Identifying and Explaining the Effect of Exchange Rates, Short-Term and Long-Term Interest Rates on the Stock Returns of Banks Admitted to the Tehran Stock Exchange

Kamrani Amiri, Meysam

doi:10.22034/jmek.2023.393735.1085

Identifying and Explaining the Effect of Exchange Rates, Short-Term and Long-Term Interest Rates on the Stock Returns of Banks Admitted to the Tehran Stock Exchange

Document Type : Original Article

Author

Meysam Kamrani Amiri

Department of Industrial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran

10.22034/jmek.2023.393735.1085

Abstract

The purpose of this research is to identify and explain the impact of exchange rates, short-term and long-term interest rates on the stock returns of banks admitted to the Tehran Stock Exchange. The research method is descriptive-analytical. Also, in this research, due to the fact that the studied variables refer to the past, it is retrospective. The research method is experimental because past data is used. The statistical population of this research includes all member companies of Tehran Stock Exchange. The sampling method is systematic elimination or screening. In this research, using the ARDL method (Vector Explanatory Limit with Extended Interval), the estimated model was investigated using time series data and the time period of 1372-1392. The research results showed that; The effect of exchange rate variable on stock returns is positive and significant, and the effect of short-term interest rate, long-term interest rate and inflation rate variables on stock returns is negative and significant.

Keywords

Exchange Rate

Short-Term Interest Rate

Stock Returns

Banks Listed on the Stock Exchange

Subjects