Causality And Dynamic Relationships Between Exchange Rate And Stock Market Indices In Brics Countries PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Causality And Dynamic Relationships Between Exchange Rate And Stock Market Indices In Brics Countries PDF full book. Access full book title Causality And Dynamic Relationships Between Exchange Rate And Stock Market Indices In Brics Countries.
| Author | : Mourad Mroua |
| Publisher | : |
| Total Pages | : 18 |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
Download Causality and Dynamic Relationships Between Exchange Rate and Stock Market Indices in BRICS Countries Book in PDF, ePub and Kindle
This paper examines the causality and the dynamic links between exchange rates and stock market indices in Brazil, Russia, India, China, and South-Africa (BRICS). Daily closing prices from January 2008 to February 2018 are used for the analysis. By applying the dynamic panel Generalized Method of Moments (GMM) model and the ARDL method, results show that exchange rate changes have a significant effect on past and current volatility of the BRICS stock indices. Besides, ARDL estimations reveal that exchange rate movements have a significant effect on short- and long-term stocks market indices of all BRICS countries. Our findings have implications for international investors who manage risks in their portfolios as well as for policymakers who are responsible for financial and macroeconomic stability.
| 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 | : 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 | : Raman Singh |
| Publisher | : |
| Total Pages | : 17 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download A Study of Causality and Co- Integration Effect Among the BRICS Countries Stock Exchanges - A Relationship Study Book in PDF, ePub and Kindle
Development of financial system of one of the important determinants of global integration. Indian capital markets integration and co-movement with other International markets has grown rapidly. This paper deals with Stock market returns by five emerging international countries in the world which are popularly called BRICS countries i.e. Brazil, Russia, India, China, and South Africa. The authors tries to find out the linkages and relationship between the returns of these BRICS Stock Exchanges and to examine the effect of changes in the stock index of one country affects the stock index of other country or not. The monthly Index returns of all the five nations are taken from 2002 to 2013. We will try to test the long term relationship using Johansen Co-integration test to show long run association between the Stock Exchange Index returns. The analysis also provides the evidences of cause and effect relationship between the Nifty Index and BRICS Stock Exchanges Index. For that we apply Augmented Dickey fuller-test and Granger Causality test. The findings have important implications for investment and speculative decisions.
| Author | : Van-Hop Nguyen |
| Publisher | : |
| Total Pages | : 12 |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
Download Dynamics Between Exchange Rates and Stock Prices Book in PDF, ePub and Kindle
This study examines the long- and short-run dynamics between exchange rates and stock prices by using cointegration methodology and multivariate Granger causality tests. We apply the analysis to six countries, including: Japan, United Kingdom, Hong Kong, China, India and Brazil over the period December 2007 to May 2013. The evidence suggests that the global financial crisis 2007-2009 is an important determinant of the link between the domestic stock and foreign exchange markets. The exchange rate is negatively related to the domestic stock market for emerging countries but positively for developed countries for entire sample and during the crisis. However, this relationship became positive for all countries after the crisis, except United Kingdom. The finding also indicates that the exchange rate movements contain some significant information to forecast the stock returns of these 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 | : 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 | : 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 | : Mohammad Irshad VK |
| Publisher | : |
| Total Pages | : 12 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
Download Stock Market Integration Among BRICS Nations - An Empirical Analysis Book in PDF, ePub and Kindle
A study on integration among stock markets from different countries has an enormous importance in a globalized economic world. Being an awful economic force BRICS group of nations can change the economic climate of the world if they are highly financially integrated. The primary objective of this paper is to investigate the integration among BRICS nations during the past 10 years (2005 to 2015) by considering daily price histories of IBrX 50, RTSI, Nifty Index, Shanghai Composite Index, and FTSI - Africa Index for Brazil, Russia, India, China and South Africa respectively. It has been applied Johansen Co-integration Test (1988) and Pairwise Granger Causality test to remark interdependencies and dynamic linkages among selected markets. Surprisingly, Even though it is a Hulking economic force in the world, It has no long run relationship between them and some unidirectional cause and effect relationship only existed. Finally, this paper alleges better candidacy of the stock exchanges in multi-nationally diversified portfolios.
| Author | : Esin Cakan |
| Publisher | : |
| Total Pages | : 10 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download On the Relationship Between Exchange Rates and Stock Prices Book in PDF, ePub and Kindle
This study examines dynamic linkages between the exchange rates and stock prices for twelve emerging market countries for the period from May 1994 to April 2010 by using linear and non-linear Granger causality tests. Our empirical results show that stock prices and exchange rates have linear and non-linear bi-directional causality in most cases. The exceptional countries are Brazil, Poland and Taiwan that there is no evidence for a nonlinear Granger causality from stock prices to exchange rates. The results support both the portfolio balance and the goods market theories for eight out of twelve countries.
