A Novel Modeling Method for Real Exchange Rate Volatility and Stock Exchange Return With PANEL-GARCH Approach (Case Study:D8 Countries)

Stock returns of companies listed on the stock exchange is one of the most important criteria in assessing the macroeconomic. In this study, given that one of the factors affecting stock returns in developing countries is exchange rate Volatility, the Exchange Rate Volatility Index is estimated first by PANEL-GARCH model to determine the effect of exchange rate Volatility on the stock exchange Returns of D8 countries based on monthly data during the period (2008: 1-2015: 6). then the effect of Exchange rate volatility is explored and its value is extracted by means of panel data method. The variables of oil price, real interest rate, inflation rate, real exchange rate and gold price have been utilized for model analysis in our study. Simulation results show that exchange rate volatility exists in four countries, namely Iran, Pakistan, Indonesia and Bangladesh and it affects positively and significantly on stock exchange return in these countries. The variables of real exchange rate and inflation rate have negative effects but oil price has positive effect on stock returns, while interest rate and gold price do not have any significant effect.

کلیدواژه ها:

Stock returns ، Exchange rate volatility ، D8 countries ، PANEL-GARCH model