文章基本信息

标题：Assessing the Exchange Rate Fluctuation on Tehrans Stock Market Price: A GARCH Application
本地全文：下载
作者：Maryam Khalili Araghi ; Meisam Mohazzab Pak
期刊名称：International Journal of Management and Business Research
印刷版ISSN：2228-7019
电子版ISSN：2228-7027
出版年度：2013
卷号：2
期号：2
页码：95-107
语种：English
出版社：Islamic Azad University
其他摘要：This paper empirically investigates the exchange rate effects of Iranian Rial against Dollar (Rial vs.US) on stock prices in Iran. The sample period for the study has been taken from March 20, 2004 to March 20, 2010 using daily nominal exchange rate of Rial /us and daily closing values of Tehran Stock Exchange. Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model has been used in modeling the relationship between exchange rate volatility and stock market volatility, as it has been proven to give superior results. The paper presents an introduction to the topic, a review of the literature, data used and methodology applied the obtained findings and the corresponding conclusion. For our study, two hypotheses have been formulated and tested with appropriate econometric tests. It was found that both data series were stationary at level form and positive correlation exists between exchange rates and stock market prices and causality exists directionally between the two variables. Positive significant relationship between volatility in stock Prices and in exchange rates has been confirmed by the estimated GARCH model.
其他关键词：stock prices ; Exchange rates ; Volatility ; Granger Causality ; GARCH