Download or read book Exploring the Interaction Between Stock Price and Exchange Rate written by Joko Purnomo Raharjo and published by LAP Lambert Academic Publishing. This book was released on 2012 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study of the relationship between the exchange rate and the stock index has been a popular topic among the scholar around the world. Situations and variety in the data affected the findings of the studies. Daily data, monthly data and exchange rate type data yield different result. This thesis examined the sample period using the Johansen Cointegrative Method to determine whether there is a cointegrative relationship among the variables. A short run analysis was conducted by employing the VECM and VAR model. The cointegration analysis, exhibits evidence for the existence of a long run relationship among the JCI, the exchange rate of the Rupiah per Yen and also the N225. The findings are very important for policy makers. Anything that affects the stock market, especially for Indonesia, Japan and US, could have an effect on the Indonesia future due to the complexity and interest of the country. However, by understanding important facts that have been revealed from the study, policy makers could anticipate and maintain a good economic atmosphere.

Download or read book Exploring the Relationship Between Stock Prices and Exchange Rates in North America and China written by Yifeng Zhang and published by . This book was released on 2016 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This report explores the relationship between stock prices and exchange rates in North America and China during the post-crisis period. It is found that there is a stable long-run relationship between stock prices and exchange rates in Canada and China, but not for the US. Another finding is that Canadian exchange rates and stock prices exhibit bi-directional Granger causality, which supports both "flow-oriented" model and "stock-oriented" model. Conversely, the two financial variables in China interact in a manner consistent with the "flow-oriented" model. On the other hand, no Granger causality is found between these two financial variables for the US in either direction. Finally, this report provides a few implications for monetary policy makers and global investors.

Download or read book Exploring the Relationship Between Exchange Rate and Stock Price written by Chethan Choudhary and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Studying the Relationship Between Stock Prices and Exchange Rates in a Sample of Arab Countries written by Linda Ismaiel and published by . This book was released on 2014 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study aims to explore the nature of the relationship between stock prices and exchange rates in a sample of Arab countries that are facing political crises, those being: Syria, Tunisia, Egypt, and Bahrain. It applies monthly time series data of the nominal and real effective exchange rates and stock prices indices for the sample countries from January 2003 to July 2013. The study utilises the Johansen cointegration test, the Vector Error Correction Model (VECM), and the Granger causality in order to test the long run and short run dynamics between the two variables of interest. The results reveal that there is no short run or long run relationship between stock prices and exchange rates in Tunisia, this holds regardless of whether the nominal or the real effective exchange rate is used; however, for the rest of the countries, the results differ according to the period of study and the measure of exchange rate that has been used. Overall, the post crisis period produced different results than the pre crisis one, and the real effective exchange rate produced different results than the nominal one. Most of the results, except those related to Tunisia, have important implications for investors and policy makers.

Download or read book The Nonlinear Dynamic Relationship Between Stock Prices and Exchange Rates in Asian Countries written by Ryuta Sakemoto and published by . This book was released on 2017 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Stock Market and Foreign Exchange Market written by Ian Charles Robert Gracias and published by . This book was released on 2017-12-13 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock market investors trade securities that fluctuate based on a variety of factors. But the exchange market is a currency mechanism, and it is not subject to the same regulations and factors that make stock prices go up or down. Ian Charles Robert Gracias, a senior technical analyst and commodity and foreign exchange market trader, explores how stock markets and foreign exchange markets work in this book. He highlights topics such as: -economic indicators that affect the performance and operation of exchange rates; -direct and indirect ways that stock markets and exchange rates affect economic growth rates; and -ways individual investors can bolster returns by understanding how stock markets and exchange rates work Gracias pays particular attention to the stock markets and exchange rate markets in the United Kingdom and in the United States of America, examining the relationship between the FTSE 100 index and the NASDAQ 100 index as well as correlative patterns.

Download or read book The Relationship Between Stock Prices and Exchange Rates written by Parham Parsva and published by LAP Lambert Academic Publishing. This book was released on 2012 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Dynamic Relationship Between Stock Prices and Exchange Rates in Asia written by Fauziah Ifa and published by LAP Lambert Academic Publishing. This book was released on 2016-01-04 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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).

Download or read book The Interaction Between Exchange Rates and Stock Prices written by Wei Mao and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Prices and Exchange Rates in the EU and the United States written by Daniel Stavarek and published by . This book was released on 2009 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the nature of the causal relationship between stock prices and effective exchange rates in four old EU-member countries (Austria, France, Germany, and the UK), four new EU-member countries (Czech Republic, Hungary, Poland, and Slovakia) and in the USA. Both the long-run and short-run causalities between these variables are explored using monthly data. The paper also tries to answer the question whether the linkages between analyzed economic variables are of the similar intensity and direction in the old and new part of the EU and how has been the relationship changing over the analyzed period. The results show much stronger causality in countries with developed capital and foreign exchange markets (old EU-member countries and the USA) than in the new-comes. Evidence also suggests more powerful long-run as well as short-run causal relations in the period 1993-2003 than during 1970-1992. Causalities seem to be predominantly unidirectional with a direction running from stock prices to exchange rates. Finally, we also detected much stronger relations applying real effective exchange rate than nominal effective exchange rate.

Download or read book Relationship Between Exchange Rate and Stock Price in India written by Gurmeet Singh and published by . This book was released on 2016 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study investigates the relationships between exchange rate and stock price over the period January 2007 to March 2014. Index National Stock Exchange, namely, NIFTY is used as indicator of stock price. Johansen's co-integration and Granger causality test have been applied to explore the long-run and short-run equilibrium relationship between exchange rate and stock price. The analysis reveals that exchange rate and stock price are co-integrated and, hence, a long-run equilibrium relationship exists between them. It is observed that the exchange rate and NIFTY as indicators of stock price are positively related to each other. The exchange rate is found to be significant in determining stock price and stock price significantly affects exchange rate. In the Granger-causality sense, exchange rate Granger-causes stock price and stock price Granger-causes exchange rate, or there is bi-directional causality between exchange rate and stock price in both long run and short run.

Download or read book An Empirical Relationship Between Exchange Rates Interest Rates and Stock Returns written by Sudharshan Reddy Paramati and published by . This book was released on 2013 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper study aims to investigate the relationship between call money rates, exchange rates and stock returns from the perspective of India. We use monthly data for the time span of April 1992 to March 2011. This provides sufficient data set for the empirical analysis. Result from Granger causality test evidences bidirectional relationship between call money rates and exchange rates. It is also identified that call money rates and exchange rates Granger cause stock returns and did not find reverse causality from stock returns to call money and exchange rates. To explore, lead-lag interaction among the variables studied we employed VAR models. Results suggest that there is substantial lead-lag relationship from call money rates to exchange rates and stock returns. Similar relationship also found from exchange rates to call money rates and stock returns. However, there is no evidence of lead-lag causation from stock returns to call money and exchange rates. Findings of this study are useful for the investors and policy makers. In investors' standpoint, they can utilize this historical information of call money rates and exchange rates for predicting the movements of stock returns. Similarly, policy makers can stabilize the stock market fluctuations by adopting appropriate policies towards interest rates and exchange rates for time to time.

Download or read book The Short Term Behaviour of Exchange Rates written by Georgios Katechos and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The understanding of the mechanism determining exchange rates is still an unsolved puzzle in the field of international economics. In the search for the underlying causes of the failure of existing approaches to explain a large proportion of short term exchange rate movements, our review of methodology literature revealed that a significant number of scholars consider the methodological approach employed by mainstream economics as a main cause for the disappointing result of established approaches. In particular, the excessive use of formal modelling and quantitative data as well as the use of oversimplified assumptions has been criticized. In response to this critique we chose to use a more pluralistic approach in our research methodology by employing both qualitative as well as quantitative data analysis. For the analysis of qualitative data, we employed an approach based on grounded theory principles, where we analyze Reuters Foreign exchange market reports. The findings of the qualitative data analysis show that, based on market practitioners commentary, there are two predominant variables affecting exchange rates. First, expectations on interest rate changes appears to be a major variable affecting currency value. An upward revision of interest rate expectations usually suggests an increase in the value of the currency concerned and vice versa. Second major variable affecting exchange rates appear to be global equity returns. In contrast to interest rates, which is a country specific variable, global equity returns is a global variable affecting currencies based on their relative interest rate levels and safe haven attributes. In particular, it is suggested that higher yielding currencies' value is positive related to global equity returns, while low/lower yielding and safe haven currencies' value is negatively related to global equity returns. The empirical test we performed to explore the relationship between exchange rates and global equity returns suggest that they are indeed linked. The sign of the relationship depends on the characteristics of the currencies examined. When equity prices increase, currencies with higher interest rates tend to appreciate, whereas currencies with lower interest rates tend to depreciate and vice versa. In addition, the strength of the relationship depends to some extent on relative interest differentials. A stronger relationship is observed when interest differentials are relatively large, while the explanatory power of the model is reduced when interest rate differentials are relatively narrow. Our study presents evidence on the role of stock markets in exchange rate determination which is considerable different to the focus of current theory. Whereas current research focuses on stock market's relative stock market returns in the respective countries, the findings of this thesis suggests that global stock market returns affect exchange rate movements based on differentiated characteristics of different currencies. Another important contribution of this thesis is that we illustrate the complexity of interactions and links among different variables. For example, whereas interest changes were seen as positively correlated to the home currency value, the relationship was seen as being reversed because of the possible effect of higher interest rates on the subprime crisis. Another example of complex links is the relationship between exchange rates and equity markets. For example, whereas the USD effective exchange rate was not related equity returns during the initial stages of the subprime crises, the strength of the relationship increased significantly when the crisis escalated and the demand for USD increased due to safe haven flows.

Download or read book Causal Relationship Between Stock Prices and Exchange Rates written by Paul Alagidede and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Dynamic Relationship Between Stock Prices and Exchange Rate An Eygptian Experience written by Justin Nelson Michael and published by . This book was released on 2018 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Estimation and Forecasting of the Dynamic Relationship Between Stock Prices and Exchange Rates written by Khadija Marseet and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Effect of Exchange Rate Fluctuations on Industrial Stock Prices written by Morakot Nuamgerm and published by . This book was released on 1991 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this research is to analyze the effect of exchange rate movements on industry stock prices. This paper develops multiple regression models that estimate the effect of the U.S. weighted exchange rate and other control variables on the returns from 47 industries. The empirical results indicate that the relationship between the stock prices and the exchange rate movements is statistically significant in respect of only a few industries.