دوره 9، شماره 33 - ( 7-1397 )                   سال9 شماره 33 صفحات 116-89 | برگشت به فهرست نسخه ها


XML English Abstract Print


Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

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-fa.html
صرافی زنجانی محمد، مهرگان نادر. اثر نامتقارن ریسک نرخ ارز بر شاخص سهام صنایع صادرات محور با استفاده از مدل NARDL. تحقیقات مدلسازی اقتصادی. 1397; 9 (33) :89-116

URL: http://jemr.khu.ac.ir/article-1-1623-fa.html


1- دانشگاه خاتم ، m.sarrafi.khatamuniversity@gmail.com
2- دانشگاه بوعلی سینا
چکیده:   (5627 مشاهده)

با توجه به نوسانات نرخ ارز در اثر سیاست¬های ارزی مختلف طی سال¬های اخیر، بررسی اثر شوک¬های ارزی بر بازار سهام می¬تواند نتایج مفیدی را در بر داشته باشد. لذا در این مقاله به بررسی تقارن یا عدم تقارن اثر شوک¬های مثبت و منفی دلار در بازار آزاد بر شاخص صنایع شیمیایی و فلزات اساسی به عنوان دو صنعت بورسی که دارای بیش‌ترین صادرات غیر‌نفتی کشور هستند، با استفاده از داده‌های هفتگی در دوره 1385-1395 پرداخته شده است. به این منظور ابتدا وجود رابطه تعادلی بلند¬مدت به وسیله آزمون کرانه¬های پسران بررسی و تأیید گردید. در ادامه ضمن پذیرش تأثیر نامتقارن شوک¬های ارزی مثبت و منفی بر شاخص¬های مورد بررسی به کمک آزمون والد، بر اساس نتایج به دست آمده از مدل اصلی تحقیق یعنی مدل خودرگرسیون با وقفه توزیعی نامتقارن (NARDL) مشخص گردید اثر افزایش نرخ دلار بر هر دو شاخص در کوتاه‌مدت و بلندمدت مثبت و معنی¬دار و اثرگذاری کاهش آن بی معنی می‌باشد. به علاوه ضرایب استخراج شده نشان از اثرگذاری بیش¬تر شوک مثبت دلار آزاد بر شاخص شیمیایی نسبت به شاخص فلزات اساسی دارد. متغیر کنترلی در نظر گرفته شده تحقیق یعنی قیمت نفت خام اوپک نیز اثر مستقیم و معنی¬داری بر هر دو شاخص مورد بررسی در کوتاه‌مدت و بلندمدت نشان می¬دهد.  
متن کامل [PDF 1143 kb]   (2933 دریافت)    
نوع مطالعه: كاربردي | موضوع مقاله: پولی و مالی
دریافت: 1396/7/23 | پذیرش: 1397/7/21 | انتشار: 1397/9/28

فهرست منابع
1.  - Ajayi, R.A., Mougouė, M. (1996). On the dynamic Relation Between Stock Prices and Exchange Rates. Journal of Financial Research,19, 193-207. [DOI:10.1111/j.1475-6803.1996.tb00593.x]
2.  - Apergis, N., Rezitis, A. (2001). Asymmetric Cross-market Volatility Spillovers: Evidence from daily data on equity and foreign exchange markets. The Manchester School Supplement, 69, 81-96. [DOI:10.1111/1467-9957.69.s1.5]
3.  - Asadzadeh, F. (2016). Investigating the Asymmetric Effects of Real Exchange Rate Shocks on the Iranian Stock Market. 4th National Conference of Management, Economics and Accounting.
4.  - Bahmani-Oskooee, M., Saha, S. (2016). Asymmetry Cointegration Between the Value of the Dollar and Sectoral Stock Indices in the U.S. International Review of Economics and Finance, 46, 78-86. [DOI:10.1016/j.iref.2016.08.005]
5.  - Bahmani-Oskooee, M., Saha, S. (2016). Do Exchange Rate Changes Have Symmetric or Asymmetric Effects on Stock Prices?. Global Finance Journal, 31, 57-72. [DOI:10.1016/j.gfj.2016.06.005]
6.  - Bahmani-Oskooee, M., Saha, S. (2015).On the relation between stock prices and exchange rates: A review article. Journal of Economic Studies, Vol. 42(4), 707-732. [DOI:10.1108/JES-03-2015-0043]
7.  - Bakhshani, S. (2015). Investigating the Effect of Exchange Rate Changes on Stock Prices and P/E Ratio using PLS-SEM. Fiscal and Economic Policies, 3(12), 149-164.
8.  - Barghi Oskooee, M., Motafakker azad, M., and Shahbazzadeh, K. (2012). Modeling Non-linear Effects of the Changes in Real Exchange Rate and Crude Oil Prices on Tehran Stock Exchange (The Markov Switching Approach). Journal of Modeling Economic Research, 4 (14), 85-109.
9.  - Bartram, S. M. (2004). Linear and Non-linear Foreign Exchange Rate Exposures of German Non-financial Corporations. Journal of International Money and Finance, 23(4), 673-699. [DOI:10.1016/j.jimonfin.2004.03.002]
10.  - Bayat, M. (2005). The effect of exchange rate changes on stock returns of different industries in Iran. Master's Thesis. Faculty of Social Science & Economics, Alzahra University.
11.  - Boonyanam, N. (2014). Relationship of Stock Price and Monetary Variables of Asian Small Open Emerging Economy: Evidence from Thailand. International Journal of Financial Research, 5(1), 52-63. [DOI:10.5430/ijfr.v5n1p52]
12.  - Branson, W.H. (1983). Macroeconomic Determinants of Real Exchange Risk, , in R.J Herring (ed.), Managing Foreign Exchange Risk, Cambridge University Press.
13.  - Cheah, S ., Yiew, T., and F. Ng. (2017). A Non-linear ARDL Analysis on the Relation Between Stock Price and Exchange Rate in Malaysia. Economics Bulletin, 37(1), 336-346.
14.  - Cuestas, J. C., Tang B. (2015). Asymmetric Exchange Rate Exposure of Stock Returns: Empirical evidence from Chinese industries. Sheffield economic research paper series, 21(4), 1-21. [DOI:10.1515/snde-2016-0042]
15.  - Dickey, D.A., Fuller, W.A. )1979(. Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74, 427-431. [DOI:10.1080/01621459.1979.10482531]
16.  - Dornbusch, R., Fischer, S. (1980). Exchange Rates and Current Account. The American Economic Review, 70(5), 960-71.
17.  - Frankel, J.A. (1983). Monetary and Portfolio-balance Models of Exchange Rate Determination. Economic Interdependence and Flexible Exchange Rates, 84-114.
18.  - Gavin, M. (1989). The Stock Market and Exchange Rate Dynamics. Journal of International Money and Finance, 8(2), 181-200. [DOI:10.1016/0261-5606(89)90022-3]
19.  - Ghavidel doostkooi, S., Rostami omran, M. (2016). Investigating the Effect of Oil Shocks on the Shares Value of Petrochemical and Refinery industries in Tehran Stock Exchange, First International Conference of Management, Accounting, Educational Sciences and Resistance Economics.
20.  - Golkhandan, A. (2016). Impact of Positive and Negative Oil Shocks on the Stock Price Index in Iran (Is This Impact Asymmetric?). Fiscal and Economic Policies, 4(15), 89-114.
21.  - Heidari, H,. Bashiri S. (2012). Investigating the Relationship Between Real Exchange Rate Uncertainty and Stock Price Index in Tehran Stock Exchange Using VAR-GARCH Models. Journal of Modeling Economic Research, 3(9), 71-93.
22.  - Ismail, M.T., Isa, Z.B. (2009). Modeling the Interactions of Stock Price and Exchange Rate in Malaysia. The Singapore Economic Review, 54(5), 605-619. [DOI:10.1142/S0217590809003471]
23.  - Koutmos, G., Martin, A. D. (2003). Asymmetric Exchange Rate Exposure: Theory and evidence. Journal of International Money and Finance, 22(3), 365-383. [DOI:10.1016/S0261-5606(03)00012-3]
24.  - Levi, Maurice, D. (1994). Exchange Rate and Valuation of Firms. in Y. Amihud and R.M. Levich, (ed.), Exchange Rate and Corporate Performance, New York.
25.  - Lukman, R., Kouser, R. (2018). Asymmetrical Linkages Between Foreign Exchange Rate and Stock Markets: Empirical evidence through Linear and Non-linear ARDL. Risk and Financial Management, 11(3), 1-13, August. [DOI:10.3390/jrfm11030051]
26.  - Mehregan, N., Ahmadi Ghomi, M. A. (2016). Exchange Rate Shocks and Financial Markets: An Application of Panel Vector Autoregression Model (Panel VAR). Journal of Economic Research and Policies, 23(75), 103-130.
27.  - Miller, K. D., Reuer, J. J. (1998). Asymmetric Corporate Exposures to Foreign Exchange Rate Changes. Strategic Management Journal, 19(12), 1183-1191. https://doi.org/10.1002/(SICI)1097-0266(1998120)19:12<1183::AID-SMJ1>3.0.CO;2-S [DOI:10.1002/(SICI)1097-0266(1998120)19:123.0.CO;2-S]
28.  - Mishra A.K., Swain, N., and Malhotra, D.K. (2007). Volatility Spillover Between Stock and Foreign Exchange Markets: Indian evidence. International Journal of Business, 12(3), 343-359.
29.  Monjazeb, M., Mustafapour, M. ( 2013). An Investigation on the Effects of Mehr Housing on the Housing Harket of Iran. Strategic and macro policies, 1(3), 1-15.
30.  Moore, T., Wang, P. (2014). Dynamic Linkage Between Real Exchange Rate and Stock Prices: Evidence from developed and emerging Asian markets. International Review of Economics and Finance, 29, 1-11. [DOI:10.1016/j.iref.2013.02.004]
31.  Najafi, A., Rahimzadeh, A. (2016). Exchange Rate Fluctuations and its Effect on Stock Returns of Companies Accepted in Tehran Stock Exchange, First International Management Conference of Economics, Accounting and Educational Sciences.
32.  Nieh, C. C., Lee, C. F. (2001). Dynamic Relationship Between Stock Prices and Exchange Rates for G-7 Countries. The Quarterly Review of Economics and Finance,41(4), 477-490. [DOI:10.1016/S1062-9769(01)00085-0]
33.  Pesaran, M. H., Shin, Y., and Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289-326. [DOI:10.1002/jae.616]
34.  Pesaran, H.M. Pesaran, B. (1997). Microfit 4. Oxford University Press, England.
35.  Pesaran, H.M., Shin, Y. (1998). An Autoregressive Distributed Lag Modeling Approach to Cointegration Analysis. Cambridge University Press, Cambridge, 371-413. [DOI:10.1017/CBO9781139052221.011]
36.  Phylaktis, K., Ravazzolo, F. (2005). Stock Prices and Exchange Rate Dynamics. Journal of International Money and Finance, 24(7), 1031-1053. [DOI:10.1016/j.jimonfin.2005.08.001]
37.  Shin, Y., Yu, B., and Greenwood-Nimmo, M. )2014(. Modelling Asymmetric Cointegration and Dynamic Multipliers in a Non-linear ARDL Framework Festschrift in Honor of Peter Schmidt. Springer, New York, 281-314. [DOI:10.1007/978-1-4899-8008-3_9]
38.  Tehrani, R., Darikande, A., Navabi zand, K., Aryan, A., and Hosseini, H. (2013). Investigating the Relationship Between Exchange Rate Fluctuations and Stock Returns Exporting Companies Accepted in Tehran Stock Exchange. Financial Knowledge of Securities Analysis (financial studies), 6(17), 87-101.
39.  Tian, G.G., Ma, S. (2010). The relationship Between Stock Returns and the Foreign Exchange Rate: the ARDL approach. Journal of the Asia Pacific Economy, 15, 490-508. [DOI:10.1080/13547860.2010.516171]
40.  Verma, P. (2016). The Impact of Exchange Rates and Interest Rates on Bank Stock Returns: Evidence from US banks. Studies in Business and Economics, 11(1), 124-139. [DOI:10.1515/sbe-2016-0011]
41.  Wu, Y. (2000). Stock Prices and Exchange Rates in a VEC Model: The Case of Singapore. Journal of Economics and Finance, 260-274. [DOI:10.1007/BF02752607]
42.  Yau, H. Y., Nieh, C. C. (2006). Interrelationships Among Stock Prices of Taiwan and Japan and NTD/Yen Exchange Rate. Journal of Asian Economics, 17, 535-552. [DOI:10.1016/j.asieco.2006.04.006]

ارسال نظر درباره این مقاله : نام کاربری یا پست الکترونیک شما:
CAPTCHA

ارسال پیام به نویسنده مسئول


بازنشر اطلاعات
Creative Commons License این مقاله تحت شرایط Creative Commons Attribution-NonCommercial 4.0 International License قابل بازنشر است.

کلیه حقوق این وب سایت متعلق به فصلنامه تحقیقات مدلسازی اقتصادی می باشد.

طراحی و برنامه نویسی : یکتاوب افزار شرق

© 2024 CC BY-NC 4.0 | Journal of Economic Modeling Research

Designed & Developed by : Yektaweb