INVESTIGATING THE RELATIONSHIP BETWEEN REAL EXCHANGE RATE UNCERTAINTY AND STOCK PRICE INDEX IN TEHRAN STOCK EXCHANGE USING VAR-GARCH MODELS

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HEIDARI HASSAN; BASHIRI SAHAR

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Journal: JOURNAL OF ECONOMIC MODELING RESEARCH Year:2012 | Volume:3 | Issue:9 Page(s): 71-92

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Title

INVESTIGATING THE RELATIONSHIP BETWEEN REAL EXCHANGE RATE UNCERTAINTY AND STOCK PRICE INDEX IN TEHRAN STOCK EXCHANGE USING VAR-GARCH MODELS

Author(s)

HEIDARI HASSAN | BASHIRI SAHAR | Issue Writer Certificate

Keywords

REAL EXCHANGE RATE UNCERTAINTYQ2

STOCK PRICE INDEXQ2

BGARCH MODELQ2

IRANQ2

Abstract

This paper investigates the relationship between REAL EXCHANGE RATE UNCERTAINTY and STOCK PRICE INDEX in Tehran stock exchange for the period of 1995-2009 by using monthly data and applying Bivariate Generalized Autoregressive Conditional Heteroskedasticity model (Bivariate GARCH). The results show that there is a negative and significant relationship between REAL EXCHANGE RATE UNCERTAINTY and STOCK PRICE INDEX. However, the relationship between stock price uncertainty and real exchange rate is insignificant. Therefore, our results recommend that the policies which cause more volatility in the exchange market and also more volatility in the real exchange rate should be avoided to ensure the sustainable growth of the stock market and its price index.

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APA: Copy

HEIDARI, HASSAN, & BASHIRI, SAHAR. (2012). INVESTIGATING THE RELATIONSHIP BETWEEN REAL EXCHANGE RATE UNCERTAINTY AND STOCK PRICE INDEX IN TEHRAN STOCK EXCHANGE USING VAR-GARCH MODELS. JOURNAL OF ECONOMIC MODELING RESEARCH, 3(9), 71-92. SID. https://sid.ir/paper/208855/en

Vancouver: Copy

HEIDARI HASSAN, BASHIRI SAHAR. INVESTIGATING THE RELATIONSHIP BETWEEN REAL EXCHANGE RATE UNCERTAINTY AND STOCK PRICE INDEX IN TEHRAN STOCK EXCHANGE USING VAR-GARCH MODELS. JOURNAL OF ECONOMIC MODELING RESEARCH[Internet]. 2012;3(9):71-92. Available from: https://sid.ir/paper/208855/en

IEEE: Copy

HASSAN HEIDARI, and SAHAR BASHIRI, “INVESTIGATING THE RELATIONSHIP BETWEEN REAL EXCHANGE RATE UNCERTAINTY AND STOCK PRICE INDEX IN TEHRAN STOCK EXCHANGE USING VAR-GARCH MODELS,” JOURNAL OF ECONOMIC MODELING RESEARCH, vol. 3, no. 9, pp. 71–92, 2012, [Online]. Available: https://sid.ir/paper/208855/en

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