The impact of exchange rates on stock market returns: new evidence from seven free-floating currencies

2019 ◽  
Vol 25 (14) ◽  
pp. 1277-1288 ◽  
Author(s):  
Alireza Zarei ◽  
Mohamed Ariff ◽  
M. Ishaq Bhatti
Keyword(s):  
Stock Market ◽  
Exchange Rates ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Impact ◽  
New Evidence

A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Slah Bahloul ◽  
Nawel Ben Amor
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Stock Markets ◽  
Financial Integration ◽  
Ordinary Least Squares ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

The Impact of Corporate Governance Press News on Stock Market Returns

2010 ◽  
Vol 17 (1) ◽  
pp. 100-119 ◽  
Author(s):  
Alessandro Carretta ◽  
Vincenzo Farina ◽  
Duccio Martelli ◽  
Franco Fiordelisi ◽  
Paola Schwizer
Keyword(s):  
Corporate Governance ◽  
Stock Market ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Impact
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