Int. j. econ. manag. soc. sci., Vol(4), No (6), June, 2015. pp.

420-425

TI Journals

International Journal of Economy, Management and Social Sciences

www.tijournals.com

ISSN:
2306-7276

Copyright 2015. All rights reserved for TI Journals.

A Comparative Study of the Effect of Exchange Rate Variations on

Stock Price and Stock Return by Industry on Tehran Stock Exchange
Heidar Alizadeh *
Department of Management, Islamic Azad University, Qeshm Branch, Qeshm, Iran.

Ebrahim Negahdari
PhD in Economics, lecturer of Department of Management, Islamic Azad University, Qeshm Branch, Iran.

Bizhan Abedini
PhD Accounting,Hormozgan University, Iran.
*Corresponding author: siraf60@yahoo.com

Keywords

Abstract

Exchange Rate Changes

Stock Price
Stock Return
Stock Exchange

In this study, the relative implications the exchange rate volatility may have on stock price and stock return
across several industries operating on Tehran Stock Exchange (TSE) are investigated. Research sample
includes 73 TSE-listed companies in 4 groups of automotive, petrochemical, nonmetallic minerals, and
pharmaceutical industries whose data for the period of 21 March 2009 through to 20 March 2013 is examined
on a monthly basis using panel data model in E-Views 6 environment. In order to apply the right statistical
techniques, first, it should be determined whether the data is normally distributed or not. The results of
Kolmogorov-Smirnov and Shapiro-Wilk tests confirmed the data normal frequency distribution. Before test of
the research hypotheses, reliability tests were performed using the generalized Dickey-Fuller test and PhilipsPron test. For data analysis, Pearson Correlation test, multivariate regression, Durbin-Watson test for
autocorrelation, and coefficient of determination (R2) were used. The results indicated a significant
relationship between exchange rate changes and stock return variations (across industries) on TSE, and no
relationship between exchange rate changes and stock price in automotive, nonmetallic minerals, and
pharmaceutical industries, except in petrochemical industry where this relationship was the case.

1.

Introduction

The international economy has been witness of recurrent and sizable fluctuations in exchange conversion ratio between trading countries,
affecting domestic businesses as well. With increase of trade between countries, exchange rate fluctuations have turned into one of the major
sources of business risk. This situation has led financial managers and scholars to investigate the effects of exchange rate on stock price and
stock return.
The financial crisis that started in US in August 2007, and the rise in the IRR-to-US$ conversion ratio, as was also the case with many other
countries, as well as the political and economic developments in Iran in recent years, have led to a new condition in the Iranian financial market
by recognizing an exchange rate regime as a key component within the countrys macroeconomic and financial framework, safeguarding against
repetition of financial crises in emerging markets and developing economies.
Exchange rate is among the factors of influence in enterprise trade relations with the outside world. Companies usually do their (foreign) trades
and investments in foreign currency. When a same currency unit is not used by the business in its normal operation, it has to use exchange rate
conversion by date in order to reflect the effect of trades on financial records and statements. Exchange rate fluctuations is among the
macroeconomic variables which can affect corporate rate of return and profitability and thereby its profitability.
Normally, stock exchanges are highly sensitive to share price movements and investigate the course of developments associated to them. Since
the market is to be furnished with a two-way information flow, we should not be witnessing that at a given interval all market participants
become buyers and in another occasion all of them turn into sellers. Share price can be the indicator of corporate ability for attracting new
investments and eventually raising the total amount of investment.
Stock return or investment reward is understood as annual dividend plus capital gain. This return is usually expressed as a percentage or ratio.
Return on stock (or share return) is itself a function of various factors, including exchange rate fluctuation. Theoretically, the uncertainty
associated to exchange rate volatility in addition to affecting foreign trade has impact on domestic economy, especially stock exchange of the
respective country. In an open market economy, services, commodities and capital are traded based on exchange rate. Therefore, exchange rate
can affect key variables in import, export, and capital inflow and outflow. Exchange rate fluctuation, in fact, produces a sort of risk in foreign
transactions and in this sense it can disrupt import, export, and capital flows between countries.
This research attempts to examine the effect of exchange rate changes on stock price and stock return variations per industry on Tehran Stock
Exchange (TSE).

2.

Research theoretical basics and background

Return on stock depends on various factors one of which is exchange rate fluctuation. Theoretically, the uncertainty associated to exchange rate
aside from its direct impact on foreign trade, involves spillover working on various facets of the domestic economy, especially stock exchange of
the respective country. Within the context of the open market economy, trading on services, commodities and capital is made based on exchange
rate. Therefore, exchange rate is likely to affect key variables in import, export, and capital inflow and outflow. Exchange rate fluctuation, in
fact, gives rise to some sort of risk in foreign transactions which might disrupt import, export, and capital flows between countries.
Azman et al (2006) in a study examined the relationship of stock price and exchange rate in Malaysia for the period 1993-1998. The two
researchers for study of the causal relationship made use of the Toda and Yamamotos Granger-Causality test (1995). Their results indicated
presence of a two-way causality for the pre-crisis period and a one-way causality from exchange rate to stock price during the crisis.

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A Comparative Study of the Effect of Exchange Rate Variations on Stock Price and Stock Return by Industry on Tehran Stock Exchange
International Journal of Economy, Management and Social Sciences Vol(4), No (6), June, 2015.

Gan et al (2006) investigated the effect of macroeconomic variables on the index price of the New Zealand Stock Exchange (NZX) during 19902003 using Johansen Cointegration test. The results indicated a long-term equilibrium relationship between the models variables and (the stock)
index price of the stock exchange. In addition, the obtained results from analysis of variance indicated that after two years variables money
supply, short-term interest rate, long-term interest rate, and real GDP together explained 71 percent of the in equilibrium caused by the shock.
Adam and Tonboch (2008) investigated the effect of the macroeconomic variables on the Ghana Stock Exchange (GSE) during 1991-2006,
using Johansen Cointegration test and vector error correction model (VECM). The results indicated positive relationship of stock price with
direct foreign investment and inflation rate, and its negative relationship with exchange rate and interest rate.
Adjasi et al (2008) using the Exponential GARCH (EGARCH) model investigated relationship of exchange rate fluctuations with the stock
market in Ghana. The results indicated a negative association between exchange rate volatility and the stock market return.
Beer and Hebein (2008) using EGARCH model examined the stock market and exchange rate dynamics in two groups of industrialized and
emerging economies. The developed countries consisted of the US, Canada, Japan, and England, and in the group of developing countries, Hong
Kong, Singapore, South Korea, India, and Philippines were included. They found that in the developed economies there was persistent volatility
in the relationship of stock market and exchange rate, whereas in the emerging economies this volatility was pronounced and enduring.
Morley (2009) using bounds testing procedures assessed the relationship of exchange rates and stock prices in the long and short run for
England, Japan, and Switzerland over the period 1985-2005. The results indicated presence of a long run relationship between exchange rates
and stock prices for the mentioned countries. In addition, the estimates of the error correction model suggested a positive relationship between
exchange rates and stock prices.
Yan and Nieh (2009) examined the effect of Taiwan Dollar (TWD) exchange rate to Japanese Yen (JPY) on stock prices in Japan and Taiwan
during 1991-2008, using threshold error-correction model. The obtained results from the Granger-Causality test indicated absence of a shortterm relationship between the two financial assets for either country but confirmed an asymmetric relationship in the long run.
Zhao (2010) in an empirical study, using multivariate GARCH models, investigated the dynamic relationship between exchange rate and stock
price in China during 1991-2009. The findings did not confirmed any stable long-term equilibrium relationship between real effective exchange
rate and stock price, and suggested that the past developments in the stock market had a greater impact on the future fluctuations of the exchange
market. In addition, the findings suggested bidirectional volatility spillovers effects between the two markets.
Alagidede et al (2010) studied the relationship of exchange rate and stock price in Australia, Canada, Japan, Switzerland, and England over the
period 1992-2005, using the Cointegration test procedure and Granger-Causality test. Their results indicated presence of a unidirectional causal
relationship from exchange rate to stock price for Canada, Switzerland, and England, and presence of a unidirectional causality from stock price
to exchange rate for Switzerland (alone).
Subari and Salihu (2010) examined the effect exchange rate volatility on the stock market of Nigeria, basing their analysis on GARCH models
and error-correction model. Their findings indicated negative and significant effect of exchange rate on stock price, and no long-term
relationship between the macroeconomic variables interest rate and inflation rate and the stock market.
Chinzara (2011) using GARCH models in VaR estimation investigated the relationship of macroeconomic variables with stock in South Africa.
His findings indicated a bidirectional relationship between these variables. Also, it was found that uncertainty associated to macroeconomic
variables had significant impact on fluctuations of the stock market.
Barzandeh (1997) investigated the effect of certain alternative assets to stock on stock price based on monthly data for the period 1990-1997.
The used alternative assets (independent variables) in this study were foreign exchange, housing, and vehicles. Using GARCH model in VaR
estimation and Granger-Causality test, it was shown that the vehicles and foreign exchange could explain 4 and 9 percent of the stock market
course of movement, respectively. That is, a totally 13 percent of the stock market fluctuations was explained by the two variables.
In the study conducted by Ghalibaf Asl (2002), the relationship of stock return of the securities market with exchange rate during 1996-2001 was
investigated. It was found that exchange rate negatively influenced stock return of the listed companies.
Jalali Naeeini and Ghalibaf Asl (2003) examined the effect of exchange rate on stock return in 14 export companies and 30 non-export
companies on TSE over the period 1996 through to 2001was investigated. The results indicated direct effect of exchange rate on share value of
the both export and non-export companies, though this relationship was not observed simultaneously, but was confirmed with a lag for periods
of six months.
Karimzadeh (2006) using Autoregressive Distributed Lags (ARDL) model assessed long-term relationship of the TSE stock price index with
macroeconomic variables including real exchange rate, liquidity (total money supply), and real banking interest rate for the period 1990-2002.
He demonstrated that stock price index was positively related to liquidity, while it was negatively influenced by real exchange rate and real
banking interest rate.
Eslamiyoun and Zar (2006) also examined the effect of certain economic variables on the TSE stock price index in the years 1993-2003, using
ARDL model and error-correction model. The obtained results suggested positive effect of ratio of domestic consumer price index to foreign
consumer price index, petroleum price, housing price, and price of the gold coin and negative effect of exchange rate and total money supply on
stock price index.
Finally, Heidari et al (2010) following the threshold test procedure investigated the relationship of real exchange rate uncertainty and the TSE
all-share price index for the period 1994-2009. They found that exchange rate both in long and short run was negatively associated with the stock
price index. However, short-term relationship of exchange rate with stock price index was not significant.

3.

Research hypotheses

This research is conducted in light of the following two principal, deductive hypotheses:
1. There is significant relationship between exchange rate volatility and stock price of the listed companies on Tehran Stock Exchange.
2. There is a significant relationship between exchange rate volatility and stock return of the listed companies on Tehran Stock Exchange.

4.

Research methodology

In terms of purpose, this is an applied research in that its results ultimately serve as a solution for specific problem or issue. As regards its
method, it is a causal or post-event study, since it makes use of an a posteriori design where the independent variables or causes cannot be
manipulated. Present study adopts a quantitative approach to data collection, processing, and analysis.
The research statistical population is made up of all the TSE-listed companies in automotive, petrochemical, nonmetallic minerals, and
pharmaceutical industries which have been operating on this market during the 48-month period of 21 March 2009 through to 20 March 2013,
from among of which, using discretionary or filtering sampling, 73 companies (table 1) that satisfied the conditions below were taken into the
sample.

Heidar Alizadeh *, Ebrahim Negahdari, Bizhan Abedini

422

International Journal of Economy, Management and Social Sciences Vol(4), No (6), June, 2015.

1.
2.
3.
4.
5.

The company before 2009 was admitted to the TSE;

It should not belong to the group of investment companies, banks, insurance firms, and finance and credit institutions, given the special
nature of their operation;
The annual edited financial statements have been provided by the company over the understudy period;
The companys financial year ends up on 20-21 March each year; and
The companys trading symbol has not been suspended longer than six months.
Table 1. List of the Sample companies grouped by industry

Automotive
Iran Casting industry
Nassir Machine Eng.
Zamyad Co.
Iran Khodro AM
Iran Transfer
Iran Khodro
Iran Khodro Diesel
Mashhad Wheel Mfg.
Car Axis Mfg.
Alumtech
Iran Brake Lining
Indamin Shock Absorber Mfg. Co.
Bahman Group
Zar Spring Mfg. Co.
Niroo Mohareke Co.
Saipa Azin Co.
Saipa
Sazeh Pouyesh Co.
Electric Shargh Khodro
Iran Tractor Foundry
Mehrkam Pars Co.
Iran Tractor Casting
Khavar Spring Mfg.
Charkheshgar Co.
Car Parts Co.
Pars Khodro
Iranian Bearing Co.
Iran Khodro Investment Development
Co.
Iran Radiator
Saipa Diesel
Total
30

Petrochemicals
Abadan Petrochem. Co.
Pardis Petrochem. Co.
Fanavaran Petrochem Co.
Esfahan Petrochem Co.
Kermanshah Petrochemical Co.
Farabi Petrochemicals Co.
Sina Chemical
Shiraz Chemical
Khark Petrochemical Co.
Shazand petrochemical

Industries
Nonmetallic minerals
Iran China Clay Industries
Iran Refractory Products
Azar Refractories Co.
Hamedan Glass Co.
Pars Refractories Co.
Saipa Glass (Shisheh) Co.
Razi Glass Mfg. Factories
Pars Ceram Plc.
Ardakan Ind. Ceramic
Shisheh va Gaz Co.

10

10

Pharmaceuticals
Alborz Darou Pharm Co.
Sina Pharma Industry
Kimi Darou
Cosar Pharma Co.
Darou Pakhsh Pharma Raw Materials
Sobhan Pharma Group
Darou Pakhsh Factories
Zahravi Pharma Co.
Aburaihan Pharma Co.
Amin Pharma Co.
Jaber Ebne Hayyan Pharmaceutical Co.
Damloran Razak Pharmaceutical Co.
Dr. Abidi Pharma Co.
Farabi Pharma Co.
Loghman Pharma Co.
Cosar-Amin Pharma. Group
Osveh Pharma Co.
Iran Injection Products
Razak Pharma Co.
Darou Pakhsh Chem. Co.
Rooz-Daru Pharma Co.
Exir Pharma Co.
Iran Daru Pharma Co.

23

After completion of the research on the sample firms, the results thereof will be applied to the whole population.
The model below measures the relationship between stock price (dependent variable) and an independent variable (exchange rate variations).

TEPIX it B 0 B1 RER it

(1)

In which, TEPIXit denotes Tehran Price Index as the dependent variable and RERit stands for real exchange rate variations as the independent
variable.
And the following model measures the relationship of stock return (dependent variable) with an independent variable (exchange rate variations).

Rit B0 B1 RER it

(2)

Where, R represents stock return as the dependent variable.

Exchange rate variations
Real exchange rate (RER) is obtained from the data on the open market official exchange rate based on the following formula:

RER

CPI us
. NER
CPI D

Where,
NER: official exchange rate
CPIUS: the US consumer price index
CPID: domestic (Iranian) consumer price index

(3)

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A Comparative Study of the Effect of Exchange Rate Variations on Stock Price and Stock Return by Industry on Tehran Stock Exchange
International Journal of Economy, Management and Social Sciences Vol(4), No (6), June, 2015.

Stock price
TSE all-share price index (TEPIX) is calculated based on current share price and using the Laspeyres index. In this method, current value of
variables which are among the principal constituents is divided by their base year value:

TEPIX =

(4)

In the above equation, the numerator is the aggregate product of each issued share of the listed companies times the last share prices, i.e. total
market value. And the denominator is the aggregate product of every single issued share times the base year price (in 1990).
Stock return
Return is the reward that the investor earns in investment. Rate of return is calculated from the following relation:

Pt 1 Pt D
Pt

In which,
R: rate of return
Pt+1: asset value end of period
Pt: asset value beginning of period
D: dividend or other earnings
In other words, return is the sum of the gains earned shareholder.
4.1. Test of normality
For application of the right statistical techniques, first, it should be determined whether the collected data has a normal distribution or not.
Because, if the gathered data has a normal distribution, parametric techniques can be used for test of hypotheses otherwise non-parametric tests
will have to be applied. At this point, we examine the obtained results from the Kolmogorov-Smirnov and Shapiro-Wilk tests for each of the
dependent and independent variables and decide on what type of testing procedure to be chosen for verification of the statements made by the
research hypotheses. In test of the data normality, we examine the null hypothesis assuming normal distribution of the data (at Sig = 0.05). Thus,
a test statistic greater than or equal to 0.05 implies normal distribution of the data, and the null hypothesis (on data normality) will be
maintained. For the normality test, the statistical hypotheses are formulated as follows:
H0 : the data pertaining to each of the variables has a normal distribution.
H1 : the data pertaining to each of the variables does not have a normal distribution.
The obtained statistics from the Kolmogorov-Smirnov and Shapiro-Wilk tests which are greater than the critical level 0.05 for all variables imply
that the data associated to each and every variable have normally distributed frequency.
4.2. The correlation test
To examine presence and direction of a linear correlation between the research variables in the understudy industries, Pearson correlation test
was applied. Table 2 presents the results of Pearson correlation test for the automotive industry. The correlation coefficient 0.016 for the
relationship between exchange rate variations (RER) and stock price (TEPIX) indicates a positive and significant correlation (at 0.05) between
the two variables. This correlation, though not a remarkably strong one, indicates a likely positive and significant association between the
exchange rate volatility and the stock prices.
The inverse correlation coefficient of -0.0125 for the variables exchange rate variations (RER) and stock return (R) is significant at 0.05,
implying the probability of stock return reduction following an increase of exchange rate.
And the correlation coefficient -0.026 indicates an inverse relationship between stock price and stock return which is significant at 0.05.
Table 2. Correlation coefficients in automotive industry
Variables
RER
TEPIX
R

RER
1
.016*
-.125*

*At 0.01 significance level

TEPIX

1
-.026

** At 0.05 significance level

The same test was performed for the three other industries, respectively. The results of the correlation analysis for the petrochemical industry are
provided in table 3. As is seen, for the assumed relationship between exchange rate variations and stock price, the correlation coefficient 0.013 is
positive and significant at 0.05. This correlation, though not a very strong one, signals the probability of a positive and significant association
between the two variables.
The correlation coefficient -0.11 for the relationship of exchange rate variations and stock return indicates an inverse and significant correlation
between the two variables, implying the probability of a reduction in the stock return following increase of the exchange rate in this industry.
And the correlation coefficient -0.02 implies an inverse and significant correlation between stock price and stock return of the companies in the
petrochemical industry.
Table 3. Correlation coefficients in petrochemical industry
Variables
RER
TEPIX
R
*At 0.01 significance level

RER
1
.013*
-0.11*
** At 0.05 significance level

TEPIX

1
-.02**

Heidar Alizadeh *, Ebrahim Negahdari, Bizhan Abedini

424

International Journal of Economy, Management and Social Sciences Vol(4), No (6), June, 2015.

In table 4, correlation coefficient for exchange rate variations and stock price is 0.036 which is significant at 0.05. This correlation, though not of
much force, indicates probability of a positive and significant relationship between exchange rate and stock price.
The correlation coefficient -0.07 indicates an inverse and significant relationship (at 0.01) between exchange rate variations and stock return. It
implies the stock return is likely to reduce, should the exchange rate increase. And correlation coefficient for the relationship between stock price
and stock return is 0.03 which is significant at 0.05.
Table 4. Correlation coefficients in nonmetallic minerals industry
Variables
RER
TEPIX
R
*At 0.01 significance level

RER
1
.036*
-.07**

TEPIX

1
.03*

** At 0.05 significance level

The results of Pearson correlation test for the pharmaceutical industry are presented in table 5 The correlation coefficient 0.043 for exchange rate
variations and stock price suggests the likelihood of a positive relationship between two variables which is significant ay 0.05.
The correlation coefficient 0.12 for the relationship of exchange rate variations and stock return (0.12) is significant at 0.05, implying the
likelihood of the stock return reduction as a result of an increase in the exchange rate for the pharmaceutical industry. And the correlation
coefficient for stock price and stock return in this industry is 0.014 which is significant at 0.05.
Table 5. Correlation coefficients in pharmaceutical industry
Variables
RER
TEPIX
R
*At 0.01 significance level

RER
1
.043*
.12*

TEPIX

1
.014**

** At 0.05 significance level

4.3. The stationarity test

When two variables are non-stationary and cointegrated, they have long-term equilibrium relationship with each other, that is, the two variables
in the long run properly follow one another. To examine the long-term relationship, first, unit root test should be performed for each variable.
For this purpose, the augmented Dicky-Fuller unit root test and Phillips and Perron test are performed. If absolute value of the calculated statistic
is greater than the critical value (usually set at 5 percent), H0 hypothesis of non-stationarity is rejected and the alternative hypothesis suggesting
the series stationarity is accepted and applied.
According to the test results (table 6), unit root of stock return and stock price is at stationarity level, but exchange rate is not at stationarity,
hence with a first order difference I (1) stationarity of its unit root is confirmed as well.
Table 6. Stationarity test on time series of the variables
variable

5.

Augmented Dicky-Fuller test

Prob.

RERit
Rit
TEPIXit

.9973
.0072
.0000

Level
ADF
statistic
1.137
-3.536
-15.197

1%
-3.581
-3.434
-3.434

Critical level
5%
-2.926
-2.863
-2.863

10%
-2.601
-2.567
-2.567

Prob.
.0000
-

First order difference

Critical level
ADF
statistic
1%
5%
-10.036
-3.581
-2.926
-

10%
-2.601
-

Research findings

Below, our findings from test of hypotheses are summarized and discussed.
5.1. The first hypothesis
Fisher statistic (F-statistic) is used to assess significance of the model as a whole, and significance of the coefficients is determined using Student
t-statistic.
The F-statistic 14.05 (table 5) is significant, implying the model overall significance. The adjusted coefficient of determination (R 2 = 0.55) in this
table suggests that nearly 55% of changes in the dependent variable (stock price) are explained by the independent variable (exchange rate
variations). Given 1 = 0.12 which is significant at 0.01, there is a significantly positive relationship between exchange rate variations and
overall share price, that is, one unit increase of exchange rate results in 12 percent higher stock price. Hence, H0 is rejected and the research
hypothesis maintaining a significant relationship between exchange rate variations and stock price in the listed companies on TSE is confirmed.
5.2. The second hypothesis
The F-statistic 9.43 in table 6 which is significant indicates significance of the model as a whole. On the other hand, the adjusted coefficient (R 2
= 0.60) implies that nearly 60 percent of the dependent variable (stock return) is explained by the independent variable (exchange rate
variations). Coefficient 1 (-6.57) which is significant at 0.01 suggests an inverse and significant relationship between exchange rate variations
and stock return, that is, one unit increase in exchange rate is equivalent to 6.72 times reduction in stock return. Hence, H0 is rejected and the
research basic hypothesis of a significant relationship between exchange rate variations and stock return in the TSE-listed companies is accepted
and prevails.

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A Comparative Study of the Effect of Exchange Rate Variations on Stock Price and Stock Return by Industry on Tehran Stock Exchange
International Journal of Economy, Management and Social Sciences Vol(4), No (6), June, 2015.

6.

Discussion and conclusion

In an empirical model, the relationship of exchange rate variations with stock price and stock return was investigated. From among the listed
companies on Tehran Stock Exchange four distinct groups of the mentioned industries were selected of which 73 firms met the sampling criteria
and formed the sample whose date for the 48-month period of 21-03-2009 to 20-03- 2013 was collected.
Using the Augmented Dick-Fuller test the data stationarity was examined and based on the test results, unit root of the variables stock return and
stock price was confirmed to be at a stationarity level. Stationarity of the exchange rate, after one time difference was also confirmed at 0.01.
Next, the panel data were subjected to regression analysis in EViews 6 environment, and using Durbin-Watson autocorrelation test, the data was
checked for an eventual autocorrelation. The hypothesized relationships between the research variables were tested at the hand Pearson
correlation test, multivariate regression, and (adjusted) coefficient of determination (R2 ).
Considering the nature of the research data which is close to combined (mixed) and panel type of data, the panel analysis procedure was
employed. Confirmation of the first hypothesis by the test results implies positive effect of exchange rate volatility on the share price which is
consistent with the findings of Morley (2009) and Alagidede et al (2010). In addition, with confirmation of the second hypothesis, the results
highlight the positive effect of the exchange rate variations on the stock return which is in line with the findings of Jalali Naeeini and Ghalibaf
Asl (2003).

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