Evaluating the effect of currency fluctuations on the performance of companies listed in the Tehran Stock Exchange and measuring its time intervals.

Subject Areas : Financial Economics

Mohammad Javad Mohagheq Nia ¹ , Ali Asghar Ziachi ² , Mustafa Sargolzaei ³ , Vahid Khashai ⁴

1 - Assistant Professor, School of Management Accounting, AllamehTabatabai University, Tehran, Iran
2 - Ph.D. student, financial management, finance major, AllamehTabatabai University, Tehran, Iran
3 - Assistant Professor, Faculty of Management Accounting, AllamehTabatabai University, Tehran, Iran
4 - Associate Professor, Faculty of Management Accounting, AllamehTabatabai University, Tehran.iran

Received: 2022-04-04 Accepted : 2022-06-09 Published : 2022-08-23

Keywords: C58, G32, M41, Keywords: Currency fluctuations - economic added value - time intervals JEL Classification: E51,

Abstract :

AbstractThe performance of listed firms is affected by a variety of internal and external factors. In addition to exploiting the internal factors, the managers of these firms must be able to navigate the external environment in such a way as to achieve their intended goals. The present research investigates the impact of currency fluctuations as an environmental factor on the performance of the firms listed on the Tehran Stock Exchange (TSE). This quasi-experimental research uses the generalized autoregressive conditional heteroskedasticity (GARCH) model to evaluate the impact of currency fluctuations on firm performance and the autoregressive distributed lag (ARDL) model to measure the effect of lags on this relationship. The results show that currency fluctuations significantly affect the performance of TSE-listed firms, but the strength and type of these effects vary across industries. Also, these effects occur with different time lags in various industries.

References:

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Iwata, S., & Wu, S., (2006), “Estimating monetary policy effects when interest rates are close to zero”, Journal of Monetary Economics, Vol.53, No.2, pp: 1395-1408.
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Krainer, Robert E. (2014). Monetary policy and bank Lending in the Euro axea: Is there a stock market channel or an interest rate channel. Journal money and finance, 49: 283-298.
Mattesini, F., & Nistico, S., (2010), “Trend growth and optimal monetarypolicy”, Journal of Macroeconomics, Vol.32, No.3, pp: 797-815.
Ozan Eksi, Bedri Kamil Onur Tas, (2017) Unconventional monetary policy and the stock market’s reaction to Federal Reserve policy actions, North American Journal of Economics and Finance, 40 pp: 136-147
Rezitis, A.N.(2015). The relationship between agricultural commodity prices, crude oil prices and US dollar exchange rates: a panel VAR approach and causality analysis. International Review of Applied Economics. 29: 403-434.
Rissanen, J. (1978). Modeling by shortest data description. Automatica. 14:465-471.
Sims. C.A, (2002), “Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy”, European Economic Review, Vol.63, No.5, pp: 975-1000.
Vithessonthi, Chaipor & Yaowaluk Techarongrojwong (2012). The impact of monetary policy decisions on stock returns: Evidence from Thailand. Journal of International Financial Markets, Institutions & Money, 22: 487-507.
Wang, V. C.; Le, T. L.; Nguyen, Q. K. & Tran, D. Q., (2020). “Linkage between exchange rate and stock prices: evidence from Vietnam”. The Journal of Asian Finance, Economics, and Business, No. 7(12), Pp: 95-107.

 

Akaike, H. (1969). Fitting autoregressive models for prediction. Annals of the institute of Statistical Mathematics. 21: 243-247.
Anisak, N. & Mohamad, A., (2020). “Foreign exchange exposure of Indonesian listed firms”. Global Business Review, No. 21(4), Pp: 918-936
Bhattacharya, J. & Haslag J. & Antoine, M., (2009), “Optimal monetarypolicy and economic growth”, European Economic Review,Vol.53, No.2, pp: 210-223.
Bacidore, J. M., Boquist, J. A., Milbourn, T. T and A.V. Thakor (1997), “the search for the Best Financial Perofmance Measure”, Financial Analysts Journal, May/June, PP. 11-20.
Bjørnland H.C.Leitemo H.(2005).Identifying the interference between us monetary policy and the stock market.bank of finland research discussion research.
Cassola, N. C. Morona (2004). Monetary policy and the stock market in the euro area. Journal of Policy Modeling. 26: 387-399.
Clabrese, V.J (1999), “Economic Value Added: Finance 101 on Steroids”, The Journal of Band Cost & Management Accounting, Vol. 12, Issue 1, Pp. 3-34.
Collard, F., & Dellas, H., (2018), “Euler equations and monetary policy”, Journal of Economic Letters, Vol.114, No.1, pp:1-5.
Ehsan H. Feroz,Sungsoo Kim , Raymond L. Raab(2003) Financial Statement analysis: A Data envelopment analysis Approach, Journal of the Operational Research Society, Vol. 54, pp. 48-58.
Edwin Prabu ,Indranil Bhattacharyy, Partha Ray, (2019), Is the stock market impervious to monetary policy announcements: Evidence from emerging India, International Review of Economics and Finance, 46: 166–179
Famma (1980), “Agency problems & Theory of the firms”, Journal of Political Economy, PP. 288-307.
Hsing ,Y.(2013). Effects of Fiscal Policy and Monetary Policy on the StockMarket in Poland . Journal of Econometrics, 205, 165 – 174.
Hilde, C, Bjornland ,H.C, , Leitemo,K. (2018). Identifying the Interdependencebetween US Monetary Policy and the Stock Market. Journal of Monetary Economics, 56, 275-282.
Hannan, E.J. and Quinn, B.G. (1979). The determination of the order of anautoregression. Journal of the Royal Statistical Society. Series B(Methodological): 190-195.
Harold, A., Linstone, M., & Turoff, M., (1975) .The Delphi Method: Technique and Applications. Addison: Wesley publishing Co.
Humpe A. Macmillan P. (2006). Can macroeconomic variables explain longiiterm stock market movements? A comparison of the US and Japan, boom Empirical appropriate cointegrating.vector; Working.Paper, http://ideas.repec.org/p/san/crieff /0511 .html.
Hansen, P.Svejestrup. (1996), “Permanent Effects of Monetary Policy in a Dynamic Menu Cost Model”, Journal of Economics Letter, Vol.52, No.1, PP: 61-66.
Ioanidis ch. Kontonikas A.(2007). The Impact of monetary policy on stock prices. journal of policy modeling. 6 .15.
Ioannidis, C, Kontonikas, A . (2007) . The Impact of Monetary Policy on StockPrices . Journal of Policy Modelling, 30, 33 – 53.
Ioanidis ch. Kontonikas A.(2007). The Impact of monetary policy on stock prices.journal of policy modeling. 6 .15.
Iwata, S., & Wu, S., (2006), “Estimating monetary policy effects when interest rates are close to zero”, Journal of Monetary Economics, Vol.53, No.2, pp: 1395-1408.
Javaharlal (2007),Corporation Financial Reporting ,India, Delhi. Rating and Ranking Firms with Fuzzy Expert Systems: The Case of Camuzzi, University of degli studi di Modena e Reggio, Emilia Dipartimento di Economia Politica degli Studi, della Calabria ,Padua. June.
Kyei-Mensah, J. & Awuah-Werekoh, A., (2020). “The Impact of Exchange Rate and Interest Rate Volatility on Stock Market Returns”. The Journal of Applied Business and Economics, No. 22(4), Pp: 36-50.
Krainer, Robert E. (2014). Monetary policy and bank Lending in the Euro axea: Is there a stock market channel or an interest rate channel. Journal money and finance, 49: 283-298.
Mattesini, F., & Nistico, S., (2010), “Trend growth and optimal monetarypolicy”, Journal of Macroeconomics, Vol.32, No.3, pp: 797-815.
Ozan Eksi, Bedri Kamil Onur Tas, (2017) Unconventional monetary policy and the stock market’s reaction to Federal Reserve policy actions, North American Journal of Economics and Finance, 40 pp: 136-147
Rezitis, A.N.(2015). The relationship between agricultural commodity prices, crude oil prices and US dollar exchange rates: a panel VAR approach and causality analysis. International Review of Applied Economics. 29: 403-434.
Rissanen, J. (1978). Modeling by shortest data description. Automatica. 14:465-471.
Sims. C.A, (2002), “Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy”, European Economic Review, Vol.63, No.5, pp: 975-1000.
Vithessonthi, Chaipor & Yaowaluk Techarongrojwong (2012). The impact of monetary policy decisions on stock returns: Evidence from Thailand. Journal of International Financial Markets, Institutions & Money, 22: 487-507.
Wang, V. C.; Le, T. L.; Nguyen, Q. K. & Tran, D. Q., (2020). “Linkage between exchange rate and stock prices: evidence from Vietnam”. The Journal of Asian Finance, Economics, and Business, No. 7(12), Pp: 95-107.