Investigating the Spillover Effect of Exchange Rate Uncertainty on fluctuations of various industries in the stock market in Iran

Gorjipour, Mohammad Javad; Naji Meydani, Ali Akbar; Ebrahimi Salari, Taghi; Behname, Mehdi

doi:10.30473/jier.2024.69665.1422

Document Type : applicative

Authors

¹ Department of Economics, Faculty of Administrative and Economic Sciences, Ferdowsi University of Mashhad, Mashhad, Iran

² Associate Professor, Department of Economics, Ferdowsi University of Mashhad, Mashhad, Iran.

10.30473/jier.2024.69665.1422

Abstract

A B S T R A C T
This study investigates the connectedness between the dynamic fluctuations of the exchange rate uncertainty and the fluctuations of various industries in the stock market in the time and frequency range (short-term, medium-term and long-term) during the monthly period of 2013-06-2023:05 in Iran. Using the time-frequency connectedness approach developed by Diebold and Yilmaz (2009, 2012) and Barunik and Krehlik (2018), the results show a significant connectedness between macroeconomic variables uncertainty fluctuations and fluctuations of various industries in the stock market in the short and medium term, while this connectedness decreases in long term. In the time domain, exchange rate uncertainty acts as a transmitter of shocks to different sectors of stock market. In the frequency domain, fluctuations of the net uncertainty spillover of the exchange rate in the medium term are more than in the short term and long term. This shows that exchange rate uncertainty in the medium term transmits more shocks to sectors of different industries of the stock market. Also, in the short term, the chemical, cement, basic metals, investment, and pharmaceutical sectors, in the medium term the petroleum products sector, and in the long term, the petroleum and chemical products sectors are more vulnerable and more affected by the exchange rate uncertainty spillover. It is recommended that the policy maker adopt macro policies and the investor to gain profit in the stock market should pay more attention to the sectors that are more vulnerable in the conditions of the exchange rate uncertainty in a different range of frequency

Keywords

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Journal of Industrial Economics researches

Investigating the Spillover Effect of Exchange Rate Uncertainty on fluctuations of various industries in the stock market in Iran

References

References

منابع

Volume 7, Issue 24
July 2023
Pages 83-102

Investigating the Spillover Effect of Exchange Rate Uncertainty on fluctuations of various industries in the stock market in Iran

References

References

منابع

Volume 7, Issue 24July 2023Pages 83-102

Volume 7, Issue 24
July 2023
Pages 83-102