نوع مقاله : مقاله پژوهشی
نویسنده
گروه اقتصاد، دانشگاه آزاد اسلامی، واحد فیروزکوه، ایران
چکیده
کلیدواژهها
موضوعات
عنوان مقاله [English]
نویسنده [English]
Abstract
In this article, the asymmetric effects of exchange rate on the stock market were evaluated using daily data from 20/03/2016 to 21/06/2023 using cointegration, Dynamic Conditional Correlation and APARCH methods. The evidence shows that both shocks (positive/negative) and large shocks (positive/negative) are repeatedly found in the Dollar exchange rate. Estimates show that the exchange rate is effective on the stock market. The findings showed that the stock market reaction to the positive and negative shocks of exchange rate is asymmetric. The behavior of the stock market is stable towards negative impulses, but the effects of positive shocks are gradually neutralized. A large negative shocks in the exchange rate puts the stock market at a sustained low level. Also, the volatility of the stock market shows a very stable pattern. Dynamic Conditional Correlation findings show that negative shocks have a greater impact on conditional volatility compared to positive shocks.
کلیدواژهها [English]
)