The effect of exchange rate volatilities and it's spillover effect on the index of Tehran Stock Exchange

Subject Areas : Journal of Investment Knowledge

Farnaz Barkhordari ¹ , Somayeh Pour azizi gelin gheshlaghi ² , Abolfazl Hoseini ³

1 - Master of financial management, Al-Zahra University,Tehran,Iran
2 - Master of Financial management , Tehran University of Economic Sciences, Tehran, Iran
3 - Master of Economic development ,Islamic azad university of tehran central branch,Tehran,iran

Received: 2016-08-02 Accepted : 2016-09-23 Published : 2017-03-21

Keywords: Effects of spillover, exchange rate, Industries index,

Abstract :

Given that in recent years due to reduction of banking sources, the role of stock market in financing of investment projects highlighted more day by day. So analyzing the factors that caused the volatility and risk which transfer to stock market is Essential. Also according to importance of currency market on the countries' economy, on the other hand, due to high volume of exports and imports changes of exchange rates have a significant impact on the economy’s boom and bust. In this paper, researcher study on the effect of exchange rate volatility and its spillover effect on the index of selected industries in Tehran Stock Exchange with using of daily data "2008 to 2013" and VAR-BEKK. Based on the research results and according to estimated coefficients of ARCH and GARCH  the exchange rate volatilities were positive and significant on the index of selected industries in Tehran Stock Exchange on three sectors such as  automotive, coal and machinery" that indicate  the exchange rate volatilities have positive effect on the index of selected industries In Tehran Stock Exchange. In addition, exchange rate volatility during the studied period caused increasing of index of selected industries in the Tehran Stock Exchange.