Authors

• Abdolmajid Jalaee ¹
• Amir Habibdoost ²

¹ Associate professor in Economic, Kerman University

² MA in Economic, Kerman University

Abstract

In this paper we examine the relationship between exchange rate movements and stock return (Firm value), wh­­­­­ich is known as Exchange Rate Exposure, using a Time-Scale approach in different sectors of Tehran Stock Exchange (TSE). In this regard, we decompose the exchange rate percent changes and stock return over the period 1998-2008, as well as the period 2004-2008(according to data limitation), by applying MODWT method; moreover, we run wavelet base regression and analyze wavelet variance, covariance and correlation. Results reveals that exchange rate exposure not only differs from one sector to other sector but it also differs through time scales. Hence, this issue should be considered as a multi scales problem.

Keywords

• Exchange rate movement
• Stock Return
• Wavelet
• Multi-scale Analysis