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Iranian stock market, as a reflection of the real sector of the economy, has experienced many uncertainties and challenges in recent years.One macroeconomic factor that vaguely affects stock market is exchange rate, which has a significant volatile pattern with several overshoots during recent years.As a result, analyzing the impact of the exchange rate on stock price has become important as always.Bearing the restrictions on Iran's trade and spectacular role of exchange rate in Iranian economy along with monetary expansion and fiscal dominance in mind, stock market reacts to exchange rate fluctuations in asymmetric ways.In order to prevent the impact of outliers and parametrical failures, this study seeks to examine the impact of exchange rate fluctuations on the stock price using quantile regression.Based on daily data between 2020/10/12 till 2024/12/20 and using first difference of both stock price logarithm and exchange rate logarithm, it became vivid that the impact of the exchange rate on the stock price is different in estimated quantiles and it is U shaped.In other words, when stock market is on a stable track, without sharp falls or rises in prices, exchange rate could not statistically affect stock price.While, when facing bearish or bullish situation in market, exchange rate has a significant impact on the stock price and may lead overall status of the market.Statistically speaking, around median, exchange rate has a poor influence, but in both tails strong impact is visible which is positive which complies with evidence in the sample period.
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Soufiani et al. (2024) studied this question.