Investigation Interaction between Exchange Rate and Stock Market in Iran: A Simultaneous Equation System Approach

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Rashnavadi Yaghoub; NOROUZI HOSSEIN; FIROOZAN SARNAGHI TOHID; Beigi Shahrokh

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Journal: JOURNAL OF ECONOMIC MODELING RESEARCH Year:2020 | Volume:10 | Issue:39 Page(s): 113-148

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Title

Investigation Interaction between Exchange Rate and Stock Market in Iran: A Simultaneous Equation System Approach

Author(s)

Rashnavadi Yaghoub | NOROUZI HOSSEIN | FIROOZAN SARNAGHI TOHID | Beigi Shahrokh | Issue Writer Certificate

Keywords

Stock Prices IndexQ2

Exchange rateQ2

Financial marketQ2

Simultaneous EquationQ2

Abstract

In recent years, the development of Securities markets has contributed greatly to the flourishing and development of countries. Having a structured and dynamic capital market has been one of the basic requirements of countries on the path of development, and the role of this market in creating economic equilibrium is known to everyone. Therefore, explaining the volatility of the stock market is very important. Meanwhile, the interaction between the stock market and the Exchange rate has been the subject of much research by many researchers. The Exchange rate is a key variable that neglecting it can create problems and issues for the economy of any country in various dimensions. Therefore, the present study, by specifying a system of Simultaneous Equations, has examined the simultaneous interactions between the Exchange rate and the stock market in Iran, using seasonal data from 2007 to 2017. The variables used in this system are the Exchange rate, stock price index, gold price, oil price, liquidity, and consumer price index. The results of this study showed that the Exchange rate has a positive and significant effect on the stock price index in Iran and as the Exchange rate rises, the stock price index will also rise. Moreover, the stock price index has a statistically significant effect on the Exchange rate in Iran. The results of estimating the model show that the effect of the stock price index on the Exchange rate is negative and significant, i. e., as the stock price index increases, the Exchange rate decreases.

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APA: Copy

Rashnavadi, Yaghoub, NOROUZI, HOSSEIN, FIROOZAN SARNAGHI, TOHID, & Beigi, Shahrokh. (2020). Investigation Interaction between Exchange Rate and Stock Market in Iran: A Simultaneous Equation System Approach. JOURNAL OF ECONOMIC MODELING RESEARCH, 10(39 ), 113-148. SID. https://sid.ir/paper/382727/en

Vancouver: Copy

Rashnavadi Yaghoub, NOROUZI HOSSEIN, FIROOZAN SARNAGHI TOHID, Beigi Shahrokh. Investigation Interaction between Exchange Rate and Stock Market in Iran: A Simultaneous Equation System Approach. JOURNAL OF ECONOMIC MODELING RESEARCH[Internet]. 2020;10(39 ):113-148. Available from: https://sid.ir/paper/382727/en

IEEE: Copy

Yaghoub Rashnavadi, HOSSEIN NOROUZI, TOHID FIROOZAN SARNAGHI, and Shahrokh Beigi, “Investigation Interaction between Exchange Rate and Stock Market in Iran: A Simultaneous Equation System Approach,” JOURNAL OF ECONOMIC MODELING RESEARCH, vol. 10, no. 39 , pp. 113–148, 2020, [Online]. Available: https://sid.ir/paper/382727/en

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