Investigation the Un-Suretunetly of Exchange Rate On Index Price & Level of Investment In Tehran Stock Index (Using VAR and GARCH Models)

Document Type : Original Article

Authors
M. Hossein Ranjbar 1
M. Feiz Fallah Shams 2
Rouhollah Rezazadeh 3
1 Department of Accounting and Management, Faculty of Humanities, Bandar Abbas Branch, Islamic Azad University, Bandar Abbas,
2 Department of Accounting and Management, Faculty of Humanities, Centeral Tehran Branch, Islamic Azad University, Tehran, Iran
3 Phd Student Financial Management of Islamic Azad University, Science and Research Branch & Yadegar Emam Branch, Islamic Azad University,tehran, Iran (Correspondence Author)
Abstract
the capital market decisions issue is constantly changing and developing and is dynamic as one of the most important and sensitive economic & financial sections of companies, it sometimes faces huge challenges for financial & economic and even political crisis & it is sometimes developed by attempting and economic boom of social and political interactions and positive attitude toward investment, so, researchers have studied the changes and volatility of this market.
For the importance of issue, the current research is studying trading volume, volatility and stock returns in Tehran Stock Exchange & their relationship using Multivariate regression analysis for model (GARCH,ARCH) and autoregressive models (VAR) on the data related to the years 1991-2012.
The results of the research indicate that among the variables which are being studied, interest rates fluctuate Variable shock, rules stability and stock return volatility have the greatest effect on investment in the stock And then the stock turnover volume, rate of inflation, capital stock in the economy have the greatest effect on the investment in stock in the financial sector of the economy. On the other side, variables in long run have linear relationship in which the effects of change in interest rates Variables, volatility of stock returns, negative alternative assets will reduce the investment in stock. Therefore, the rules stability index, capital stock & turnover have the greatest effect on investment in the stock. Negative coefficient shows negative impact of bank interest rates, volatility of stock returns, negative substitute assets on investment in stock, because in Iran, this index shows concepts such as Restrictive regulations, government intervention in the economy, competition policy, bureaucratic obstacles and governmental rules &  regulations, access to capital markets. Efficient rules will realize the objectives of increasing investment attraction in stock imposed by government with lower costs.
Keywords
The relation between stock return
trading volume
and return volatility
the bivariate GARCH approach to investigat
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