THE EFFECT OF EXCHANGE RATE VOLATILITY ON THE IRAN STOCK MARKET EXCHANGE

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PEDRAM M.

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2012 | Volume:5 | Issue:15 Page(s): 83-96

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Title

THE EFFECT OF EXCHANGE RATE VOLATILITY ON THE IRAN STOCK MARKET EXCHANGE

Author(s)

PEDRAM M. | Issue Writer Certificate

Keywords

REAL EFFECTIVE EXCHANGE RATEQ2

STOCK MARKET RETURNSQ4

TRADE DEFICITQ4

EGARCHQ4

Abstract

This paper looked at the relationship between Stock Markets and Foreign Exchange rates, and determined whether movements in exchange rates had an effect on stock market in Iran. The Exponential Generalized Autoregressive Conditional Heteroskedascity (EGARCH) model was used in establishing the relationship between exchange rate volatility and stock market volatility. It was found that there was positive relationship between exchange rate volatility and STOCK MARKET RETURNS. Additionally, there is volatility persistence in most of the macroeconomic variables. It was also revealed that an increase (decrease) in TRADE DEFICIT and expectation in future rise in TRADE DEFICIT would decrease (increase) stock market volatility. In addition, the consumer price index has a significant relationship with stock market volatility.

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APA: Copy

PEDRAM, M.. (2012). THE EFFECT OF EXCHANGE RATE VOLATILITY ON THE IRAN STOCK MARKET EXCHANGE. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 5(15), 83-96. SID. https://sid.ir/paper/200342/en

Vancouver: Copy

PEDRAM M.. THE EFFECT OF EXCHANGE RATE VOLATILITY ON THE IRAN STOCK MARKET EXCHANGE. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2012;5(15):83-96. Available from: https://sid.ir/paper/200342/en

IEEE: Copy

M. PEDRAM, “THE EFFECT OF EXCHANGE RATE VOLATILITY ON THE IRAN STOCK MARKET EXCHANGE,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 5, no. 15, pp. 83–96, 2012, [Online]. Available: https://sid.ir/paper/200342/en

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