The effects of the exchange rate movements on the Istanbul stock exchange

2007 ◽  
Vol 3 (1) ◽  
pp. 39-46 ◽  
Author(s):  
Nukhet Dogan ◽  
Yeliz Yalcin
Keyword(s):  
Exchange Rate ◽  
Stock Exchange ◽  
Istanbul Stock Exchange ◽  
Exchange Rate Movements ◽  
The Exchange Rate

scholarly journals Transmission Effects between Uncertainty and Stocks: From S&P to BIST100

2020 ◽  
Author(s):  
Mine Gerni ◽  
Hatıra Sadeghzadeh Emsen ◽  
Ziya Çağlar Yurttançıkmaz ◽  
Ömer Selçuk Emsen
Keyword(s):  
Exchange Rate ◽  
Stock Exchange ◽  
Spillover Effects ◽  
Point Of View ◽  
Political Uncertainty ◽  
Us Economy ◽  
Istanbul Stock Exchange ◽  
The Us ◽  
Macroeconomic Indicators ◽  
The Exchange Rate

The economic political uncertainty (EPU) index developed by Berg et al. (2013) and the global economic political uncertainty (GEPU) index developed by Davids et al. (2016) revealed the existence of their strong relations with macroeconomic indicators in the US economy in general. Parallel to this power exhibited by the index, the interest towards it has started to be evaluated in terms of other countries. In this context, while the existence of studies investigating the relations between the index and the Istanbul Stock Exchange index is noteworthy, it has been determined that some of these researches have relations, and some of them not. The existence of spillovers from strong exchanges to stock markets of developing countries is defined as spillover effects in the literature. From this point of view, it is worth examining the existence of the relationship in question with indirect effects rather than investigating direct relationships between the GEPU and BIST100. Therefore, this study aims to investigate the existence of spillover effects from GEPU to S&P, from S&P to the exchange rate and from the exchange rate to the BIST100 index, respectively. According to the results of VAR analysis using four variables, it has been found that there are spillover effects from GEPU to S&P, from S & P to exchange rate and from exchange rate to BIST100. Consequently, it is observed that the changes in GEPU index that reflect the developments in the US economy affect Turkey’s stock market indirectly through spillover linkages.

Pengaruh Faktor Fundamental, Risiko Sistematis Dan Ekonomi Makro Terhadap Return Saham Syariah Yang Tergabung Di Jakarta Islamic Index (JII) Pada Periode 2010 – 2014

2017 ◽  
Vol 24 (1) ◽  
pp. 54-70
Author(s):  
Hasanah Setyowati ◽  
Riyanti Ningsih
Keyword(s):  
Exchange Rate ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Secondary Data ◽  
Analysis Model ◽  
Macroeconomic Factors ◽  
Return On Equity ◽  
Equity Ratio ◽  
Regression Techniques ◽  
The Exchange Rate

This study aimed to obtain empirical evidence on the influence of fundamental factors, systematic risk and macroeconomics on the returns Islamic stock of companies incorporated in the Jakarta Islamic Index in 2010-2014. The variables used were the fundamental factors that are proxied by Earning Per Share (EPS), Return on Equity (ROE), Debt to Equity Ratio (DER); Systematic risk is proxied by Beta Shares; macroeconomic factors is proxied by the inflation rate and the exchange rate. The samples of this study are the enterprises incorporated in Jakarta Islamic Index (JII) at the Indonesian Stock Exchange. The sampling method was using purposive sampling. There were 12 samples of Islamic stocks that meet the criteria to be used as samples. The analysis model used is multiple linear regression techniques and the type of data used is secondary data. The study found that all variables, which are Earning Per Share (EPS), Return on Equity (ROE), Debt to Equity Ratio (DER), Beta stock, inflation and the exchange rate do not significantly affect the return of sharia stock either simultaneously or partially.

scholarly journals EFEK KETERBUKAAN PERDAGANGAN PADA VOLATILITAS NILAI TUKAR

2019 ◽  
Vol 10 (1) ◽  
pp. 38-45
Author(s):  
Wayrohi Meilvidiri ◽  
Syahruddin Syahruddin ◽  
Romualdus Turu Putra Maro Djanggo
Keyword(s):  
Exchange Rate ◽  
Money Supply ◽  
Trade Openness ◽  
Exchange Rate Volatility ◽  
Normality Test ◽  
Lm Test ◽  
Exchange Rate Movements ◽  
Negative Effect ◽  
The Exchange Rate ◽  
The Impact

This study uses the q to q dataset for the period 2011-2018, to examine the effect of trade openness on the exchange rate, on the other hand variable money supply, inflation and GDP growth and high-low exchange rates (dummy) will smooth the impact of shocks to the exchange rate . Using the OLS econometric estimator to see the effect of variables and the ARCH method to measure the uncertainty of exchange rate movements. Estimation results show that trade openness (open trade index); the money supply (money supply) and the high-low peak value of the exchange rate have a significant positive effect while the growth variable has a significant negative effect on exchange rate volatility. The LM test simultaneously found ARCH in residual data in lag 1 and lag 2. The normality test found abnormal residuals, while the residual heteroscedasticity test showed no ARCH problems in the last residuals.

scholarly journals Effect of Exchange Rate Returns on Equity Prices: Evidence from South Africa and Nigeria

2017 ◽  
Vol 9 (11) ◽  
pp. 35
Author(s):  
Jibrin Daggash ◽  
Terfa W. Abraham
Keyword(s):  
South Africa ◽  
Exchange Rate ◽  
Stock Market ◽  
Stock Exchange ◽  
Equity Prices ◽  
The Us ◽  
Short Run ◽  
Us Dollar ◽  
The Exchange Rate ◽  
The Uk

This paper examines the exchange rate returns of the Rand (relative to the US dollar) and the Naira (relative to the US dollar) for the presence of volatility. It also examines the effect of the exchange rate returns on the performance of their respective stock market. While it was found that the returns of the South African Rand was volatile, the Nigerian naira was not. Estimating the effect of exchange rate returns and crude oil price on the stock market indices of both countries showed that exchange rate return have a positive effect on the performance of the Nigerian stock exchange thus, confirming the stock flow hypothesis for Nigeria and refuting same for South Africa. Although the VAR granger causality identifies short run fluctuation of the naira as a significant factor affecting the performance of the Nigerian stock exchange in the short run, the Johannesburg stock exchange was found to be mostly affected by short run changes in the Rand and the UK FTSE 100. The paper concludes that policies aimed at stabilizing exchange rate and encouraing more non-oil stocks to be quoted in the Nigerian stock exchange will important. For the Johanesburg stock exchange, raising the listing requirement for firms quoted in the UK FTSE 100 and also seeking listing or already listed in the JSE will be a plausible idea. For both countries, however, curtailing swings in their exchange rate returns would help attract new investments and sustain existing ones hence, helping to spur growth.

scholarly journals Econometric Model to Estimate Defaults on Payment in the Spanish Financial Sector in Oliver Wyman’s Stress Tests

2016 ◽  
Vol 3 (1) ◽  
pp. 24
Author(s):  
Salvador Climent-Serrano
Keyword(s):  
Exchange Rate ◽  
Historical Data ◽  
Econometric Model ◽  
Stock Exchange ◽  
Housing Prices ◽  
Financial Sector ◽  
Stress Tests ◽  
Economic Variables ◽  
Model Based ◽  
The Exchange Rate

This work develops an econometric model based on the exogenous economic variables used in Oliver Wyman´s report. In this case the model is used in order to estimate late payments (NPLs) by Spanish credit entities. A model based on variables considered to be optimal to quantify impact on the NPLs is developed by studying the aforementioned variables, modifying them and eliminating any which are superfluous. Furthermore, whether or not the model is optimal for long periods of time is corroborated. This is due to the fact that the scenario in Oliver Wyman´s report from September 2012 (Wyman 2012) is based on 30 years of Spanish economical historical data, as stated in the report itself. The results indicate the variables that have impact on defaults. The increase in housing prices, the Madrid Stock Exchange Index, the Exchange Rate the euro against USD. The Euribor 12 months and the industries Credit to other residents, decreases the delinquency. The NPLs also fell by transfers from riskier assets to SAREB. However, these results are different if the economy is growing or in recession. So the results will not be optimal but the appropriate model is employed.

scholarly journals A System Dynamics Model Of Exchange Rate Determination And Forecasting

2020 ◽  
Vol 3 (4) ◽  
pp. 44-55
Author(s):  
Aima Khan
Keyword(s):  
Exchange Rate ◽  
System Dynamics ◽  
Policy Implications ◽  
Nonlinear Feedback ◽  
Exchange Rate Determination ◽  
Past Behavior ◽  
Exchange Rate Movements ◽  
The Exchange Rate ◽  
The Government

Objective: The objective of this paper is to develop a model of exchange rate determination and forecasting to provide reasonable forecasts for the exchange rate to facilitate long-term investments. Design: The study develops the model using the system dynamics method. Grounded on the fundamental theories, the model incorporates nonlinear feedback relationships of interest rate, inflation, per capita income, terms of trade, and oil prices with the exchange rate. Findings: The simulation results indicate the robustness of the model to mimic not only the long term past behavior of the exchange rate but also its ability to provide a reliable long-term forecast for the exchange rate. The model is portable and applies to any oil-exporting country after calibration. Policy Implications: The study has practical implications for individuals, businesses, and the Government because they are all influenced by the exchange rate movements. Specifically, this model provides a useful tool for long term strategic financial planning of oil firms. Originality: The study develops a model for exchange rate accounting for nonlinear feedback relationships among the variables.

scholarly journals Asimetris Nilai Tukar Rupiah Terhadap Harga Saham Sektor Keuangan Periode 2013-2019

2020 ◽  
Vol 2 (3) ◽  
pp. 143-152
Author(s):  
Abdul Aziz
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Stock Prices ◽  
Stock Exchange ◽  
Financial Sector ◽  
Distributed Lag ◽  
Asymmetrical Effect ◽  
The Exchange Rate ◽  
Asymmetrical Impact ◽  
Data Estimation

This paper examines the asymmetrical effect of the rupiah exchange rate on financial sector stock prices on the Indonesian stock exchange using the Non-Linear Autregressive Distributed Lag (NARDL) method with monthly data. Estimation results show that interest rates and exchange rates affect the movement of stock prices in the financial sector, there is a long-term relationship between the exchange rate with financial sector stock prices, our results also show the asymmetrical impact of exchange rate variables on financial sector stock prices, we also find when the exchange rate is positive (appreciation ) the effect is lower than when the exchange rate is negative (depreciation).   Tulisan ini meneliti tentang efek asimetris kurs rupiah terhadap harga saham sektor keuangan di bursa efek Indonesia dengan menggunakan metode Non-Linier Autregressive Distributed Lag (NARDL) dengan data bulanan.  Hasil estimasi menunjukkan bahwa  suku bunga dan kurs berpengaruh terhadap pergerakan harga saham sektor keuangan, terdapat hubungan jangka panjang antara kurs dengan harga saham sektor keuangan, hasil kami juga menunjukkan dampak asimetris variabel kurs terhadap harga saham sektor keuangan, kami juga menemukan ketika kurs positif (apresiasi) pengaruhnya lebih rendah dibandingkan saat kurs negative (depresiasi).

scholarly journals The Exchange Rate and its Effects An Overvalued Quantity?

1998 ◽  
Vol 3 (2) ◽  
pp. 123-148
Author(s):  
Sikander Rahim
Keyword(s):  
Exchange Rate ◽  
A Priori ◽  
Country Of Origin ◽  
Law Of One Price ◽  
Relative Price ◽  
Relative Prices ◽  
Exchange Rate Movements ◽  
Balance Of Trade ◽  
The Exchange Rate ◽  
Exchange Rate Changes

I. Introduction The Exchange Rate and Competitive Goods The exchange rate poses an awkward problem; if the same goods are produced by and traded between different countries and if international trade is competitive, the prices of such goods in any country will be the same, regardless of the country of origin. The law of one price must hold within each country; exchange rate movements cannot alter the relative prices in the same country of competing goods according to country of origin. There is, then, no general a priori reason why purchasers in a given country should choose the product of one country rather than the competing product of another and the standard argument, that changes in exchange rates alter the volumes of imports and exports through such relative price changes, cannot hold for such goods. The conclusion is that, if most of the imports and exports of a country are goods that have international competition, there is no reason that exchange rate changes will have predictable effects on its balance of trade.

PENGARUH INFLASI, TINGKAT SUKU BUNGA, KURS, HARGA MINYAK DUNIA DAN HARGA EMAS DUNIA TERHADAP IHSG DAN JII DI BURSA EFEK INDONESIA

2017 ◽  
Vol 2 (2) ◽  
pp. 285
Author(s):  
Umi Sartika
Keyword(s):  
Exchange Rate ◽  
Stock Exchange ◽  
Composite Index ◽  
Secondary Data ◽  
T Test ◽  
Gold Price ◽  
Oil Price ◽  
F Test ◽  
Closing Price ◽  
The Exchange Rate

ABSTRACT  The research aims to investigate empirically the influence of selected macroekonomic variables. The research design is associative. Independent variabel  are  inflation, Bank Indonesia certificate rate, the exchange rate of IDR, World Oil Price and World Gold Price on Indonesia Composite Index and Jakarta Islamic Index at The Indonesia Stock Exchange (IDX). This paper examines the direct effect of selected macroeconomic variabel on Indonesia Composite Index and Jakarta Islamic Index. The data is taken from the monthly closing price of each dependent and independent variables. The sampling method used in this study is the sample saturated and obtained a sample of 60 months of data closing price. The data used are secondary data collection methods of data documentation. The analysis which used in this research is multiple linier regression analysis, F test and t test. The result of calculations using Eviews 8, showed that: the result hypothesis F test, obtained value of Fcompute > Ftable, means that there is the influence of inflation, Bank Indonesia certificate rate, the exchange rate of IDR, World Oil Price and World Gold Price together on Indonesia Composite Index and Jakarta Islamic Index. While result of the hypothesis t test, showed that inflation, Bank Indonesia certificate rate, the exchange rate of IDR, World Oil Price and World Gold Price partially had not influence on Indonesia Composite Index and Jakarta Islamic Index

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