Negative relationship between credit risk and currency risk with returns of stock prices of banks in Iran(Aproach ARIMA-GARCH-M)
Subject Areas : Financial engineering
1 - 1 Assistant Professor of Management and Economics University of Mohaghegh Ardabili
Keywords: Credit Risk, GARCH-M, ARMA, currency risk, stock price return,
Abstract :
In this paper, the effect of credit risk and currency risk on return of prices of bank shares listed on the Tehran Stock Exchange has been investigated. Non-Current measuring credit risk of loans to total loans ratio was used. Currency risk as well as changes in the exchange rate against the euro is defined rials. Data for the period 1392-1394 with a total of 648 data was collected on a daily basis, using the software Eviews using time series data using GARCH-M-ARMA approach is studied According to research findings on Iran's banking system between credit risk and currency risk with returns of stock prices listed on the Tehran Stock Exchange Bank there is a negative relationship and the expression of this research is innovation. As well as credit risk and currency risk with the risk-return between the prices of bank shares listed on the Stock Exchange there is a positive relationship. According to the results, we can conclude that the banking system administrators to increase the efficiency of credit risk and currency risk should the stock price set under management control.
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