Dynamic Relationship Between Stock Prices And Exchange Rates PDF Download
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| Author | : Fauziah Ifa |
| Publisher | : LAP Lambert Academic Publishing |
| Total Pages | : 120 |
| Release | : 2016-01-04 |
| Genre | : |
| ISBN | : 9783659819865 |
Download Dynamic Relationship Between Stock Prices and Exchange Rates in Asia Book in PDF, ePub and Kindle
There are two different and conflicting models to determine the relationship between exchange rate and stock prices. The first model, "Flow-Oriented" states that currency or exchange rate changes affect the competitiveness of a company, which in turn affect the company's revenues or cost of funds and the subsequent impact on the company's stock price. Meanwhile, according to the two models namely "Stock-oriented" which emphasizes the role of capital account transactions stated that the rise in stock returns (rising stock market) would attract capital flows which in turn will increase the domestic money permintaanmata and cause exchange rate to appreciate. Therefore, this study was conducted to determine if there cointegration and causality relationship between exchange rates and stock prices in Asia. The objects of this study are Indonesia, Singapore, Taiwan, Malaysia, China, South Korea, Japan, Hong Kong, Thailand, and India with the study period January 2009 to December 2013. Data used are secondary data in the form of monthly data from the foreign exchange market (exchange rate) and capital markets (stock index).
| Author | : Justin Nelson Michael |
| Publisher | : |
| Total Pages | : 9 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download The Dynamic Relationship Between Stock Prices and Exchange Rate - An Eygptian Experience Book in PDF, ePub and Kindle
The economy of a nation is driven by a robust securities market. The growth of a nation is indubitably based on the strength and stability of its secondary market systems and intermediaries. The mobilization of funds and its flow into diverse sectors of the economy in a regulated manner signifies dynamism and progress. The Egyptian economy has been in a trajectory of progress right since the establishment of its secondary market and its stock index EGX 30 in 2009. The Egyptian pound (EGP) has been focus of Egyptian monetary policy due to undue stress on the pound during the recent years. The Central Bank of Egypt (CBE) has been in the forefront of all monetary measures to stabilise the pound. The growth and development of a nation is charted by the changing economic and business environment. Any change in the foreign exchange market is sure to leave its footprint in the secondary market. All researchers in the field of foreign exchange management have been intrigued by the relationship between secondary market and forex market. Many an investigation has been undertaken to find if there is a significant relation between stock prices and exchange rates. The recent transition in Egyptian economy to a floating rate mechanism and efforts to stabilize the pound have attracted researchers to find out the effects of such a monetary change. The relationship between securities market and forex market has to be given a serious thought before any decision pertaining to forex market policy and regulation. This study analyses the dynamic relationship between stock market and exchange rate in Egypt using Engle-Granger cointegration methodology and Granger causality test.
| Author | : Priyanka Pahwa |
| Publisher | : |
| Total Pages | : 26 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download Dynamic Relationship Between Stock Prices and Exchange Rates (evidence from India) Book in PDF, ePub and Kindle
| Author | : Ryuta Sakemoto |
| Publisher | : |
| Total Pages | : 11 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
Download The Nonlinear Dynamic Relationship Between Stock Prices and Exchange Rates in Asian Countries Book in PDF, ePub and Kindle
This study explores dynamic relationships between stock prices and exchange rates in Asian countries. These relationships are complex and include both linear and nonlinear relationships. We employ a nonparametric causality test to explore them. The nonparametric causality test is more robust to a nonlinear relationship. The empirical results reveal that most countries have bi-directional causality relationships between stock prices and exchange rates. Some relationships are not captured by the linear model. These results support the theoretical model which shows dynamic interactions between stock and exchange rate markets. This study investigates the main driver to generate the nonlinear causality relationships. The empirical results present that the main source for the nonlinearity is the volatility effects. In particular, they were substantial during the Asian and global financial crises. After controlling for the volatility effects, only one country shows the bi-directional causality relationship. In contrast to the previous studies, this study shows that the volatility effects are important between different asset markets. These findings suggest that controlling for exchange rate markets may be helpful to mitigate turmoil during a financial crisis.
| Author | : Khadija Marseet |
| Publisher | : |
| Total Pages | : |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Estimation and Forecasting of the Dynamic Relationship Between Stock Prices and Exchange Rates Book in PDF, ePub and Kindle
| Author | : Jung Wan Lee |
| Publisher | : |
| Total Pages | : 10 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
Download Dynamic Relationship Between Stock Prices and Exchange Rates Book in PDF, ePub and Kindle
This paper empirically examines the short-run and long-run causal relationship between stock market prices and exchange rates in Chinese stock markets using monthly data from January 2002 to December 2012 retrieved from the National Bureau of Statistics of the People's Republic of China. Unit root, cointegration tests, vector error correction estimates, block exogeneity Wald tests, impulse responses, variance decomposition techniques and structural break tests are employed. This study found 1) long-run causality from exchange rates to stock prices in Chinese stock markets and 2) short-run causality from Japanese yen and Korean won exchange rates to stock prices in the Shanghai Stock Exchange strongly prevails while in the Shenzhen Stock Exchange weakly prevails . The impact of the global financial crisis from 2007 to 2009 on Chinese stock markets was insignificant.
| Author | : |
| Publisher | : |
| Total Pages | : |
| Release | : 2004 |
| Genre | : |
| ISBN | : |
Download The Relationships Among Monetry Policy, Stock Prices and the Exchange Rate Book in PDF, ePub and Kindle
In this dissertation, we are interested in the relationships among monetary policy, stock prices and exchange rates. This thesis argues that on the one hand, monetary policy affects both stock prices and the exchange rate, on the other hand, stock prices and exchange rates affect monetary policy as well as each other. Therefore, the relationships between these variables are reciprocal, and it is highly probable that a shock to one variable will affect the other variables. This paper takes into account the endogenous relationship among the above mentioned variables, the conditional variances and conditional cross covariances among these variables . We examine the simultaneous relationship between monetary policy and stock prices, and between monetary policy and the exchange rate by employing the Identification Through Heteroscedasticity (ITH) method. We also examine the dynamic relationships among monetary policy and the financial variables(stock prices and the exchange rate) and the dynamic relationships among the volatilities of shocks to monetary policy and financial variables using the Vector Error Correction Model (VECM), Multivariate VAR (p), Multivariate-VARX (p) and Multivariate VAR (p)-GARCH (q, p) models. Our findings indicate that monetary policy reacts to the fluctuations in the stock market and the exchange rate and that monetary policy has significant effects on the stock and exchange rate. We also find that there are strong spillover effects of shocks and volatilities across interest rates, stock prices and the exchange rate.
| Author | : Bhaskar Bagchi |
| Publisher | : Emerald Group Publishing |
| Total Pages | : 225 |
| Release | : 2016-11-01 |
| Genre | : Business & Economics |
| ISBN | : 1786355531 |
Download Dynamic Linkages and Volatility Spillover Book in PDF, ePub and Kindle
This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets of emerging economies. Unfortunately very little research has been conducted to analyze the volatility spillovers and dynamic relationship between crude oil prices, exchange rates and stock markets of India.
| Author | : Gehan Saleh |
| Publisher | : |
| Total Pages | : 238 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download The Dynamic Relation Between Stock Prices and Exchange Rates in Egypt, Saudi Arabia and UAE Book in PDF, ePub and Kindle
| Author | : Yakov Amihud |
| Publisher | : Beard Books |
| Total Pages | : 268 |
| Release | : 2003 |
| Genre | : Business & Economics |
| ISBN | : 9781587981593 |
Download Exchange Rates and Corporate Performance Book in PDF, ePub and Kindle
This is a reprint of a previously published book. It consists of a series of papers by experts in the field on how the exchange rate volatility of the 1980s affected the financial policies of international firms.
