University of Tabriz
Islamic World Science Citation Center (ISC)
Masoudi Alavi, S., Nadiri, M., Fotouhi Rashidi, M. (2026). Short-Term and Long-Term Response of Stock Returns of Export and Import Industries to Monetary Policy in Tehran Stock Exchange. , 13(1), 177-200. doi: 10.22034/ecoj.2025.68135.3440
Seyed Hassan Masoudi Alavi; Mohammad Nadiri; Mohammad Mahdi Fotouhi Rashidi. "Short-Term and Long-Term Response of Stock Returns of Export and Import Industries to Monetary Policy in Tehran Stock Exchange". , 13, 1, 2026, 177-200. doi: 10.22034/ecoj.2025.68135.3440
Masoudi Alavi, S., Nadiri, M., Fotouhi Rashidi, M. (2026). 'Short-Term and Long-Term Response of Stock Returns of Export and Import Industries to Monetary Policy in Tehran Stock Exchange', , 13(1), pp. 177-200. doi: 10.22034/ecoj.2025.68135.3440
Masoudi Alavi, S., Nadiri, M., Fotouhi Rashidi, M. Short-Term and Long-Term Response of Stock Returns of Export and Import Industries to Monetary Policy in Tehran Stock Exchange. , 2026; 13(1): 177-200. doi: 10.22034/ecoj.2025.68135.3440

Short-Term and Long-Term Response of Stock Returns of Export and Import Industries to Monetary Policy in Tehran Stock Exchange

نظریه های کاربردی اقتصاد
Article 7, Volume 13, Issue 1 - Serial Number 48, March 2026, Pages 177-200    PDF (805.05 K)
Document Type: Research Paper
DOI: 10.22034/ecoj.2025.68135.3440
Authors
Seyed Hassan Masoudi Alavi1; Mohammad Nadiri* 2; Mohammad Mahdi Fotouhi Rashidi3
1PhD in Finance-Engineering, Department of Financial Management and Accounting, Faculty of Management and Accounting, Farabi Colleges, University of Tehran, Iran
2Associate Professor, Department of Financial Management and Accounting, Faculty of Management and Accounting, Farabi College, University of Tehran, Iran
3PhD in Finance, Department of Financial Management and Accounting, Faculty of Management and Accounting, Farabi College, University of Tehran,, Iran
Abstract
Exchange rate fluctuations and monetary policy changes affect stock market returns through channels such as the cost of capital, credit, and exchange rates. Understanding the distinction between these effects, especially during economic sanctions, is of great importance to policymakers and investors. Accordingly, the present study examines the effect of monetary policy on the stock returns of 9 export industries and eight import industries, as well as the total of these industries on the Tehran Stock Exchange, during the monthly period from April 2010 to March 2023. For this purpose, monetary policy was measured using the monetary conditions index derived from a principal component analysis (PCA), and liquidity volume, oil price, and interest rate were included as control variables. The estimation of short-run and long-run relationships was carried out using the pooled group mean (PMG) method. The results showed that in the long run, monetary policy has a positive and significant effect on the returns of export industries and on the total of industries. In contrast, no effect was observed for import industries. No direct effect was reported in the short run. However, the error-correction coefficients indicated that export, import, and total industries return to long-run equilibrium at rates of 84, 74, and 80 percent, respectively. These findings highlight the dominant role of export industries in the Iranian capital market. Therefore, it is suggested that investors should focus more on export industries under expansionary monetary policy conditions, and that policymakers should reduce the potential adverse effects on import industries and enhance the stability of economic actors’ expectations by managing the exchange rate and interest rates.
Keywords
Monetary policy; stock market returns; export industries; import industries
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