The threshold effect of exchange rate shocks on stock market fluctuations
نویسندگان
1 Department of Accounting, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran
2 Department of Economics, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran
3 Department of Statistics, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran
4 Department of Accounting, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran
doi
10.22075/ijnaa.2024.33390.4971چکیده
This study was conducted mainly to investigate the asymmetric and threshold effect of exchange rate shocks on stock market fluctuations. The variables of exchange rate, gold price, oil price, housing price index, and stock returns from the winter of 2014-6 to the spring of 2021 were used to investigate the threshold effects of exchange rate shocks on stock market fluctuations. The exchange rate shocks were then extracted using the multivariate GARCH technique. In the following, a suitable threshold model was chosen for the effect of exchange rate shocks on stock returns, and the threshold values for the effect of exchange rates on stock returns were determined based on various tests. According to the results, exchange rate shocks significantly negatively affect stock price returns only at high threshold values of the exchange rate shock, i.e. 0.056. The results also showed that exchange rate fluctuations have no significant effect on the stock market in shocks lower than the threshold value of 0.056.
