(18.97.9.175)
[ij] [ij] [ij] 
Email id
 

Asian Journal of Research in Banking and Finance
Year : 2015, Volume : 5, Issue : 3
First page : ( 49) Last page : ( 55)
Online ISSN : 2249-7323.
Article DOI : 10.5958/2249-7323.2015.00043.7

An Investigation of Short- and Long-Term Impacts of Foreign Exchange Rate Fluctuations on Stock Index Revenue at the Tehran Stock Exchange Using ARDL Model

E'zazi Mohammad Esmaila, Sadegh Safura Haratib

aFinancial Management Group Manager, University of Sistan and Baluchestan, Iran

bM.Sc., Commercial Management – Finance, University of Sistan and Baluchestan, Iran

Online published on 4 March, 2015.

Abstract

Given the importance of foreign exchange rate and its fluctuating impacts on decisions made by economic investor and activists, this research is aimed at investigation of theshort- and long-term effects of foreign exchange rate fluctuations on stock index revenue at the Tehran Stock Exchange using ARDL model within the 2007–12 span. First of all, according to the theory of cointegration in econometrics, Dickey-Fuller test is generalized to examine time series sustainability and unsustainability of the variables. Moreover, evaluation of the model using ARDL method is indicative of the fact that there is a positive and significant relationship between unofficial foreign exchange price rates and total stock market index at the Tehran Stock Exchange in short-term. According to the results of cointegration relationship test conducted by Dola, Banerjee, and Mister, however, a long-term relationship can be found between the two variables. Results of thelong-term test show a positive and significant relationship between unofficial foreign exchange price rates and total stock market index and also an insignificant impact between total index of consumedgoods and services with total stock index. Coefficient of VECM (Vector Error Correction Model) also indicates that escalation to balance is relatively slow.

Top

Keywords

Foreign exchange rate fluctuations, short-term relationship, long-term relationship, ARDL, VECM.

Top

  
║ Site map ║ Privacy Policy ║ Copyright ║ Terms & Conditions ║ Page Rank Tool
862,287,165 visitor(s) since 30th May, 2005.
All rights reserved. Site designed and maintained by DIVA ENTERPRISES PVT. LTD..
Note: Please use Internet Explorer (6.0 or above). Some functionalities may not work in other browsers.