Stock prices and exchange rates in Tehran stock market

Subject Areas : Financial Knowledge of Securities Analysis

مانی موتمنی ¹ , فائزه آریانی ²

1 - ندارد
2 - مسئول مکاتبات

Received: 2014-01-25 Accepted : 2014-04-09 Published : 2014-10-12

Keywords: Stock markets, exchange rate, cointegration, Weak exogenous&#x0D, &#x0D, 1- Assistant,

Abstract :

This paper investigates the linkage between total index of Tehran stock exchange(TSE) and non-official exchange ratesby daily data from May 2011 to May 2013. In thisperiod, exchange rate tripled and TSE doubled. Johansen Cointegration test and VECMmodel applied to specify this linkage. Exchange rates and TSE found to be Co-integrated.TSE has positive response to exchange rates but exchange rate has negative response toTSE and it is weak exogenous.