Volatility spillover between exchange rate and stock returns under volatility shifts

2021 ◽  
Vol 80 ◽  
pp. 605-613
Author(s):  
Farooq Malik
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Volatility Spillover

Volatility Spillover Structure of Stock and Foreign Exchange Market between Korea, Japan, and Hong Kong

2006 ◽  
pp. 162-182
Author(s):  
Masayuki Susai
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Exchange Rate Volatility ◽  
Foreign Exchange Rate ◽  
Volatility Spillover ◽  
Exchange Market ◽  
Portfolio Risk ◽  
International Portfolio

Highly developed IT technology can be the source of volatility spillover between markets located in other countries. In this chapter, we investigate the interrelationship between stock returns in North East Asian countries and the effect of foreign exchange rate volatility on the interrelationship between stock returns. We bring out clear simultaneous interrelationship between stock return and foreign exchange volatility. Focusing on covariance of each asset returns, if we do not take foreign exchange rate volatility into account when we evaluate our international portfolio, the portfolio risk might be underevaluated. The analysis shows that foreign exchange market turbulence might be accompanied by increase in covariance between stock returns. Just after the Asian currency crisis, the relationship between stock returns and foreign exchange turbulence might have changed. For managing international portfolio risk, we should be aware of foreign exchange risk and structural change in covariance between stock returns.

An Empirical Analysis of Foreign Exchange Exposure of CNX 100 Companies

GIS Business ◽  
2017 ◽  
Vol 12 (5) ◽  
pp. 1-9 ◽  
Author(s):  
Sriram Mahadevan
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Foreign Exchange ◽  
Foreign Exchange Rate ◽  
Future Research ◽  
Export Ratio ◽  
Exchange Rate Exposure ◽  
Ratio Size ◽  
Foreign Exchange Exposure ◽  
Exchange Rate Changes

The present study has empirically examined the level of foreign exchange exposure and its determinants of CNX 100 companies. For the purpose of study, the relationship between exchange rate changes and stock returns for a sample of 82 companies was determined for the period April 2011-March 2016. The study finds that 49% of the sample companies had significant positive foreign exchange rate exposure and the found that the companies could be exporters or net importers. To explore factors determining foreign exchange rate exposure, variables such as export ratio, import ratio, size of a company, hedging activities were regressed against the exchange exposure and the study found that none of the factors was influencing the exchange rate exposure. The study concludes that the reasons for insignificant influence of the variables could be the natural hedging practices of companies, offsetting of exports and imports and heterogeneous of the sample size. The study offers few directions for future research in this area.

scholarly journals PENGARUH KURS, GROSS DOMESTIC PRODUCT DAN SOLVABILITAS TERHADAP RETURN SAHAM INVESTOR PADA PERUSAHAAN PERTAMBANGAN

2019 ◽  
Vol 8 (10) ◽  
pp. 6262
Author(s):  
Martina Carissa Dewi ◽  
Luh Gede Sri Artini
Keyword(s):  
Exchange Rate ◽  
Gross Domestic Product ◽  
Exchange Rates ◽  
Stock Returns ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Domestic Product ◽  
Mining Company ◽  
Macroeconomic Factors ◽  
Regression Test

The level of return obtained by investors is influenced by microeconomic and macroeconomic factors. This study aims to obtain empirical evidence regarding the effect of exchange rates, Gross Domestic Product and solvency on stock returns. This research was conducted at the mining company in the coal sub-sector on the Indonesia Stock Exchange. All the coal mining sub-sector companies listed on the Stock Exchange for the period 2014-2017 used as the population. The method of determining the sample used is using a saturated sampling technique. Multiple linear regression test used as the data analysis on this research. Based on the results of the analysis of this study it was found that the exchange rate and GDP had a negative and significant effect on stock returns. The solvency proxied by DER has a positive and significant effect on stock returns. Keywords: Exchange Rate, Gross Domestic Product, Solvability and Return.

scholarly journals Volatility Spillover of the Exchange Rate and the Global Economy on Iran Stock Market

2020 ◽  
Vol 15 (3) ◽  
pp. 343-356
Author(s):  
Ahmad Gholami ◽  
Ehsan Salimi Soderjani ◽  
◽  
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Global Economy ◽  
Volatility Spillover ◽  
The Exchange Rate

scholarly journals Signifikansi Pengaruh Sentimen Pemberlakuan PSBB Terhadap Aspek Ekonomi: Pengaruh Pada Nilai Tukar Rupiah dan Stock Return (Studi Kasus Pandemi Covid-19)

2020 ◽  
Vol 7 (2) ◽  
pp. 223-239
Author(s):  
Irma Lestari Made
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Stock Return ◽  
Large Scale ◽  
Herd Immunity ◽  
Wilcoxon Test ◽  
Analysis Tool ◽  
Public Sentiment ◽  
Before And After ◽  
The Government

The Large-Scale Social Limitation Policy (Pembatasan Sosial Berskala Besar/PSBB) was chosen by the Indonesian government in responding to the pandemic covid-19. The PSBB policy is preferred by the government to be implemented instead of lockdown. Much controversy in public over the PSBB policy has built the sentiment. Consideration of the economic aspects has been the main reason in making these policies. With consideration of the state of the Indonesian economy, the government believes that this policy is an effective and efficient pathway with a note that the public will be able to conduct pandemic covid-19 health protocol discipline and form herd immunity. This study aims to evaluate the effect of the implementation of the PSBB which has an impact on public sentiment fluctuations, using secondary stock return data on blue-chip stocks and the rupiah exchange rate in the range of time before and after the implementation of the PSBB begun, April 10, 2020. Wilcoxon test is used as data analysis tool of nonparametric statistics. The test results stated that the exchange rate of the rupiah against the US dollar was significantly affected by public sentiment towards the implementation of the PSBB, while the stock return was not significantly affected. Several factors beyond the implementation of PSBB need to be considered in influencing stock returns as well as the rupiah exchange rate.

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