
تعداد نشریات | 32 |
تعداد شمارهها | 739 |
تعداد مقالات | 7,159 |
تعداد مشاهده مقاله | 11,704,380 |
تعداد دریافت فایل اصل مقاله | 8,033,079 |
Can strengthening the stock market affect the value of the national currency? A study of stock-oriented models in the Iranian economy | ||
International Journal of Business and Development Studies | ||
مقاله 8، دوره 16، شماره 1، شهریور 2024، صفحه 169-186 اصل مقاله (529.69 K) | ||
نوع مقاله: Research Paper | ||
شناسه دیجیتال (DOI): 10.22111/ijbds.2024.46028.2037 | ||
نویسنده | ||
Abdolkarim Hosseinpoor* | ||
department of economics, persian gulf university | ||
چکیده | ||
Objective: The stock market and the foreign exchange rate market have been sensitive segments of the financial market. These two markets are rapidly affected by fluctuations and business cycles in the economy and quickly reflect the economic change. At the same time, turmoil in one or both markets raises concerns among market policymakers. We also address the question of whether the national currency can be strengthened through the stock market. Methods: This study examines the stock market price on the value of the national currency of Iran using stock-oriented models and the Markov switching method in the period 1995 to 2021. In this study, the non-linear Markov switching method was used to estimate the model, and the LR- test method was used to check the linearity or non-linearity of the models. Akaike's test has also been used to determine the number of Markov switching regimes. Results: The research results show that for every one percent increase in stock prices, the exchange rate has decreased by 0.21 percent. Therefore, the results indicate the approval of stock-oriented models in the Iranian economy. In other words, the capital market is one of the determinants of the exchange rate. Conclusions: According to this model, lower stock prices reduce the wealth of domestic investors, which leads to lower demand for money with lower interest rates. Lower interest rates cause capital outflows to overseas markets, assuming other conditions remain stable, causing the domestic currency to depreciate and the exchange rate to rise. | ||
کلیدواژهها | ||
stock market؛ national currency value؛ stock-oriented models؛ Iran | ||
مراجع | ||
- Abbasinejad, Hussein; Mohammadi, Shapoor and Sajjad Ebrahimi, (2017). Dynamics of the relationship between macro variables and stock market index, Quarterly Journal of Asset Management and Financing, Volume 5, Number 1, pp. 61-82 (in Persian).
- Azman –Saini, W.N.W., Habibullah, M.S., Law, S. H., Dayang-Afizzah, A.M. (2006), "Stock Prices, Exchange rates and Causality in Malaysia", MPRA Paper, No. 656
- Bai, S., & Koong, K. S. (2017). Oil prices, stock returns, and exchange rates: Empirical evidence from China and the United States. The North American Journal of Economics and Finance.
- Bazraei, Maryam, Qavidel, Saleh; Imam Verdi, Ghodratollah and Mahmoud Mahmoudzadeh (2021), Stock risk coverage of stock exchange industries with exchange rates (industrial disciplines, banking, and investment), Quarterly Journal of Financial Economics, Volume 15, Number 54, pp. 83-106 (in Persian).
- Bussiere, M. (2012). Exchange rate pass-through to trade prices: The role of nonlinearities and asymmetries. Oxford Bulletin of Economics and Statistics, Vol 75(5), pp: 731–758.
- Delgado, N. A. B., Delgado, E. B., & Saucedo, E. (2018). The relationship between oil prices, the stock market and the exchange rate: Evidence from Mexico. The North American Journal of Economics and Finance.
- Gavin, M., (1989), “The stock market and exchange rate dynamics”, Journal of International Money and Finance, 8(2), pp.181–200.
- Heidari, H and Bashiri, S., (2011), “Inflation, Inflation uncertainty and growth in the Iranian Economy: a Bivariate GARCH (BEKK) Approach”, 12th International Symposium on Econometrics, Operations Research and Statistics, Pamukkale University, Denizli, Turkey.
- Heidari, Hassan and Sahar Bashiri (2012), Investigating the relationship between real exchange rate uncertainty and stock price index in Tehran Stock Market, Economic Modeling Research, No. 9, pp. 71-92 (in Persian).
- Heidari, Hassan; Mohammadzadeh, Yousef and Arash Rafah Kahriz (2019). Investigating the Impact of Exchange Rates on the Returns of Drug Industry Stocks on the Tehran Stock Market Using the Markov Switching Approach, Quarterly Journal of Asset Management and Financing, Volume 6, Number 2, pp. 35-56 (in Persian).
- Jahankhani, Ali and Ali Parsaiyan (1997). Investment Management and Securities Evaluation, Tehran: University of Tehran School of Management Publications (in Persian).
- Mitra, R. (2017). Stock market and foreign exchange market integration in South Africa. World Development Perspectives, 6, 32-34.
- Mohantfar, Yousef, Derakhshani Darabi, Kaveh and Kaveh Parandin (2017), The Impact of Oil Fluctuations and Exchange Rates on the Stock Market Price Index in Iran, Bi-Quarterly Journal of Economic Development Policy, Volume 4, Number 11, pp. 133-156 (in Persian).
- Motameni, Mani and Ariani, Faezeh (2014), Tehran Stock Market Reaction to Exchange Rates, Quarterly Journal of Securities Analysis, Volume 7, Number 23, pp. 75-84 (in Persian).
- Nazemi, Behrooz; Sharifi Renani, Hossein; Saeed Daei Karimzadeh (2020). The Impact of Exchange Rates on the Profitability of Insurance Companies, Financial Economics Quarterly, Volume 14, Number 53, pp. 132-156 (in Persian).
- Pan, M., Fok, R.C., Liu, Y.A. (2007), “Dynamic linkages between exchange rates and stock prices: evidence from East Asian markets”, International Review of Economics & Finance, 16(4), pp.503–520.
- Roubaud, D., & Arouri, M. (2018). Oil prices, exchange rates, and stock markets under uncertainty and regime-switching. Finance Research Letters.
- Roshan, Seyed Aligholi; Arian, Abolfazl; Hosseini, Seyed Hassan; Navabi Zand, Kambiz and Ali Drikandeh (2012), "Evaluation of factors affecting the price-to-earnings ratio of companies listed on the Tehran Stock Market", Quarterly Journal of Securities Analysis, No. 14, pp. 41-57 (in Persian).
- Saleh, Gehan (2008), The Dynamic Relation Between Stock Prices and Exchange Rates in Egypt, Saudi Arabia, and UAE, PhD Thesis in Economics, University of Illinois at Chicago.
- Shahabadi Farahani, Atefeh; Khodavirdi, Omid and Jalal Molabigi (2020). Comparison of the optimal ratio of exchange rate and gold risk coverage in financial markets (Case Study of Tehran Stock Market and Europe), Quarterly Journal of Financial Economics, Volume 14, Number 52, pp. 152-129 (in Persian).
- Winkelreid, D, (2014). Exchange Rate Pass-Through and Inflation Targeting in Peru, Central Reserve Bank of Peru, Working Paper Series, Vol: 46(14): PP: 1186-1191. | ||
آمار تعداد مشاهده مقاله: 138 تعداد دریافت فایل اصل مقاله: 105 |