Volume 3, Issue 9 (10-2012)                   jemr 2012, 3(9): 71-93 | Back to browse issues page

XML Persian Abstract Print

Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

Heidari H, Bashiri S. Investigating The Relationship Between Real Exchange Rate Uncertainty and Stock Price Index In Tehran Stock Exchange Using VAR-GARCH Models. jemr 2012; 3 (9) :71-93
URL: http://jemr.khu.ac.ir/article-1-238-en.html
1- Urmia University , h.heidari@urmia.ac.ir
2- Sistan and Baluchistan University
Abstract:   (14825 Views)

  This paper investigates the relationship between real exchange rate uncertainty and stock price index in Tehran stock exchange for the period of 1995-2009 by using monthly data and applying Bivariate Generalized Autoregressive Conditional Heteroskedasticity model (Bivariate GARCH). The results show that there is a negative and significant relationship between real exchange rate uncertainty and stock price index. However, the relationship between stock price uncertainty and real exchange rate is insignificant. Therefore, our results recommend that the policies which cause more volatility in the exchange market and also more volatility in the real exchange rate should be avoided to ensure the sustainable growth of the stock market and its price index.


Full-Text [PDF 843 kb]   (12886 Downloads)    
Type of Study: Applicable | Subject: سایر
Received: 2011/07/3 | Accepted: 2013/02/24 | Published: 2013/02/24

Add your comments about this article : Your username or Email:

Send email to the article author

Rights and permissions
Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

© 2024 CC BY-NC 4.0 | Journal of Economic Modeling Research

Designed & Developed by : Yektaweb