Convergence of Returns on Exchange Rate Markets in Iran

Due to the nature of the assets in Iran, markets such as exchange rate markets are options facing investors as asset portfolio, with different returns. Usually, investors are looking for higher returns. By accumulation of investors on markets with higher returns, it is expected that the long-run returns of such markets be decreased, which leads to the induction of difference between these markets’ returns with other markets. This can be named as returns convergence of different asset markets. This study aims to also examine the returns convergence of exchange rate markets in Iran over the period 1999:05- 2016:02, using Nahar and Inder method. This method examines the returns convergence of each of these markets to the average returns of them. Based on the results, the returns convergence of Pounds, Yen, Australian Dollar and the Crone has converged to the average returns. But the dollar America, Euro, Real, scrambled, Canadian dollar and Swiss franc`s returns has not converged to the average returns. All coefficients are statistically significant at a confidence level of one percent.