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Exchange Rate Uncertainty Effect on Export-Oriented Companies at Tehran Stock Exchange (Yield) Rate of Return: A Panel-Vector Autoregressive Model

Author

Listed:
  • Gholamreza Zamanian

    (University of Sistan and Baluchestan, Zahedan, Iran)

  • Kamran Mahmodpour

    (University of Sistan and Baluchestan, Faculty of Management and Economics, Zahedan, Iran,)

  • Sepideh Yari

    (University of Sistan and Baluchestan, Zahedan, Iran)

Abstract

The main purpose followed in this research is to analyze effect of exchange rate uncertainty on the export-oriented companies' rate of return at Tehran Stock Exchange applying panel-vector autoregressive model during 2004-2014. The results indicate that the companies' rate of return is affecting by factors such as (exchange rate uncertainty, profitability index, size of company, debt ratio, book value to market value of each stock ratio). In accordance with the results, the return's response to leverage index (debt ratio) is consistently negative while the return's responses to profitability index and the book value to market value are positive at first and then turn negative. In addition, the size of company initially affects the rate of return negatively and then has an insignificant positive effect on it, which means the greater the company is, the more rate of return it has in long term. Consequently, it is indicated that the effect of exchange rate's uncertainty on export-oriented companies' rate of return is positive in both short and long run; which presents that the more exchange rate uncertainty is, the more rate of return we will have in long run.

Suggested Citation

  • Gholamreza Zamanian & Kamran Mahmodpour & Sepideh Yari, 2017. "Exchange Rate Uncertainty Effect on Export-Oriented Companies at Tehran Stock Exchange (Yield) Rate of Return: A Panel-Vector Autoregressive Model," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 207-213.
    • Handle: RePEc:eco:journ1:2017-01-27
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    References listed on IDEAS

    as
    1. Caporale, Guglielmo Maria & Hunter, John & Menla Ali, Faek, 2014. "On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007–2010," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 87-103.
    2. Jian Chen & Roger Strange, 2005. "The Determinants of Capital Structure: Evidence from Chinese Listed Companies," Economic Change and Restructuring, Springer, vol. 38(1), pages 11-35, March.
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    Cited by:

    1. Saadati, Alireza & Honarmandi, Zahra & Zarei, Samira, 2020. "Real Exchange Rate Shocks and Export-Oriented Businesses in Iran: An Empirical Analysis Using NARDL Model," MPRA Paper 101554, University Library of Munich, Germany, revised 30 Jun 2020.

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    More about this item

    Keywords

    Exchange Rate; Tehran Stock Exchange; Panel Vector Autoregressive Model;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G2 - Financial Economics - - Financial Institutions and Services

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