Investigating the Effect of Volatility in Exchange Rates on the Levels of Skewness and Kurtosis of Stock Portfolio Returns of Listed Companies in Tehran Stock Exchange

This study empirically has examined the effect of volatility in exchange rates on the levels of skewness and kurtosis of stock portfolio returns. The statistical population of research consists all of companies listed in Tehran stock exchange market during 2010 to 2017 that a number of 114 companies were considered as statistical sample of research. The research method is Correlation type and the method of gathering information in literature is based on library research and in the part of hypothesis testing is based on documentation of financial reports. Generally the statistical method had been used in this research is based on combinational data regression method. Results showed that exchange rate volatilities have negative and significant effect on the skewness and kurtosis of stock returns. Also the effect of these volatilities on the systematic skewness and kurtosis of were investigated and the results showed that the exchange rate volatilities have significant and direct effect on the systematic kurtosis of returns, but its effect on the systematic skewness of returns was not confirmed.