Asymmetric Effect of Exchange Rate Risk on the Stock Index of Export-Oriented Industries Using the NARDL Model

Sarrafi Zanjani, Mohammad; Mehregan, Nader

doi:10.29252/jemr.9.33.89

Volume 9, Issue 33 (10-2018) jemr 2018, 9(33): 89-116 | Back to browse issues page

‎ 10.29252/jemr.9.33.89

‎ 20.1001.1.22286454.1397.9.33.3.7

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Sarrafi Zanjani M, Mehregan N. Asymmetric Effect of Exchange Rate Risk on the Stock Index of Export-Oriented Industries Using the NARDL Model. jemr 2018; 9 (33) :89-116
URL: http://jemr.khu.ac.ir/article-1-1623-en.html

Asymmetric Effect of Exchange Rate Risk on the Stock Index of Export-Oriented Industries Using the NARDL Model

Mohammad Sarrafi Zanjani ^*

¹, Nader Mehregan²

1- Khatam University , m.sarrafi.khatamuniversity@gmail.com
2- Bu-Ali Sina University

Abstract: (7375 Views)

Studying currency shocks impact on the stock market could be beneficial regarding to exchange rate fluctuations caused by various exchange policies in recent years. Therefore symmetrical or asymmetrical impacts of negative and positive dollar shockwaves in the market on indexes of chemical and basic metals industry are under investigation by weekly data collected since 2006 up to 2016 as these two industries have the most non-oil exports of Iran. First existence of long-term equilibrium relationship was examined by Pesaran Bound test and confirmed. Afterwards in addition to admitting asymmetric effect of positive and negative foreign exchange shocks on the indexes using WALD test, based on the results of the main model of the research which is the Nonlinear Autoregressive Distributed Lag (NARDL), effects of increasing in dollar rate on both indexes are positive and meaningful and the effect of its decreasing is meaningless. In addition the extracted coefficients indicates deeper effects of free dollar rate on the chemical index in comparison with index of the basic metals. OPEC crude oil, which is the control variable considered in this article has a direct and significant effects on both indicators on the short and long term.

Keywords: Asymmetric Impact, Dollar Rate, Chemical Industry, Basic Metals Industry, NARDL Model.

Full-Text [PDF 1143 kb] (3704 Downloads)

Type of Study: Applicable | Subject: پولی و مالی
Received: 2017/10/15 | Accepted: 2018/10/13 | Published: 2018/12/19

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