Exchange rate fluctuations and reaction Tehran Stock Exchange

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OSOOLIAN MOHAMMAD; HassanNezhad Mohammad; Shokrolahnia Roshan Alireza

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Journal: INVESTMENT KNOWLEDGE Year:2020 | Volume:9 | Issue:35 Page(s): 223-238

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Information Journal Paper

Title

Exchange rate fluctuations and reaction Tehran Stock Exchange

Author(s)

OSOOLIAN MOHAMMAD | HassanNezhad Mohammad | Shokrolahnia Roshan Alireza | Issue Writer Certificate

Keywords

Abnormal returnsQ1

currency fluctuationsQ1

Auto Regressive Distributed Lag modelQ1

Abstract

In this study, the effect of exchange rate fluctuations on Abnormal returns of companies listed on the Stock Exchange were studied. In this study, Auto Regressive Distributed Lag model due to its ability to explain this connection was used for short-term and long-term. To evaluate the effect of exchange rate fluctuations, the banks' legal deposit at the central bank, GDP, inflation, current account and capital account on the stock market according to the designated filters, exporting companies that gained the research conditions, were determined. In this study, the company's export price index was calculated at the end of each quarter and Abnormal returns were calculated for the group of companies. After calculating Abnormal returns of firms, independent and control variables in the ARDL model imported and the effects of the explanatory variables investigation revealed Abnormal returns. The results show that the exchange rate fluctuations variable has a positive and significant impact on exporting companies are Abnormal returns.

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APA: Copy

OSOOLIAN, MOHAMMAD, HassanNezhad, Mohammad, & Shokrolahnia Roshan, Alireza. (2020). Exchange rate fluctuations and reaction Tehran Stock Exchange. INVESTMENT KNOWLEDGE, 9(35 ), 223-238. SID. https://sid.ir/paper/386342/en

Vancouver: Copy

OSOOLIAN MOHAMMAD, HassanNezhad Mohammad, Shokrolahnia Roshan Alireza. Exchange rate fluctuations and reaction Tehran Stock Exchange. INVESTMENT KNOWLEDGE[Internet]. 2020;9(35 ):223-238. Available from: https://sid.ir/paper/386342/en

IEEE: Copy

MOHAMMAD OSOOLIAN, Mohammad HassanNezhad, and Alireza Shokrolahnia Roshan, “Exchange rate fluctuations and reaction Tehran Stock Exchange,” INVESTMENT KNOWLEDGE, vol. 9, no. 35 , pp. 223–238, 2020, [Online]. Available: https://sid.ir/paper/386342/en

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