints regarding the relationship between return on stock and inflation so that there is no agreement among economists and some note it as an enigma. Some of them support a positive relationship between return on stock and inflation rate and others a negative one; while another group believe that there is on significant relationship between these variables. In this paper, after a brief review over some experimental works, relationship between GNP and inflation rate and actual return on stock in Tehran stock market during 2006-12 will be testes in an annual basis. Research tool is the financial bills of production companies listed in Tehran stock market, statistical and financial reports of central bank and monthly bulletin of OPEC. Statistical measurement tool is EViews software which is used for estimation of regression models by means of composite data. Results demonstrate that there is no relationship between GNP and actual return on stock in a seasonal period. However, GNP affects actual return on stock. Inflation rate has an annual and seasonal effect on actual return on stock and this finding is in agreement with most of the literature cited in this work.