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

Gholamreza Zamanian, Kamran Mahmodpour and Sepideh Yari
Additional contact information
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

International Journal of Economics and Financial Issues, 2017, vol. 7, issue 1, 207-213

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.

Keywords: Exchange Rate; Tehran Stock Exchange; Panel Vector Autoregressive Model (search for similar items in EconPapers)
JEL-codes: F31 G2 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.econjournals.com/index.php/ijefi/article/download/2434/pdf (application/pdf)
http://www.econjournals.com/index.php/ijefi/article/view/2434/pdf (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2017-01-27

Access Statistics for this article

International Journal of Economics and Financial Issues is currently edited by Ilhan Ozturk

More articles in International Journal of Economics and Financial Issues from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().