الگوی هم‌جمعی متغیرهای اقتصاد کلان و بازار سهام ایران

The purpose of this research is to determine the relationship between stock prices index of Tehran Stock Exchange and a set of macroeco-nomic variables including exchange rate, money supply (M2), con-sumer price index (CPI), oil price and nominal interest rate. The data used in this research are monthly time series of year 1375 to 1384. Analysis of the data was done using Vector Autoregressive (VAR) and Johansen - Juselius co-integration method.  To do this, firstly, the reliability of the data was tested using Augmented Dickey-Fuller (ADF) Test. Then, by determining the power of VAR and ADF, the optimal vector was obtained.The results show that the long-term relationship among stock price in-dex, money supply (M2), consumer price index (CPI) and oil price are positive, but the long-term relationship among stock price index, ex-change rate and nominal interest rate are negative.