The Effect of Macroeconomic Variables on Stock Portfolio Performance Based on Traditional and Modern Network

Document Type : Research Paper


1 Department of Financial Management, Ilam Branch, Islamic Azad University, Ilam, Iran

2 Department of Management, Ilam Branch, Islamic Azad University, Ilam, Iran

3 Department of Accounting , Ilam University, Ilam , Iran



Evaluation of stock portfolio performance is considered one of the important issues in the capital market and investment management in stocks. Proper evaluation of portfolio performance requires recognizing the factors affecting it. The macroeconomic variables are important and effective factors due to affecting the systematic risk of companies. In this research, ordinary least squares method (OLS) was used to evaluate the effect of macroeconomic variables including inflation, interest rate, liquidity growth rate, oil price and currency rate (Rial versus Dollar) on the stock portfolio performance based on traditional and modern network theory. Performance of portfolios including growth portfolio, growth-value portfolio, and value portfolio, and offensive portfolio, indifferent and defensive portfolio was measured based on seasonal data from 2006 to 2016 using the Teriner Index. The research results show that at the error level of 5%, macroeconomic variables have an impact on the performance of both traditional and modern networks. However, the Akaike information criterion for the modern network model is equal to 5.822, which is less than the traditional network value with the value of 6.724. This suggests that the interpretation of macroeconomic variables in a modern network portfolio is better than that of traditional one. In addition, the effect of macro variables on the performance of the six portfolios will be different


[1] Abbasian, E, and Moradpour Oladi, M, and Abbasiun, V., Effect of macroeconomic variables on Tehran Stock Exchange Index, Quarterly Journal of Iranian Economic Research, 2008, 36, P.135-152 (In Persian)
[2] Azimi, M, and Karimi, F, and Norouzi, M., The Analysis of Factors Affecting Tehran Stock Exchange Index by Using Co-Integration, Quarterly Financial Accounting, 2010, 2(5), P. 76-93. (In Persian)
[3] Charles, P.J., Investment Management, Translated by Tehrani, R., Nourbakhsh, A., Tehran: Negah-e Danesh Publications, 2007. (In Persian)
[4] Darabi, R, and Ali Fari, M., Effect of macroeconomic variables on risk and total returns of stock with emphasis on stock-inflation return model, Quarterly journal of financial accounting and auditing research, 2010, 2(7), P. 141-170. (In Persian)
[5] Frank Lee, Riley & Kate C, B, Investment Analysis and Portfolio Management and Finance Engineering. Translated by Rahenamy-e Roudposhti, Fereydoun and Hibati, F, and Eslami Bidgoli, Gh., Tehran: Terme Publications, 2014.
[6] Niku Maram, H, and Rahnemay-e Roudposhti, F, and Hemmati, H., Comparison of Selected Portfolio Performance Based on Intellectual Capital Accountancy Models Using Network Analysis Model with Traditional and Modern Network Models, Journal of Management Accounting, 2012, 19, P.79-100. (In Persian)
[7] Raei, R., and Saeidi, A., Fundamentals of Financial Engineering and Risk Management. Tehran: Samt Publications, 2015 (In Persian)
[8] Raei, R., and Shavakhizadeh, A.,Evaluation of the performance of investment strategy in Tehran Stock Exchange, Financial Research Quarterly, 2006, 21, P.75-89. (In Persian).
[9] Rahnemay-e Roudposhti, F and Firouzan, M, and Mohammadi, L., Grouping the portfolio of the National Development Group Investment Company based on the network matrix and comparison of performance of the portfolio derived by this method using the optimal potential ratio, Quarterly Journal of Financial Research, 2011,13(32), P.15-34. (In Persian)
[10] Rahnemay-e Roudposhti, F and Mirghafari, S.R., Portfolio Performance Evaluation in Tehran Stock Exchange: Value at Risk, Journal of Financial Engineering and Management of Securities, 2011, 8, P.51-76. (In Persian)
[11] Rahnemay-e Roudposhti, F, and Mousavi Anzahabi, S.M., Comparison of Portfolio Performance derived from stocks grouping by Network Based on New and Traditional Variables Using Sharp and Teriner Indices, Investment Knowledge Quarterly, 2013, 2(7), P.193-211. (In Persian)
[12] Safavi, S.A., Investment Management and Risk, Tehran: Ketab-e Mehraban Publications, 2016. (In Persian)
[13] Suri, A., Econometrics along with application of Stata & Eviews, Tehran: Culture Knowledge Publications, 2015.
[14] Artikis W., George P., Performance Evaluation: A Case Study of the Greek Balanced Mutual Fund, Journal of Managerial Finance, 2003, 29(9), P.11-24 (In Persian)
[15] Asgharian, H., Christiansen, C., & Hou, A.J., Effects of macroeconomic uncertainty on the stock and bond markets. Finance Research Letters, 2015, 13, P.10-16. Doi:10.1016/
[16] Boucher. C., Stock prices-inflation puzzle and the predictability of stock market returns, Economics Letters, 2006, 90, P.205-212, Doi: 10.1016/j.econlet.2005.08.001
[17] Chen, N.F., Roll, R., Ross, S.A., Economic forces and the stock market, Journal of Business, 1986, 59(3), P.383-403. Doi :10.1086/296344
[18] Emenike Kalu O., Okwuchukwu, O., Stock market return volatility and macroeconomic variables in Nigeria. International Journal of Empirical Finance, 2014, 2(2), P.75-82.
[19] Fama U., Eugene, S., Stock returns, real activity, inflation and money, American Economic Review, 1981, 71, P.545-565 
[20] Halit Gonenc and Mehmet Baha Karan, Do Value Stocks Earn Higher Returns than Growth Stocks in an Emerging Market? Evidence from the Istanbul Stock Exchange, Journal of International Financial Management & Accounting, 2003, 5, P.1-25. Doi: 10.1111/1467-646X.00088
[21] Hamao, Y., An empirical examination of the Arbitrage Pricing Theory, Japan and Word Economy, 1988, 1(1), P.45-61. Doi :10.1016/0922-1425(88)90005-9
[22] Hatmani, A, and Karim Khani, M, and Abdoli, M., Analysis of the effect of macroeconomic variables on the total returns of Iran's Securities Market using the state-space method, Scientific-Specialized Biannual Journal of Development and Planning Economy, 2015, 1, P.83-102. (In Persian)
[23] Izadikhah, M., Farzipoor Saen, R., Ranking sustainable suppliers by context-dependent data envelopment analysis. Ann Oper Res, 2020, 293, P.607–637, Doi: 10.1007/s10479-019-03370-4
[24] Sapar, Narayan Rao and Madava, Ravindran, Performance Evaluation of Indian Mutual Funds, SSRN, 2003, 24 Pgs., Doi: 10.2139/ssrn.433100
[25] Saeedi, P, and Amiri, A, Investigating the relationship between macroeconomic variables using Tehran Stock Exchange Index, Economic Modeling Quarterly, 2008, 2, P.111-130. (In Persian)
[26] Shah Mansouri, E., Grouping the portfolio of Social Security Investment Network based on the network model and comparing the performance of the portfolio derived from this model for 2003-2006, Master Thesis of Islamic Azad University, Science and Research Branch of Tehran., 2008, (In Persian).
[27] Tabari, T, and Hooman, T., Effects of macroeconomic variables on Tehran Stock Exchange returns indices, Economic Modelling Quarterly, 2010, 1(11), P.121-144. (In Persian)
[28] Tripathi, V., Ritika. S., Stock Market Performance and Macroeconomic Factors: The study of Indian Equity Market, Global Business Review, 2014, 15(2), P.291-316. Doi: 10.1177/097215091452 3599
[29] Wanjiku EL. The effect of macroeconomic variables on portfolio returns of the pension industry in Kenya, Unpublished MSc research project, University of Nairobi. 2014.
[30] Zakaria, Z., Shamsuddin, S., Empirical evidence on the relationship between stock market volatility and macroeconomics volatility in Malaysia, Journal of Business Studies Quarterly, 2012, 4(2), P.61-71. (In Persian)