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سنجش تاثیر نااطمینانی نرخ ارز بر شاخص قیمت سهام شرکت های صنعتی پذیرفته شده در بورس اوراق بهادار | ||
| پژوهشنامه اقتصاد کلان Macroeconomics Research Letter | ||
| مقاله 5، دوره 11، شماره 22، دی 1395، صفحه 105-131 اصل مقاله (282.48 K) | ||
| نوع مقاله: علمی | ||
| شناسه دیجیتال (DOI): 10.22080/iejm.2017.11876.1531 | ||
| نویسنده | ||
| مهدی ادیب پور* | ||
| گروه اقتصاد، دانشگاه آزاد اسلامی واحد فیروزکوه، فیروزکوه، ایران | ||
| تاریخ دریافت: 10 اسفند 1395، تاریخ بازنگری: 29 فروردین 1396، تاریخ پذیرش: 27 شهریور 1396 | ||
| چکیده | ||
| یکی از متغیرهای مهم تاثیر گذار بر شاخص قیمت سهام نرخ ارز و نوسانات مربوط به آن است. در پژوهش حاضر اثر نااطمینانی نرخ ارز اسمی بر شاخص قیمت سهام شرکتهای صنعتی پذیرفته شده در بورس اوراق بهادار تهران طی سالهای 1392:4-1378:1 مورد بررسی قرار گرفته است. به همین منظور ابتدا با استفاده از مدل ناهمسانی واریانس شرطی، نااطمینانی نرخ ارز اسمی محاسبه شد و سپس متغیر نااطمینانی نرخ ارز به همراه متغیرهای دیگری نظیر نرخ ارز اسمی، تولید ناخالص داخلی حقیقی، نقدینگی به شکل حقیقی، شاخص قیمتها و قیمت حقیقی حاملهای انرژی وارد الگوی تحقیق گردید. نتایج برآورد الگوی خود توضیح با وقفههای توزیعی گسترده(ARDL) نشان داد که متغیرهای نااطمینانی نرخ ارز اسمی، نقدینگی و قیمت انرژی اثر منفی و معنادار و متغیرهای تولید ناخالص داخلی، نرخ ارز و سطح قیمتها اثر مثبت و معناداری بر شاخص قیمت سهام شرکتهای صنعتی پذیرفته شده در بورس اوراق بهادار تهران بر جای میگذارند. بنابراین، با اعمال سیاستهایی در جهت جلوگیری از نوسان قابل ملاحظه نرخ ارز زمینه رشد پایدار شاخص سهام شرکتهای صنعتی بورس فراهم شده و بازار سهام با بهبود مواجه خواهد شد | ||
| کلیدواژه‌ها | ||
| نرخ ارز؛ نااطمینانی نرخ ارز؛ شاخص قیمت سهام شرکتهای صنعتی | ||
| عنوان مقاله [English] | ||
| Measuring the Effect of Exchange Rate Uncertainty on Industrial Corporates Stock Price Index of Tehran Stock Exchange | ||
| نویسندگان [English] | ||
| Mehdi Adibpour | ||
| Department of Economics, Islamic Azad University, firoozkooh, Iran. | ||
| چکیده [English] | ||
| One of the most important variables affecting stock price index is exchange rate and its fluctuations. The aim of this paper was to investigate the effect of nominal exchange rate uncertainty on the stock price of industrial corporates in Tehran stock exchange over the period 1378:1-1392:4. For this purpose Conditional Variance of nominal exchange rate was calculated by an Autoregressive Conditional Heteroskedasticity (ARCH) model and was considered as a proxy for Nominal Exchange rate uncertainty. By adopting an Auto Regressive Distributed Lag (ARDL) model and considering nominal exchange rate uncertainty with other variables such as nominal exchange rate, Real Gross domestic products, real liquidity, consumer price index and real price of energy as explanatory variables, the results indicated that nominal exchange rate uncertainty has significant negative effect on industrial corporate stock price index of Tehran stock exchange in both short and long term. Liquidity and the price of energy negatively and real gross domestic product, nominal exchange rate and consumer price index positively affect price index of industrial corporate of Tehran stock exchange and these effects are significant in the long run. Therefore implementing of suitable fiscal and monetary policies and preventing exchange rate fluctuations will decrease the uncertainty of nominal exchange rate will cause boom of stock price of industrial corporate and overall stock exchange market. | ||
| کلیدواژه‌ها [English] | ||
| Exchange rate, Exchange rate uncertainty, Stock price of industrial corporate | ||
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