To Examine the Relationship between The Foreign Exchange Rate Movements and The Tehran Stock Exchange (TSE) Capital Gain

MA in Economics, Expert in Securities and Exchange OrganizationTo be acquainted with the relation between deferent markets which are presently considered as the investment opportunities of the national economy provides the policymakers of the stock exchange with material information for making decisions to maintain liquidity and consistency of these markets. Concerning the liquidity level of each asset in national economy, one may regard the stocks, foreign exchange and gold markets in a same order and examine the sensitivity of such markets to each other's return movements. This has been examined and also upon two deferent regressive models (Simple Regressive and Vector Autoregressive Models), and by using seasonal data, the foreign exchange rate behavior (Dollar) in official and non-official markets and also the gold coin price against the percentage of TSE index movements have been examined. According to the results of this estimation, although the static relation between the foreign exchange and stock markets is positive, the VAR model shows that the capital gain in stock market has a negative and significant relation with foreign exchange rate movements in non-official market during last season. This stipulates that having a fixed liquidity growth, the positive changes in foreign exchange rate, in short term, and may absorb the stock market liquidity because the growth in foreign exchange rate may result in capital gain decrease in the stock market.