1
Professor of economics at Economics Dept. of Shahid Bahonar University of Kerman
2
PhD student of accounting at Islamic Azad University, Sirjan branch
3
M.A student at Islamic Azad University, Sirjan branch
Abstract
Exchange rate is one of the most important factors affecting the stock returns. Thus, in this study, the relationship between stock returns and exchange rates is discussed significantly. This study investigated the effects of currency shocks on stock returns in Iran. For this end, data related to 52 companies listed in Tehran Stock Exchange during 2007-2012 were used in the study. Also, the generalized Autoregressive Conditional Heteroskedasticity model (GARCH) was used to extract currency shocks. In addition, the panel data approach was addressed to obtain the relationship between currency shocks and stock returns. The results indicate that exchange rate shocks and gross domestic product (GDP) have significant positive effects on Iran's stock market returns. However, the consumer price index has a significant negative effect on stock market returns. The results show that exchange rate shocks and gross domestic product (GDP) have significant positive effects on Iran's stock market returns. However, the consumer price index has a significant negative effect on stock market returns.
Jalaee, S. A., Rahimipur, A., & Mir, H. (2015). Investigation of the effect of currency shocks on stock returns in Tehran Stock Exchange. Journal of Economic Essays; an Islamic Approach, 12(23), 135-162.
MLA
Seyed Abdulmajid Jalaee; Akbar Rahimipur; Hedieh Mir. "Investigation of the effect of currency shocks on stock returns in Tehran Stock Exchange". Journal of Economic Essays; an Islamic Approach, 12, 23, 2015, 135-162.
HARVARD
Jalaee, S. A., Rahimipur, A., Mir, H. (2015). 'Investigation of the effect of currency shocks on stock returns in Tehran Stock Exchange', Journal of Economic Essays; an Islamic Approach, 12(23), pp. 135-162.
VANCOUVER
Jalaee, S. A., Rahimipur, A., Mir, H. Investigation of the effect of currency shocks on stock returns in Tehran Stock Exchange. Journal of Economic Essays; an Islamic Approach, 2015; 12(23): 135-162.
)