Volume 18, Issue 3 (9-2023)
J. Mon. Ec. 2023, 18(3): 331-347 |
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Qezelbash M, Tajdini S, Mehrara M, Lotfi Ghahroud M. Industry Index Performance in Tehran Stock Exchange and Fluctuations of Dollar Rates. J. Mon. Ec. 2023; 18 (3) : 3
URL: http://jme.mbri.ac.ir/article-1-651-en.html
URL: http://jme.mbri.ac.ir/article-1-651-en.html
1- Financial Engineering Department, Allameh Tabataba’i University, Tehran, Iran
2- Faculty of Economics, University of Tehran, Tehran, Iran
2- Faculty of Economics, University of Tehran, Tehran, Iran
Abstract: (219 Views)
This study aimed to investigate the performance of diverse stock market indices on the Tehran Stock Exchange during two distinct phases: a boom from September 2022 to December 2022 and a recession from December 2022 to September 2022 in the foreign exchange market. The results of this study diverged from the anticipated outcomes and show that by using dynamic conditional beta and conditional Treynor ratio during the period of exchange rate boom, export-oriented companies such as metals and chemicals in the Tehran Stock Exchange did not perform better than non-export-oriented companies such as Insurance and medicine. While it is always believed that export-oriented firms outperform the others when the Rial depreciates.
Article number: 3
Keywords: Foreign Exchange Market, Tehran Stock Exchange, Dynamic Conditional Beta, Conditional Treynor Ratio
Type of Study: Original Research - Empirical |
Subject:
Monetary Economics
Received: 31 Dec 2023 | Accepted: 26 May 2024 | Published: 6 Nov 2024
Received: 31 Dec 2023 | Accepted: 26 May 2024 | Published: 6 Nov 2024
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