Macroeconomic Variables Impact on Stock Returns of Financial Companies in Iran: ARDL approach

This study examines the impact of macroeconomic variables on the stock companies in the financial index in Iran. Research period is from March 2009 to March 2019 and Autoregressive Distributed Lag is used as research’s method. The dependent variable is one of Tehran Securities Exchange (TSE) market Indices known as financial index and Independent variables are monetary and fiscal policies and other selected macroeconomic variables. The results showed that there is no relation between fiscal policy indicators and financial index. But one of monetary policy indicators showed an impact on financial index. Among other variables, exchange rate was meaningful and the current exchange rate had a positive effect and the first interval of the exchange rate had a negative impact on the financial index. Oil price could not be significant at a significant level of 5%, but at a significant level of 10% had a negative impact on the financial index. Other variables did not have a significant effect on the financial index.