The Effect of Economic Growth Volatility on Selected Industries in Tehran Stock Exchange

The main purpose of this study is to investigate the effects economic growth rate shock on selected industries value in Tehran Stock Exchange; For purpose, present study, were investigated by applying time-varying parameter factor-augmented vector autoregressive model (TVP-FAVAR) and using quarterly data during period (2011-2018).The results show that response different has been different; Also, for each industry over time, which highlights need a TVP approach. entering impulse (as much as one standard deviation), it was found stock market associated with time lag variable appear after several periods value. As research show, even years when we have had negative rate, some industries' completely opposite direction rate; One reasons subject low quality country.