The impact of currency shocks on four categories of active industries in Tehran Stock Exchange
Subject Areas : Stock ExchangeMehdi Pedram 1 * , kobra Farhadi 2
1 - Department of Economics, Faculty of Social Sciences and Economics, Alzahra University (S), Tehran, Iran
2 - Department of Economics, Faculty of Social Sciences and Economics, Alzahra University (S), Tehran, Iran
Keywords: Stock market, industrial efficiency, currency shock, interest rate,
Abstract :
The stock market is a comprehensive mirror of the economic situation of each country. Understanding this market and the factors affecting it has always been of interest to economists and market activists. Studying and analyzing the stock market is of great importance because it helps investors and market activists make informed decisions and reduce financial risks. The stock market has various competitors among parallel markets such as gold, foreign exchange, real estate, cryptocurrencies, etc. The Tehran Stock Exchange has experienced a severe recession in recent years after a sharp growth. In order to study and analyze this market, this study examines four categories of industries active in the Tehran Stock Exchange, namely the basic metals, pharmaceuticals, petroleum products, and food groups, in the period 1394 to 1402, seasonally using the non-linear autoregressive distribution lag (NARDL) model approach. In this study, the effect of currency shocks on rial and dollar industries has been examined. Exchange rate, consumer price index, industrial production index, oil price, liquidity and interest rate are considered as variables affecting the efficiency of the industries under study. The results show that a positive exchange rate shock has a positive and significant effect on the efficiency of the groups of basic metals, food and petroleum products. Also, the interest rate has an inverse and significant relationship with the efficiency of all four groups under study. With the increase in the consumer price index, the efficiency of pharmaceutical and food groups has decreased. The findings of this study indicate that in the long run, the exchange rate has an asymmetric effect on the efficiency of the groups of basic metals, food, petroleum products and pharmaceuticals.
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