Relationship economic uncertainty and Synchronization of stock returns of companies listed on the Tehran Stock Exchange

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Shekarkhah Javad; Asiayi Mohammad Reza; Mahmoudi Mahdi

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Journal Paper

Paper Information

Journal: JOURNAL OF SECURITIES EXCHANGE Year:2023 | Volume:16 | Issue:62 Page(s): 225-252

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Title

Relationship economic uncertainty and Synchronization of stock returns of companies listed on the Tehran Stock Exchange

Author(s)

Shekarkhah Javad | Asiayi Mohammad Reza | Mahmoudi Mahdi | Issue Writer Certificate

Keywords

Uncertainty in economic policies

synchronization of stock returns

stock price efficiency

Abstract

The negative economic consequences resulting from the uncertainty of economic policies have led to the formation of concerns between regulatory bodies, government, and companies. The purpose of this study is to investigate the relationship between economic uncertainty in Iran and the synchronization of stock returns.Method: To achieve the purpose of the study, the financial information of 135 companies listed on the Tehran Stock Exchange for the period 1390 to 1399 was examined and the hypotheses were tested using a multivariate regression model. in order to measure economic uncertainty (indicators of economic growth rate, exchange rate, inflation rate and interest rate) and the synchronization of stock returns, the Garch model and the market model determination coefficient have been used, respectively.Results: The results of testing the hypotheses show that there is a negative and significant relationship between uncertainty in economic growth rate and interest rate with the synchronization of stock returns and a positive and significant relationship between uncertainty in exchange rates and synchronization of stock returns

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