Correlation analysis of the Korean stock market: Revisited to consider the influence of foreign exchange rate

2018 ◽  
Vol 491 ◽  
pp. 852-868 ◽  
Author(s):  
Sang Kyun Jo ◽  
Min Jae Kim ◽  
Kyuseong Lim ◽  
Soo Yong Kim
Keyword(s):  
Exchange Rate ◽  
Correlation Analysis ◽  
Stock Market ◽  
Foreign Exchange ◽  
Foreign Exchange Rate ◽  
Korean Stock Market

Interest Rate, Foreign Exchange Rate, and Stock Market Development in Nigeria

2018 ◽  
Vol 9 (3) ◽  
pp. 247-253 ◽  
Author(s):  
Edward Adedoyin Adebowale ◽  
Akindele Iyiola Akosile
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Foreign Exchange ◽  
The United States ◽  
Ordinary Least Squares ◽  
Foreign Exchange Rate ◽  
Market Development ◽  
National Bureau ◽  
Stock Market Development

This research investigated the effect of interest rate and foreign exchange rate on stock market development in Nigeria. This research was centered on two research problems. First, it was whether interest rate had a significant effect on stock market development in Nigeria. Second, it was whether foreign exchange rate had a significant impact on stock market development in Nigeria. The scope of the research covered the period from 1981 to 2017. Data for this period were chosen because it covered pre and post-liberalization periods of Nigerian financial system. This research made use of ex post facto research design. Secondary data were sourced from Nigerian Stock Exchange reports, Central Bank of Nigeria statistical bulletins, and National Bureau of Statistics publications. Data were collected on Stock Market Capitalization (SMC), Prime Lending Rate (PLR) and Real Exchange Rate (RER) (Nigerian Naira in relation to American Dollars of the United States). Data analysis was carried out with Ordinary Least Squares (OLS) and Cochrane-Orcutt Iterative techniques. The findings reveal that interest rate has a significant negative effect, and foreign exchange rate has a significant positive effect on Nigerian stock market development during the period covered. It is suggested that monetary authorities should strive to formulate policies that will make interest and foreign exchange rates stable, competitive, and at a level that will stimulate the investment of funds in the stock market.

scholarly journals An Analysis on Impact of Exchange Rate on Nifty and S & P Sensex

2019 ◽  
Vol 8 (9S3) ◽  
pp. 65-73
Keyword(s):  
Decision Making ◽  
Exchange Rate ◽  
Stock Market ◽  
Foreign Exchange ◽  
Technical Analysis ◽  
Foreign Exchange Rate ◽  
Exchange Rate Markets ◽  
The Impact

In the last two decades, the developments happened in India have led to an interdependency between the stock market and exchange rate markets. The present study focuses on understanding the impact of the foreign exchange rate and the stock market interdependency. The indices NIFTY and SENSEX define major movements in the stock market hence they gain importance in studying. Also, the technical analysis has been done for the Indices to study the performance of stock. The results obtained from the study will facilitate the decision making of the investors

scholarly journals FDI Inflow, Stock Market Performance and Exchange Rate: Indian Scenario

2017 ◽  
Vol 7 (2) ◽  
pp. 148
Author(s):  
Kunal Kunal ◽  
B V Phani
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Foreign Exchange ◽  
Foreign Currency ◽  
Market Performance ◽  
Foreign Exchange Rate ◽  
Policy Implications ◽  
Sensitivity Index ◽  
Indian Economy ◽  
Stock Market Performance

In this research work, macro level analysis has been conducted to assess impact of foreign direct investment (FDI) capital inflow in Indian economy. This study is focused on causality relationship between FDI inflow, stock market performance and foreign exchange rate. This framework is used for policy implications of relationship between three variables. These macro-economic variables are linked with different policies. Causality tests performed on these variables are further used for policy implications. Impact of change in exchange rate on changes in FDI inflow is the least significant followed by impact of changes in FDI inflow on changes in sensitivity index of stock exchange (SENSEX). The third least significant relationship is observed between changes in FDI inflow on change in exchange rate. These relationships are implied to ‘Impossible Trinity’ framework to assess preference for monetary, fiscal and foreign exchange rate policies. It is observed that improving performance of stock market (SENSEX) should be on priority followed by exchange rate. These finding have implications on fiscal policy, monetary policy and exchange rate. The increase in return of stock market and favourable exchange rate will help in increasing FDI inflow in Indian economy. Stock market performance depends on daily transactions by investors and they are regulated only, not controlled. Supply of foreign currency in India is controlled by the Reserve Bank of India (RBI), who assesses the supply conditions of the market and attempts to manage exchange rate in favour of Indian economy. In other words, the exchange rate can be controlled by having control on supply of foreign currency in domestic market. Hence, there is possibility of having fixed exchange rate and target band of exchange rate.

Modeling the relationships among gold price, oil price, foreign exchange, and the stock market index in Thailand

2021 ◽  
Vol 18 (2) ◽  
pp. 261-272
Author(s):  
Supachok Thakolsri
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Foreign Exchange ◽  
Gold Price ◽  
Foreign Exchange Rate ◽  
Oil Price ◽  
Asset Markets ◽  
Stock Market Index ◽  
Market Index ◽  
Long Run

This study examines the relationship among the price variables in the Thailand stock market, the foreign exchange market, the international gold market, and the crude oil market. Specifically, the study investigates whether (1) there exists a long-run equilibrium among oil price, gold price, foreign exchange, and the stock market index in Thailand, and (2) there is any dynamic effect of each asset market on other asset markets. All asset price series have shown both upward and downward trends over the study period. All monthly series in four markets from January 2000 to December 2018 are nonstationary and are integrated of order one. Then, the Johansen cointegration test is employed. The normalized cointegrating coefficients are negative. Such empirical result reveals that a significant long-run relationship exists among price variables in all asset markets, so that each asset class acts as a hedge against each other. The Granger causality test shows that the causations run from the stock price to the foreign exchange rate and the international gold price to the foreign exchange rate. Other short-run relationships have no significant causal links.

scholarly journals IMPACT OF EXCHANGE RATE DERIVATIVES ON STOCKS IN EMERGING MARKETS

2020 ◽  
Vol 21 (2) ◽  
pp. 610-626 ◽  
Author(s):  
L. Arturo Bernal-Ponce ◽  
Claudia Estrella Castillo-Ramírez ◽  
Francisco Venegas-Martínez
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Foreign Exchange ◽  
Portfolio Management ◽  
Minimum Variance ◽  
Foreign Exchange Rate ◽  
International Portfolio ◽  
Spot Exchange Rate ◽  
Risk Sources ◽  
Currency Exposure

This paper investigates the effect of derivatives on the relationship between the foreign exchange rate and the stock market. A theoretical model is used to extend the understanding of that relationship. Also, the model is tested with an empirical analysis using the GMM strategy for the Mexican and Brazilian stock markets for the period 2007 to 2019. Findings reveal that in addition to the spot exchange rate, exchange rate futures explain the currency exposure, wherein the derivative effect is the most prominent. The result implies that both risk sources should be considered in the implementation of risk management or macroeconomic policy. The theoretical results are extended by applying them to international portfolio management, proposing a strategy to mitigate foreign exchange exposure with derivatives. This study contributes to the literature by explaining why the minimum variance hedge ratio plays an essential role in the foreign exchange rate and stock market nexus.

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