The effect of currency shock on the occurrence of anomalies in the Tehran Stock Exchange The effect of currency shock on the occurrence of anomalies in the Tehran Stock Exchange

Subject Areas : business management

marzieh ghalandari ¹ , Mirfeiz Fallah ²

1 - Department of financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran
2 - Department of Business Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran and member of Modern Financial Risk Research Group

Received: 2021-03-31 Accepted : 2021-05-02 Published : 2021-06-22

Keywords: Currency shock, stock market anomalies, Quarterly data,

Abstract :

The main subject of this research is the experimental study of the use of currency shock on the stock market anomalies of Tehran Stock Exchange companies. For this purpose, a sample of 70 companies listed on the Tehran Stock Exchange during the period 2012 to 2019 was examined quarterly. For stock market anomalies, ten separate variables (momentum, abnormal stock returns, gross profitability, specific risk, liquidity, net operating assets, asset growth, return on assets, investment in assets and accruals) have been used as representatives. Multivariate regression was used to test the hypotheses and the relationship between the variables was addressed by forming an optimal model. The results show that currency shock has a positive and significant relationship with abnormal stock returns, special risk, gross profitability, stock liquidity, asset growth, accruals and return on assets of the company. The findings also did not show a relationship between currency shock and momentum, net operating assets and investment in assets.