An Investigation of the Effect of Exchange Rate on the Pharmaceutical Industry Stock Return in Tehran Stock Exchange: An Application of the Markov Switching Approach
Author(s):
Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:
Nowadays, the pharmaceutical industry in terms of its relationship with public health and also the special economic value is considered one of the most important industries in the capital market. Therefore, improvement of the health sector has always been the main objective of the authorities in various countries. Hence, this paper investigates the impact of exchange rate on the pharmaceutical industry stock return in Tehran Stock Exchange by using monthly data from 2005:4 to 2016:2 and applying Markov switching non-linear approach. For this purpose, among the various modes of Markov switching model, MSIH (3) -AR (2) has been selected. The results show that in an optimal model consists of three regimes, and the exchange rate has different impact on the return of the pharmaceutical industry in different regimes. As a result; coefficients exchange rate in the first regime has negative effect, but in regimes 2 and 3 positive effect on the pharmaceutical industry stock return in the Tehran Stock Exchange. Also, the inflation rate of the health sector in the regimes 1 and 2 have a positive effect, but in the regime 3 has a negative effect on the pharmaceutical industry stock return in Tehran Stock Exchange. In addition, the results show that the sustainability of the pharmaceutical industry return in the regime with the high returns (first regime) was more than that of the regime with the little low return (second regime) and that of the regime with the high low returns (third regime). But the volatility of the pharmaceutical industry return in the third regime was more than that of the first and second regimes.
Keywords:
Language:
Persian
Published:
Asset Management and Financing, Volume:6 Issue: 2, 2018
Pages:
35 to 56
magiran.com/p1871234
دانلود و مطالعه متن این مقاله با یکی از روشهای زیر امکان پذیر است:
اشتراک شخصی
با عضویت و پرداخت آنلاین حق اشتراک یکساله به مبلغ 1,390,000ريال میتوانید 70 عنوان مطلب دانلود کنید!
اشتراک سازمانی
به کتابخانه دانشگاه یا محل کار خود پیشنهاد کنید تا اشتراک سازمانی این پایگاه را برای دسترسی نامحدود همه کاربران به متن مطالب تهیه نمایند!
توجه!
- حق عضویت دریافتی صرف حمایت از نشریات عضو و نگهداری، تکمیل و توسعه مگیران میشود.
- پرداخت حق اشتراک و دانلود مقالات اجازه بازنشر آن در سایر رسانههای چاپی و دیجیتال را به کاربر نمیدهد.
In order to view content subscription is required
Personal subscription
Subscribe magiran.com for 70 € euros via PayPal and download 70 articles during a year.
Organization subscription
Please contact us to subscribe your university or library for unlimited access!