The Effect of Exchange Rate Fluctuations on the Stock Market Index and the Price of Gold Coins

اقتصاد پولی مالی

Article 3, Volume 22, Issue 9, January 2016, Pages 57-73   

Document Type: پژوهشی

DOI: 10.22067/pm.v22i9.19367

Authors

Saeed Samadi¹; Nasrin Ebrahimmi¹; Fariba Aghili^{* 2}

¹University of Esfahan

²University Of Esfahan

Abstract

Abstract
Given that gold is a commodity sensitive and strategic and its global price has been trend over the past years, in this study, we investigated the factors influencing the price of gold coins. The most important factors that can influence the price of gold in Iran: Global gold prices, Inflation expectations, Exchange rate fluctuations, Fluctuations in the stock index and the international sanctions. Also consider these results can be useful for investors and planners as well.
Because of the importance of the foreign exchange market and stock market, in this study, an attempt is In addition to the gold price and exchange rate fluctuation on the stock prices of gold coins In Iran from April 1380 to September 1390 to be considered. In order to study ARCH model be used to measure volatility.
The results show that the factors affecting the price of coins, exchange rate in the short term and in the long term, the most effective agent. Global gold prices are also a factor in the long-term and short-term is positive and significant.Although the long-term coefficients are larger than the short-term coefficients. This shows that in the long-term price of gold coins reacts more fluctuations in exchange rates and changes in the world price of gold.

Keywords

Gold coin price; Exchange Rate Fluctuations; Volatility of Stock Index

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