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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 | : 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 | : Fabiola Ravazzolo |
| Publisher | : |
| Total Pages | : 40 |
| Release | : 2004 |
| Genre | : |
| ISBN | : |
Download Stock Prices and Exchange Rate Dynamics Book in PDF, ePub and Kindle
We study the long-run and short-run dynamics between stock prices and exchange rates and the channels through which exogenous shocks impact on these markets. We apply the analysis to a group of Pacific Basin countries and examine whether foreign exchange controls and the Asian financial crisis of mid 1997 affected the links between the markets. The evidence shows that the US stock market acts as a conduit through which the foreign exchange market and the local stock markets are linked. It also provides support for a close relationship between financial and economic integration. Finally, the evidence shows that the financial crisis had a temporary effect on the long-run comovement between the various markets.
| 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 | : Francisco J. Climent |
| Publisher | : |
| Total Pages | : 35 |
| Release | : 2004 |
| Genre | : |
| ISBN | : |
Download Linear and Non-Linear Dynamics between Exchange Rates and Stock Markets Returns Book in PDF, ePub and Kindle
The recent crises of the nineties have made it clear that the links between exchange rates and stock market prices are relevant factors in the transmission of the crises. Using daily exchange rates and stock index prices of the last decade (1990-1999) the interactions between the stock market and exchange rates returns of twenty-three countries of two different geographical areas (Asia and Europe) are analysed. Our results suggest that: (i) short term relationships seem to be more relevant than long term ones, (ii) it is more relevant the presence of linear and nonlinear causality in the Asian countries, and (iii) the periods of crisis affect asymmetrically the relationship between exchange rates and stock market prices.
| Author | : Parham Parsva |
| Publisher | : LAP Lambert Academic Publishing |
| Total Pages | : 176 |
| Release | : 2012 |
| Genre | : |
| ISBN | : 9783659223105 |
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In spite of fast economic growth in the Middle East, less attention has been paid by researchers and investigators to the region compared with other emerging markets in the Europe, Asia-Pacific region, etc. This study investigates the relationship between stock prices and exchange rates in ten Middle Eastern countries, namely, Bahrain, Egypt, Iran, Jordan, Kuwait, Lebanon, Oman, Qatar, Saudi Arabia, and the United Arab Emirates (UAE) before and after the 2007 global financial crisis. The main findings from this research provide valuable insights into the characteristics and patterns of Middle Eastern stock markets and foreign exchange markets for policymakers, particularly in the area of exchange rate management.
| 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 | : Arif Billah Dar |
| Publisher | : |
| Total Pages | : 15 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download The Relationship Between Stock Price Index and Exchange Rate in Asian Markets Book in PDF, ePub and Kindle
We use data set of five Asian countries to estimate the frequency and quantile based relationship between stock price index and exchange rate. We apply simple correlation and wavelet based correlation and in accordance with the portfolio balance effect, we find that the two variables are negatively related at all frequencies. Moreover it is found that correlation grows stronger with higher time scales. We further apply quantile regression to observe the various relationships between stock and foreign exchange markets at different quantiles of exchange rates. The results show an interesting pattern in the relation of these two markets in Asia, which indicates that the negative relation is asymmetric across different quantiles of exchange rates and more obvious when exchange rates are extremely low or both high and low.
| 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.
| Author | : Wan Mansor Mahmood |
| Publisher | : |
| Total Pages | : 21 |
| Release | : 2007 |
| Genre | : |
| ISBN | : |
Download Stock Returns and Macroeconomic Influences Book in PDF, ePub and Kindle
We examine the dynamics relationship between stock prices and economic variables in six Asian-Pacific selected countries of Malaysia, Korea, Thailand, Hong Kong, Japan, and Australia. The monthly data on stock price indices, foreign exchange rates, consumer price index and industrial production index that spans from January 1993 to December 2002 are used. In particular, we focus our analysis on the long run equilibrium and short run multivariate causality between these variables. The results indicate the existing of a long run equilibrium relationship between and among variables in only four countries, i.e., Japan, Korea, Hong Kong and Australia. As for short run relationship, all countries except for Hong Kong and Thailand show some interactions. The Hong Kong shows relationship only between exchange rate and stock price while the Thailand reports significant interaction only between output and stock prices. An accurate estimation of the relationship between the economic variables and stock market behaviour enables the investors - both local and foreign to make effective investment decisions. At the same time, for the policy makers, a precise prediction of this type of relationship may help government agencies in designing policies to encourage more capital inflows into the respective countries' capital market.
