Document Type : Original Article
Authors
1 Assistant Professor, Department of Economics, Payame Noor University (PNU), Tehran, Iran
2 Department of Economics, Payame Noor University (PNU), Tehran, Iran
Abstract
The growth of interest rates can enhance corporate profitability, encourage operational efficiency and margin improvement, and lead to increased stock prices and returns. Additionally, rising interest rates can aid in portfolio rebalancing and elevate stock demand. Thus, the aim of this study is to examine the effect of interest rates and the overall index of the Tehran Stock Exchange within the period from 2010 to 2024, using a quantile regression approach based on wavelet transformation. The empirical results show that interest rate uncertainty has a significant and positive impact on the overall index of the Tehran Stock Exchange across all quantiles. This effect is stronger in the initial quantiles but diminishes over time. A comparison of Daubechies and Haar wavelets reveals that the mean square error difference between these two wavelets is not statistically significant. Bootstrap analysis indicates that the mean square error difference between these two wavelets and the p-value signify no significant difference. Ultimately, it is suggested that long-term investors should focus more on corporate performance rather than interest rate fluctuations.
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