RT - Journal Article T1 - Investigating The Relationship Between Real Exchange Rate Uncertainty and Stock Price Index In Tehran Stock Exchange Using VAR-GARCH Models JF - JSE YR - 2012 JO - JSE VO - 3 IS - 9 UR - http://jemr.khu.ac.ir/article-1-238-en.html SP - 71 EP - 93 K1 - Real exchange rate uncertainty K1 - Stock price index K1 - BGARCH model K1 - Iran. AB -   This paper investigates the relationship between real exchange rate uncertainty and stock price index in Tehran stock exchange for the period of 1995-2009 by using monthly data and applying Bivariate Generalized Autoregressive Conditional Heteroskedasticity model (Bivariate GARCH). The results show that there is a negative and significant relationship between real exchange rate uncertainty and stock price index. However, the relationship between stock price uncertainty and real exchange rate is insignificant. Therefore, our results recommend that the policies which cause more volatility in the exchange market and also more volatility in the real exchange rate should be avoided to ensure the sustainable growth of the stock market and its price index.    LA eng UL http://jemr.khu.ac.ir/article-1-238-en.html M3 ER -