DYNAMIC RELATIONSHIP BETWEEN EXCHANGE RATE AND TEHRAN STOCK EXCHANGE INDEX USING MULTIVARIATE GARCH MODEL

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ABOUNOORI ESMAIEL; ABDOLAHI MOHAMADREZA; HAMZEH MOSTAFA

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Paper Information

Journal: Iranian Journal of Trade Studies Year:2013 | Volume:17 | Issue:65 Page(s): 65-86

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Title

DYNAMIC RELATIONSHIP BETWEEN EXCHANGE RATE AND TEHRAN STOCK EXCHANGE INDEX USING MULTIVARIATE GARCH MODEL

Author(s)

ABOUNOORI ESMAIEL | ABDOLAHI MOHAMADREZA | HAMZEH MOSTAFA | Issue Writer Certificate

Keywords

TEHRAN STOCK MARKETQ2

MULTIVARIATE GARCHQ2

EXCHANGE RATEQ2

STOCK INDEXQ2

Abstract

This paper empirically analyzes the dynamic relationship between real effective exchange rate and STOCK INDEX applying VAR and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Doing so, we have used the monthly data from Tir1371 to Tir1389. The results show that there is not any significant long-term equilibrium relationship between real effective EXCHANGE RATE and the stock price. Furthermore the paper examines the cross-volatility effects between foreign exchange and stock markets. The results indicate that both variables have been affected by their own volatility directly and indirectly, but each market has not been affected significantly by the other market. Due to the low degree of simultaneous-varying co-volatility among these markets, investors will be likely to benefit from risk reduction if they diversify their financial portfolio with stocks and currency exchange.

Cites

INVESTIGATING AND PREDICTING THE EFFECTS OF UNCERTAINTY CAUSED BY THE RECENT CURRENCY CRISIS ON BANKS AND FINANCIAL INSTITUTIONS STOCK INDEX

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APA: Copy

ABOUNOORI, ESMAIEL, ABDOLAHI, MOHAMADREZA, & HAMZEH, MOSTAFA. (2013). DYNAMIC RELATIONSHIP BETWEEN EXCHANGE RATE AND TEHRAN STOCK EXCHANGE INDEX USING MULTIVARIATE GARCH MODEL. IRANIAN JOURNAL OF TRADE STUDIES (IJTS), 17(65), 65-86. SID. https://sid.ir/paper/7323/en

Vancouver: Copy

ABOUNOORI ESMAIEL, ABDOLAHI MOHAMADREZA, HAMZEH MOSTAFA. DYNAMIC RELATIONSHIP BETWEEN EXCHANGE RATE AND TEHRAN STOCK EXCHANGE INDEX USING MULTIVARIATE GARCH MODEL. IRANIAN JOURNAL OF TRADE STUDIES (IJTS)[Internet]. 2013;17(65):65-86. Available from: https://sid.ir/paper/7323/en

IEEE: Copy

ESMAIEL ABOUNOORI, MOHAMADREZA ABDOLAHI, and MOSTAFA HAMZEH, “DYNAMIC RELATIONSHIP BETWEEN EXCHANGE RATE AND TEHRAN STOCK EXCHANGE INDEX USING MULTIVARIATE GARCH MODEL,” IRANIAN JOURNAL OF TRADE STUDIES (IJTS), vol. 17, no. 65, pp. 65–86, 2013, [Online]. Available: https://sid.ir/paper/7323/en

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