Explaining the Threshold Effects of Foreign Exchange Market Pressure on Stock Returns with the Influence of Risk Aversion Indicators in Aiming to Improve Marketing Management in Financial Markets
Subject Areas : Jounal of Marketing Management
MARYAM SADEGHI SANABADI
1
,
Hosein Sharifi Renani
2
*
,
maryam emamimibody
3
1 - Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran
2 - Associate Professor of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran
3 - Assistant Professor of Accounting, Shahinshahr Branch, Islamic Azad University, Shahinshahr
Keywords: Foreign exchange market pressure, stock returns, risk aversion, marketing management, financial markets, threshold approach model.,
Abstract :
The aim of this paper is to explain the threshold effects of foreign exchange market pressure on stock returns by taking into account the effects of risk aversion indicators in order to improve marketing management in financial markets. For this purpose, a threshold approach model (STAR) was used based on the Iranian economy's quarterly data during the period 1380:1-1402:4. Based on statistical tests related to the correct specification of the model, foreign exchange market pressure was selected as the threshold variable of the two regimes, so that the change in coefficients is a function of foreign exchange market pressure. In conditions of low foreign exchange market pressure (linear regime), liquidity risk and credit risk have a negative effect on the stock return index in order to improve marketing management; while in the high foreign exchange market pressure regime (non-linear regime), the effect of liquidity risk and credit risk on the stock return index in order to improve marketing management increases, and with increasing foreign exchange market pressure, the stock return index will decrease. In fact, in Iran, due to high inflation, governments have always tried to set the exchange rate at a low level in order to prevent price increases. The result of this type of intervention has been the inflexibility of the nominal exchange rate in response to economic changes and developments, which could be a factor in the decline of the real exchange rate in the last few decades in Iran. Also, the relatively moderate average degree of intervention of the Central Bank indicates that the intervention policy of the Central Bank has not played a successful role in neutralizing the pressure on the foreign exchange market. The reason for this is that in the single-product economy of Iran, the government is the main supplier of foreign exchange. The Central Bank is also obliged to provide financial resources for the government budget. Therefore, foreign exchange intervention in the market is mainly carried out in order to provide rial resources for the government budget.
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