Effects of exchange rates shocks on Tehran stock market returns: MSFITGARCH model

Subject Areas : Journal of Investment Knowledge

hajar moradian ¹ , Ali Haghighat ² , hashem zare ³ , Mehrzad Ebrahimi ⁴

1 - managment and accounting,managment and accounting,yadegare imam,tehran,iran
2 - economic,managment and accounting,azad shiraz, shiraz,Iran
3 - Faculty member
4 - Economics and management, Islamic azad university of Shiraz, Shiraz, Iran

Received: 2018-02-18 Accepted : 2018-07-04 Published : 2020-04-20

Keywords: ” stock return”, “exchange shock”, “MRSFITGARCH”,

Abstract :

Abstract: In this Research, for the first time, MRS-FITGARCH model is used to evaluate effects of exchange rate shocks on stock market returns with innovations that are: time changing and asymmetric effects in Conditional variance, regime dependent and asymmetric responds to shocks from stock market and exchange rates, long memory potential in the same time of regime changes. From 2009 to 2017, in univariate model with fixed transmission probability, long memory and asymmetric effects coefficient were Valued and high return mean and variance was recession phase and low return mean and variance was expansion phase. After adding exchange rate shocks, low return mean and high variance was recession phase and high return mean and low variance was expansion phase but exchange rate shocks coefficient was not valued and decreased the LR test, so in weekly times, its effects on TEPIX returns, was not valued.Key words: “MRSFITGARCH”,” stock return”, “exchange shock”

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