Exchange rate volatility as a sign of instability and uncertainty affects all important economic variables .The purpose of the present paper is to determine the impact of Exchange rate volatility on stock returns in Tehran stock market during 2001 -2010. To do so, we have concentrated on the so-called GARCH and multivariable regression models using monthly data. Our finding indicates that the real exchange rate volatilities as expected have a detrimental negative impact on stock returns.
Jafari Samimi A., Kazemi Zaroie H., Riahi Vazvari K., Rahmanian M. (2014). 'Exchange Rate Volatilities & Stock Return in Iran', Accounting and Auditing Research, 6(22), pp. 4-17. doi: 10.22034/iaar.2014.104362
CHICAGO
A. Jafari Samimi, H. Kazemi Zaroie, K. Riahi Vazvari and M. Rahmanian, "Exchange Rate Volatilities & Stock Return in Iran," Accounting and Auditing Research, 6 22 (2014): 4-17, doi: 10.22034/iaar.2014.104362
VANCOUVER
Jafari Samimi A., Kazemi Zaroie H., Riahi Vazvari K., Rahmanian M. Exchange Rate Volatilities & Stock Return in Iran. Accounting and Auditing Research, 2014; 6(22): 4-17. doi: 10.22034/iaar.2014.104362
