Univrsity Of Tehran Press Financial Research Journal 1024-8153 16 2 2014 09 23 Investigating the Hsiao’s Granger Causality among Returns of 11 World Stock Markets Indexes and Return of Tehran Stock Exchange Index Investigating the Hsiao’s Granger Causality among Returns of 11 World Stock Markets Indexes and Return of Tehran Stock Exchange Index 219 234 50710 10.22059/jfr.2014.50710 FA Ali Asghar Anvary Rostamy Professor, Financial Management, Tarbiat Modares University, Tehran, Iran Hossein Ghorbani Farmad MSc. in Financial Management, Tarbiat Modares University, Tehran, Iran Adel Azar Professor, Industrial Management, Tarbiat Modares University, Tehran, Iran 0000-0003-2123-7579 Journal Article 2014 04 06 In today’s world, markets are no longer under the limitations of a specific location and the importance of this issue is illustrated in effective decision making of economic agents, because the world financial markets are considered often valuable guideline for domestic and foreign markets. In this research, due to the connections between world stock markets, stock markets in countries with the most commercial communications with Iran during the time period of study (2005-2011) have been selected. These markets include London, Tokyo, Shanghai, Frankfurt, Paris, Milan, SIX Swiss, Istanbul, Korea, Bombay Stock Exchanges, and Dubai Financial Market. The returns of these stock markets are extracted and their causal relationships with the returns of Tehran Stock Exchange are estimated by Hsiao’s Granger Causality method. The results show that returns of markets in London, Frankfurt, Frankfurt, Paris, Milan, SIX Swiss, Tokyo, Korea and Bombay Stock Exchanges are the Hsiao’s Granger Causality for index return of Tehran Stock Exchange. In today’s world, markets are no longer under the limitations of a specific location and the importance of this issue is illustrated in effective decision making of economic agents, because the world financial markets are considered often valuable guideline for domestic and foreign markets. In this research, due to the connections between world stock markets, stock markets in countries with the most commercial communications with Iran during the time period of study (2005-2011) have been selected. These markets include London, Tokyo, Shanghai, Frankfurt, Paris, Milan, SIX Swiss, Istanbul, Korea, Bombay Stock Exchanges, and Dubai Financial Market. The returns of these stock markets are extracted and their causal relationships with the returns of Tehran Stock Exchange are estimated by Hsiao’s Granger Causality method. The results show that returns of markets in London, Frankfurt, Frankfurt, Paris, Milan, SIX Swiss, Tokyo, Korea and Bombay Stock Exchanges are the Hsiao’s Granger Causality for index return of Tehran Stock Exchange. https://jfr.ut.ac.ir/article_50710_58037beffaba2c4a6fbf0bbb346bac74.pdf