scholarly journals Stochastic Volatility in the Peruvian Stock Market and Exchange Rate Returns: A Bayesian Approximation

2018 ◽  
Vol 17 (3) ◽  
pp. 354-385 ◽  
Author(s):  
Willy Alanya ◽  
Gabriel Rodríguez
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stochastic Volatility ◽  
Jel Classification ◽  
Garch Models ◽  
Times Series ◽  
Estimated Parameters ◽  
The Usa ◽  
Bayesian Approximation ◽  
Autoregressive Conditional Heteroscedasticity

This study is one of the first to utilize the stochastic volatility (SV) model to modelling the Peruvian financial times series. We estimate and compare this model with generalized autoregressive conditional heteroscedasticity (GARCH) models with normal and t-student errors. The analysis in this study corresponds to Peru’s stock market and exchange rate returns. The importance of this methodology is that the adjustment of the data is better than the GARCH models, using the assumptions of normality in both models. In the case of the SV model, three Bayesian algorithms have been employed where we evaluate their respective inefficiencies in the estimation of the model’s parameters—the most efficient being the integration sampler. The estimated parameters in the SV model under the various algorithms are consistent, as they display little inefficiency. The figures of the correlations of the iterations suggest that there are no problems at the time of Markov chaining in all estimations. We find that the volatilities in the exchange rate and stock market volatilities follow similar patterns over time. That is, when economic turbulence caused by the economic circumstances occurred, for example, the Asian crisis and the recent crisis in the USA, considerable volatility was generated in both markets. JEL Classification: C22

scholarly journals International Stock Market Comovements: What Happened during the Financial Crisis?

2012 ◽  
Vol 12 (1) ◽  
pp. 1850252 ◽  
Author(s):  
Roman Horvath ◽  
Petr Poldauf
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Equity Returns ◽  
Multivariate Garch ◽  
Garch Models ◽  
Chinese Stock Market ◽  
Common Shock ◽  
The Usa ◽  
Multivariate Garch Models ◽  
The Uk

We investigate the stock market comovements in Australia, Brazil, Canada, China, Germany, Hong Kong, Japan, Russia, South Africa, the UK, and the USA, both at the market and sectoral level in 2000-2010. Using multivariate GARCH models, our results suggest that the correlation among equity returns during the financial crisis (2008-2010) somewhat increased, suggesting that the crisis represented a common shock to all countries. The U.S. stock market is found to be the most correlated with the stock markets in Brazil, Canada and UK. The correlation of U.S. and Chinese stock market is essentially zero before the crisis; it becomes slightly positive during the crisis. The sectoral indices are less correlated than the market indices over the whole period, but, again, the correlations increase during the crisis.

scholarly journals ARCH and GARCH Models: Quasi-Likelihood and Asymptotic Quasi-Likelihood Approaches

2020 ◽  
Author(s):  
Raed Alzghool
Keyword(s):  
Exchange Rate ◽  
Kernel Estimation ◽  
Estimation Procedure ◽  
Conditional Variance ◽  
Estimation Methods ◽  
Garch Models ◽  
Unknown Parameters ◽  
Conditional Heteroscedasticity ◽  
Garch Processes ◽  
Autoregressive Conditional Heteroscedasticity

This chapter considers estimation of autoregressive conditional heteroscedasticity (ARCH) and the generalized autoregressive conditional heteroscedasticity (GARCH) models using quasi-likelihood (QL) and asymptotic quasi-likelihood (AQL) approaches. The QL and AQL estimation methods for the estimation of unknown parameters in ARCH and GARCH models are developed. Distribution assumptions are not required of ARCH and GARCH processes by QL method. Nevertheless, the QL technique assumes knowing the first two moments of the process. However, the AQL estimation procedure is suggested when the conditional variance of process is unknown. The AQL estimation substitutes the variance and covariance by kernel estimation in QL. Reports of simulation outcomes, numerical cases, and applications of the methods to daily exchange rate series and weekly prices’ changes of crude oil are presented.

scholarly journals Impact of Covid-19 on Interest Rates

2020 ◽  
Vol 1 (1) ◽  
pp. 7-11
Author(s):  
Lo Yi-Wei
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Interest Rates ◽  
Global Economy ◽  
Banking Sector ◽  
Stock Market Index ◽  
Informal Workers ◽  
Market Index ◽  
The Usa ◽  
Economic Stimulus

The global economy is experiencing a crisis due to the Covid-19 pandemic, the stock market index has collapsed. The rupiah exchange rate against the USA dollar weakened this was due to the large number of foreign investors leaving the Indonesian financial market, the stock market plummeted. The banking sector can carry out an economic stimulus given restructuring authority for all credit or financing without requiring restrictions on the credit ceiling or type of debtor, especially debtors for MSMEs and informal workers. The economic stimulus that needs to be maximized is prundential monetary and macro policies through lowering interest rates and maintaining stability in the rupiah exchange rate. Budget relocation is also enforced to maintain the availability of basic foodstuffs for the community, which has increased due to panic buying or market panic. Also providing assistance to increase people's purchasing power.

scholarly journals Article Herding Behaviour: Empirical Analysis of Pakistan, China, USA Stock Market

2020 ◽  
Vol 2 (2) ◽  
pp. 1-1
Author(s):  
Syed Ali Arslan ◽  
Rukhsana Bibi ◽  
Attiya Yasmin Javid
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Jel Classification ◽  
Investor Behavior ◽  
Geographical Distance ◽  
Chinese Stock Market ◽  
Absolute Deviation ◽  
Cross Sectional ◽  
Stock Investment ◽  
The Usa

The present study investigates market-wide herding of the stock market industry indices of Pakistan, China, and the USA, and cross-border herding of Pakistan stock market with the Chinese stock market and USA stock market. With Cross-Sectional-Absolute-Deviation, this study checks whether geographical distance matters in influencing the stock markets or not and if the USA is it's major influential and cannot be ignored. Market-wide herding in Pakistan is found only during 2004 and 2008, and across border herding for Pakistan is only found from the USA, which supports the asset pricing model and market efficiency hypotheses. Pakistan market does not herd around China- this negates that geographical distance matters and influences in determining investor behavior in stock markets. It is also revealed that the Pakistan stock market does not observe as much herding behavior in stock investment as other markets (such as the USA and China), so it can be said that the Pakistan Stock market is efficiently operating in the context of herding. JEL Classification: G02, G11, G14, G1

scholarly journals Conditional Heteroskedasticity and Cross-sectional Dependence in Panel MGARCH: Exchange Rate and Stock Market Uncertainty

2021 ◽  
Author(s):  
Mansour Tour ◽  
Esmaiel Abounoori
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Cross Sections ◽  
Stock Exchange ◽  
Spillover Effects ◽  
Jel Classification ◽  
Market Uncertainty ◽  
Stock Market Index ◽  
Cross Sectional ◽  
Panel Garch

Abstract Despite lots of research concerning different GARCH and Panel-GARCH as well as MGARCH models, we have not seen Panel MGARCH so far reviewing literatures. Though there are spillover effects between cross-sections for one variable, there may be spillover effects and cross-sections dependence for several variables too. The main aim in this research is to use the Panel MGARCH (P-MGARCH) model regarding weekly exchange rate and the stock market index across countries UK, Canada and China during 2010: 10 to 2020: 08. According to the results, the volatility spillover among cross-sections (UK, China and Canada) for variables (Exchange rates and Stock exchange returns) has been confirmed.JEL Classification: C33, C58, F30

scholarly journals Exchange rate volatility and global shocks in Russia: an application of GARCH and APARCH models

2016 ◽  
Vol 13 (4) ◽  
pp. 203-211 ◽  
Author(s):  
Adebayo Augustine Kutu ◽  
Harold Ngalawa
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Garch Model ◽  
Jel Classification ◽  
Conditional Heteroscedasticity ◽  
United States Dollar ◽  
Global Shocks ◽  
Student’S T ◽  
T Distribution ◽  
Autoregressive Conditional Heteroscedasticity

This study examines global shocks and the volatility of the Russian rubble/United States dollar exchange rate using the symmetric Generalized Autoregressive Conditional Heteroscedasticity (GARCH), and Asymmetric Power Autoregressive Conditional Heteroscedasticity (APARCH) models. The GARCH and APARCH are employed under normal (Normal Gaussian) and non-normal (Student’s t and Generalized Error) distributions. Using monthly exchange rate data covering January 1994 – December 2013, the study finds that the symmetric (GARCH) model has the best fit under the non-normal distribution, which improves the overall estimation for measuring conditional variance. Conversely, the APARCH model does not show asymmetric response in exchange rate volatility and global shocks, resulting in no presence of leverage effect. The GARCH model under the Student’s t distribution produces better fit for estimating exchange rate volatility and global shocks in Russia, compared to the APARCH model. Keywords: exchange rate volatility, global Shocks, GARCH and APARCH models. JEL Classification: F30, F31, P33

scholarly journals The power of signaling: presidential leadership and rhetoric over 20 years

2017 ◽  
Vol 38 (5) ◽  
pp. 662-678
Author(s):  
Timothy Kiessling ◽  
Thomas M. Martin ◽  
Burze Yasar
Keyword(s):  
Stock Market ◽  
Past Research ◽  
Stock Market Volatility ◽  
Content Type ◽  
The Us ◽  
The Usa ◽  
Research Findings ◽  
Negative Statements ◽  
The Impact ◽  
Autoregressive Conditional Heteroscedasticity

Purpose The purpose of this paper is to explore the power of leadership rhetoric with a theoretical foundation of signaling theory. Past research mostly focus on followers and not other stakeholders and the authors attempt to fill that research gap. Design/methodology/approach The research explored nearly 20 years and 51,500 pages of information from US presidents and explored the impact on stock market volatility using generalized autoregressive conditional heteroscedasticity. Findings The research findings suggest that leaders can/do have a powerful impact on stakeholders. In particular negative statements will cause the greatest reaction due to risk adverse stockholders, neutral rhetoric will calm the market and decrease volatility and positive rhetoric was not significant. Research limitations/implications Past research suggests that a focus on the consequences of leadership rhetoric be explored and the research suggests that people do respond to powerful leaders, even if they are not followers. Also the authors filled a gap in regard to the impact of leader communication about economic and marketplace events. Practical implications Practitioners benefit from the research as they can focus upon the US presidents’ rhetoric and strategically apply the research as they can predict the movement of the stock market immediately thereafter. Originality/value Very little research has ever explored the impact of a leader’s rhetoric and the subsequent economic impact, and no one has explored in particular the president’s rhetorical impact (who is considered by many the top leader in the USA).

scholarly journals Does Gold Act as a Hedge or a Safe Haven? Evidence from Pakistan

2020 ◽  
Vol 59 (1) ◽  
pp. 69-80
Author(s):  
Bisharat Hussain Chang ◽  
,Suresh Kumar Oad Rajput ◽  
Pervez Ahmed ◽  
Zafar Hayat
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Jel Classification ◽  
Garch Models ◽  
Exchange Rate Risk ◽  
Oil Shocks ◽  
Safe Haven ◽  
The Exchange Rate ◽  
Market Shocks ◽  
The Relationship

This paper seeks to determine whether in Pakistan gold protects investors against the risks associated with the exchange rate, oil shocks, and stock returns by testing the hedging and safe haven properties of gold returns for the period from August 1997 to May 2016. The analysis has been done to understand the relationship between moderate (normal) and extremely tumultuous conditions through least squares and DCC-GARCH models. The key results indicate that gold acts as a hedge against exchange rate risk only whereas it acts as a safe haven in terms of the risks associated with the oil, exchange rate and stock market shocks—thereby indicating that investors can potentially invest in gold to hedge against losses emanating from the exchange rate, while they may avoid potential losses originating from turmoil conditions in terms of the exchange rate, oil, and stock markets. JEL Classification: E32, F31. Keywords: Gold Returns, Safe Haven, Hedge, DCC GARCH

Macroeconomic Determinants of Stock Market Prices in Nepal

2020 ◽  
Vol 2 (1) ◽  
pp. 56-65
Author(s):  
Bhim Prasad Panta
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Money Supply ◽  
Developing Economies ◽  
Annual Data ◽  
Economic Variables ◽  
Market Prices ◽  
Ardl Model ◽  
Long Run

Background: Stock market plays a crucial role in the financial system of a country. It can be viewed as a channel through which resources are properly channelized. It enables the governments and industry to raise long-term capital for financing new projects. The stock markets of developing economies are likely to be sensitive to various macro-economic factors such as GDP, imports, exports, exchange rates etc., when there is high demand on financial products, as a constituent of financial market, ultimately stock market needs to develop. Many factors can be a signal to stock market participants to expect a higher or lower return when investing in stock and one of these factors are macroeconomic variables and thus, macro-economic variables tend to effect on stock market development. Objective: This study examines the linkage between stock market prices (NEPSE index) and five macro-economic variables, namely; real GDP, broad money supply, interest rate, inflation, and exchange rate using ARDL model and to explain the behavior of the Nepal Stock Exchange Index. Methods: The ECM which is delivered from ARDL model through simple linear transformation to integrate short run adjustments with long run equilibrium without losing long run information. The analysis has been done by using 25 years' annual data from 1994 to 2019. Findings: The result suggests that the fluctuation of Nepse Index in long run is strongly associated with broad money supply, interest rate, inflation, and exchange rate. Conclusion: Though Nepalese stock market is in primitive stage, broad money supply, interest rate, inflation and exchange rate are major factors affecting stock market price of Nepal. So, policies and strategies should be made and directed taking these in to consideration. Implication: The findings of research can be helpful to understand the behavior of Nepalese stock market and develop policies for market stabilization.

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