Industrial Engineering, Amirkabir University of Technology
Abstract
The main purpose of this research is to analyze the short-term and long-term effects of Euro exchange rate volatility on Iranian stock market sectors. Considering the constraints and disadvantages of traditional methods like regression, this study uses modern econometric models. In order to do so, new econometric methods, like the “Granger causality test” and the “Johanson cointegration model” are used. The results of these methods confirm each other. The Granger causality test confirms that the exchange rate is affected by variations of the stock index on all groups of data applied in this study. On the other hand, the Johanson model identifies a unique cointegration vector among variables in any group. The result proves that there is a long-run equilibrium relation between exchange rate and stock price.
Behzadi, S. (2010). AN EMPIRICAL INVESTIGATION ON THE EFFECT OF EXCHANGE RATES ON DIFFERENT GROUPS OF THE IRANIAN STOCK MARKET. Sharif Journal of Industrial Engineering & Management, Vol.26-1(2), 89-97.
MLA
S. Behzadi. "AN EMPIRICAL INVESTIGATION ON THE EFFECT OF EXCHANGE RATES ON DIFFERENT GROUPS OF THE IRANIAN STOCK MARKET". Sharif Journal of Industrial Engineering & Management, Vol.26-1, 2, 2010, 89-97.
HARVARD
Behzadi, S. (2010). 'AN EMPIRICAL INVESTIGATION ON THE EFFECT OF EXCHANGE RATES ON DIFFERENT GROUPS OF THE IRANIAN STOCK MARKET', Sharif Journal of Industrial Engineering & Management, Vol.26-1(2), pp. 89-97.
VANCOUVER
Behzadi, S. AN EMPIRICAL INVESTIGATION ON THE EFFECT OF EXCHANGE RATES ON DIFFERENT GROUPS OF THE IRANIAN STOCK MARKET. Sharif Journal of Industrial Engineering & Management, 2010; Vol.26-1(2): 89-97.
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