In recent decades, financial markets and especially the stock market have been a concern to investors on the one hand, and on the other hand, for economists and policy makers, especially in developing countries because these markets are formal, legal and safe places for investment. Studying capital markets, that represent the situation of the countries’ economies, can help policymakers to take right decisions at the level of national economy by identifying the variables that affect capital markets or are affected by it. One of these variables that are discussed in this article is inflation. In this paper, firstly, with the cointegration method, by using the quarterly data for 20002009, the effect of changes in stock traded on the consumer price index (CPI) and producer price index (PPI) was evaluated. In both cases, there was an indirect long-term relationship between the two variables. Then we study the relationship between CPI and PPI with changing the value of traded shares at Tehran Stock Exchange by using Granger causality. The results show a one-way causality from changing the value of traded shares to CPI while the relationship is contrast for PPI and there is a one-way causality from PPI to changing the value of traded shares.

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