The relationship between exchange rates, short and long- term interest rates and stock returns of banks accepted in Tehran Stock Exchange
Journal Title: International Research Journal of Applied and Basic Sciences - Year 2013, Vol 5, Issue 8
Abstract
Banks play a key role in the implementation of monetary policy and exchange rate. Since the macroeconomic variables affect stock returns, in this study investigates the significant relationship and accumulation relationship between Index s of bank Stock returns with macroeconomic variables such as exchange rates, short and long term interest rates for adopted bank in Tehran stock Exchange has been paid. Therefore, using time series data during 2003 to 2011 as a seasonal, suggested model is estimated. In this study, the multiple regression model, and Autoregressive Distributed Lag (ARDL) and error correction model (ECM) was used to test the model. The findings suggest that between the exchange rates and short-term interest rates with bank stock returns index is positive and significant relationship ( long- term variable interest rates was not significant and therefore has no effect on the model). According to the results obtained from a co-integration test is a long term relationship between the exchange rates, short and long term interest rates with the banks stock returns index, in that the relationship between the exchange rate and long term interest rate, there is positive relationship and between short-term interest rates has a negative relationship with stock returns banks index.
Authors and Affiliations
zohre lalooee nasirabadi| M.Sc of Accounting of Department of Accounting, Faculty of Accounting, Scienceand Research Branch , Islamic Azad University , Zahedan, Iran, email:shirinnasiri82@yahoo.com, Maryam Khalili Araghi| Department of Business Management, Science and Research Branch, Islamic Azad University, Tehran, Iran
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- EP ID EP5989
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