The effect of exchange rate shock on the value of selected industries in Tehran stock exchange : TVP-FAVAR approach

Considering the fact that the effects of currency shocks on the capital market can affect the behavioral patterns of different sectors of the economy; Therefore, proper understanding of the mechanism of exchange rate impact on different sectors of the economy, necessarily requires knowledge of the effects of this variable on important financial markets and how institutional factors change in these markets; For this purpose, this study aims to investigate the effects of exchange rate shock on the value of companies operating in different industries of the Tehran Stock Exchange by applying the pattern of variable parameters over time and using seasonal data during the period (2011-2018). The results of this study indicate that the value of companies operating in different industries of the Tehran Stock Exchange is affected by the exchange rate shock in proportion to the type of production and services provided in each of these companies; In addition, the response in each of the studied industries is different over time, which highlights the need to use the parameter-variable approach. Among the selected industries, the value of companies operating in the food and beverage industry has reacted positively to the currency shock in the entire period under review and in the automotive industry; Also, the value of companies operating in other industries has been affected by this currency shock over time; In the cement, lime and gypsum industry, exchange rate shock in (2011-2013) and (2018) has had positive effects on the value of companies operating in this industry and in (2014-2017) the value of companies Active in this industry has reacted negatively to exchange rate shocks.For example, the exchange rate shock in the period of 2011-2013 and 2018 has a positive effect on the value of companies active in the cement, lime and gypsum industry, while the response of these companies to exchange rate shock in the years 2014-2017, is negative.