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Iranian Economic Review، جلد ۲۶، شماره ۳، صفحات ۶۶۷-۶۹۱
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عنوان انگلیسی Interdependence of Tehran Stock Exchange upon the Oil Price and USD Exchange Rate Return Using Quantile Regression and Time-Frequency Domain Analysis
چکیده انگلیسی مقاله Compared to GARCH, ARDL, VAR, and similar methods that are commonly used for stock market analysis and portfolio pricing, the quantile regression has proven to be more advantageous. In this study, we combine the quantile regression with wavelet decomposition to analyze different investment horizons in Tehran Stock Exchange. The discrete wavelet decomposition is used to divide the indices time series into short-term (2-16 days), mid-term (16-128 days), and long-term (128-512 days) horizons. The investment horizons are then accurately studied in a bear, normal, and bull market. Since Iran is an oil-exporting country and its economy is highly impacted by fluctuations in the USD exchange rate return, it is of crucial importance to analyze the effects of oil price and free-market USD exchange rate return on the stock market for investment policy-making and portfolio management. The results demonstrate how the exchange rate return volatility and the OPEC basket price fluctuation affect the stock market. The results illustrate strong evidence on the assumption of a long-term strong positive correlation between TSE and the USD exchange rate return increase.
کلیدواژه‌های انگلیسی مقاله Keywords Comovement,Tehran Stock Exchange,quantile regression,Wavelet Decomposition. JEL Classification C32,C53,F47,G11
نویسندگان مقاله Khadijeh Dinarzehi |
Department of Economics, University of Sistan and Baluchestan, Zahedan, Iran

Mohammad Nabi Shahiki Tash |
Department of Economics, University of Sistan and Baluchestan, Zahedan, Iran

Gholamreza Zamanian |
Department of Economics, University of Sistan and Baluchestan, Zahedan, Iran

نشانی اینترنتی https://ier.ut.ac.ir/article_89096_929043112b88f5795535c33cbea34ee9.pdf
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