بررسي تاثير شوك‌هاي ارزي بر بازدهي سهام در بورس اوراق بهادار تهران

Investigation of the effect of currency shocks on stock returns in Tehran Stock Exchange

نرخ ارز يكي از مهم‌ترين عواملي است كه بازده سهام را تحت تاثير قرار مي‏دهد. لذا اين مطالعه اثر شوك‏هاي ارزي را بر بازده سهام در ايران بر اساس داده‏هاي 52 شركت پذيرفته شده در بورس اوراق بهادار تهران در سال‌هاي 1385?1390 مطالعه مي‌كند. الگوي واريانس ناهمساني شرطي اتورگرسيو تعميميافته (GARCH) براي استخراج شوك‏هاي ارزي استفاده شده است. افزون ‌بر اين رويكرد داده‏هاي تابلويي نيز براي بهدست آوردن رابطه بين شوك‏هاي ارزي و بازده سهام به كار گرفته شده است. نتايج مطالعه بيانگر اين است كه شوك‏هاي نرخ ارز و توليد ناخالص داخلي آثار معنا‏دار مثبت بر بازده بازار سهام ايران دارند؛ اما شاخص قيمت مصرفكننده اثر معنا‏دار منفي بر بازده بازار سهام دارد.

Exchange rate is one of the most important factors affecting the stock returns. Thus, in this study, the relationship between stock returns and exchange rates is discussed significantly. This study investigated the effects of currency shocks on stock returns in Iran. For this end, data related to 52 companies listed in Tehran Stock Exchange during 2007-2012 were used in the study. Also, the generalized Autoregressive Conditional Heteroskedasticity model (GARCH) was used to extract currency shocks. In addition, the panel data approach was addressed to obtain the relationship between currency shocks and stock returns. The results indicate that exchange rate shocks and gross domestic product (GDP) have significant positive effects on Iranʹs stock market returns. However, the consumer price index has a significant negative effect on stock market returns. The results show that exchange rate shocks and gross domestic product (GDP) have significant positive effects on Iranʹs stock market returns. However, the consumer price index has a significant negative effect on stock market returns.