Arabian Journal of Business and Management Review (OMAN Chapter) Vol. 3, No.9; April. 2014 86 THE EFFECTS OF GOLD PRICE AND OIL PRICE ON STOCK RETURNS OF THE BANKS IN IRAN Mohammadreza Monjazeb 1 , Maryam Sadat Shakerian 2,* 1 Faculty Member, Economic department, University of Economic Sciences, Tehran, Iran 2 Student of System Engineering, University of Economic Sciences, Tehran, Iran Abstract: The aim of this study is to investigate the response of bank stock returns to world prices of oil and gold. Thus, our study is about seven banks in Iran, and data are selected as seasonal data for the period 2008 to 2012. Considering the nature of data, panel data method is used for the data analysis. The results show that the world oil price, with a lag, has had a significant positive effect, and the gold price has had a significant negative impact on stock return of the banks. Further results suggest that, exchange rate and interest rate have a negative impact, and inflation and gross domestic product (GDP) have a positive impact on the bank stock returns. Keywords: stock return, stock exchange, panel data I. INTRODUCTION One of the most important economic and capital sectors of each country is the capital market. In this regard, the stock exchange is the most important symbol of the capital market. This market, on the one hand affects the financial support of economic units, and on the other hand, it is involved in the economy by attraction of savings and their flow towards productive investments. Investors are considered as the main characters in the stock market who seek to maximize returns from their investment, and investment in stocks is considered as one of their investment options. Several factors affect the investment returns that macroeconomic variables are the most important. The aim of the present study is an attempt to examine the impact of variables such as oil and gold price on stock returns of banks listed on stock market. II. LITERATURE REVIEW Using Fama’s model, Madsen (2002) investigated the relationship between stock returns and macroeconomic variables for members of the Organization for Economic Cooperation and Development (OECD) for the period 1962-1995. In the Fama’s model variables that affect stock returns include growth rate of national income, first-order difference of interest rate, liquidity growth rate and inflation rate. By estimating this model for OECD countries, Madsen concludes that the inflation and interest rates negatively influence on the stock returns, and liquidity and the growth rate of national income have a positive impact on stock returns. Akar (2011), by using monthly data for the period 1990 to 2010, and utilizing the DCC- GARCH (1,1) model investigated the relationship between stock returns, gold, and foreign currency in Turkey. The results indicated the conditional correlation between price return of the assets varies over the time. The relationship between gold and stock in Turkey from 1990 to the