scholarly journals An Empirical Analysis on the Relationship between Stock Price, Interest Rate, Price Index and Housing Price using VAR Model

2013 ◽  
Vol 11 (10) ◽  
pp. 11-10 ◽  
Author(s):  
Jae-Gyeong Kim ◽  
Keyword(s):  
Interest Rate ◽  
Empirical Analysis ◽  
Stock Price ◽  
Price Index ◽  
Housing Price ◽  
Var Model ◽  
The Relationship

MODELING THE INTERACTIONS OF STOCK PRICE AND EXCHANGE RATE IN MALAYSIA

2009 ◽  
Vol 54 (04) ◽  
pp. 605-619 ◽  
Author(s):  
MOHD TAHIR ISMAIL ◽  
ZAIDI BIN ISA
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Price Index ◽  
Composite Index ◽  
Regime Shifts ◽  
Var Model ◽  
Vector Autoregressive ◽  
Stock Price Index

After the East Asian crisis in 1997, the issue of whether stock prices and exchange rates are related or not have received much attention. This is due to realization that during the crisis the countries affected saw turmoil in both their currencies and stock markets. This paper studies the non-linear interactions between stock price and exchange rate in Malaysia using a two regimes multivariate Markov switching vector autoregression (MS-VAR) model with regime shifts in both the mean and the variance. In the study, the Kuala Lumpur Composite Index (KLCI) and the exchange rates of Malaysia ringgit against four other countries namely the Singapore dollar, the Japanese yen, the British pound sterling and the Australian dollar between 1990 and 2005 are used. The empirical results show that all the series are not cointegrated but the MS-VAR model with two regimes manage to detect common regime shifts behavior in all the series. The estimated MS-VAR model reveals that as the stock price index falls the exchange rates depreciate and when the stock price index gains the exchange rates appreciate. In addition, the MS-VAR model fitted the data better than the linear vector autoregressive model (VAR).

scholarly journals Importance of Proper Monetary Liquidity: Sustainable Development of the Housing and Stock Markets

2020 ◽  
Vol 12 (21) ◽  
pp. 8989
Author(s):  
Ming-Chu Chiang ◽  
I-Chun Tsai
Keyword(s):  
Stock Markets ◽  
Stock Price ◽  
Structural Changes ◽  
Housing Price ◽  
Asset Markets ◽  
The United Kingdom ◽  
Asymmetrical Effect ◽  
Capital Transfer ◽  
The Relationship ◽  
Coefficient Method

In this paper, we infer that when no excess monetary liquidity exists, people tend to invest available capital in assets associated with a high return or low risk. However, when excess monetary liquidity occurs, capital may successively boost asset markets, and the stock market wealth is thus likely to spill into housing markets, resulting in bubbles in these two markets and therefore in the unsustainable development of both the housing and stock markets. This paper uses relevant data from the United Kingdom from January 1991 to March 2020 to verify whether excess monetary liquidity is a crucial factor determining the relationship between the housing and stock markets. Continuous and structural changes are found to exist between housing price and stock price returns. This paper employs the time-varying coefficient method for estimation and determines that the influence of stock price returns on housing returns is dynamic, and an asymmetrical effect can occur according to whether excess monetary liquidity exists. An excessively loose monetary policy increases asset prices and can thus easily result in a mutual rise in asset markets. By contrast, when excess monetary liquidity does not exist, capital transfer among markets can prevent autocorrelation during excessive market investment and thereby aggravate market imbalance.

scholarly journals The relationship between macroeconomic factors and stock market volatility: empirical evidence from the Vietnam stock market

2013 ◽  
Vol 16 (3) ◽  
pp. 86-100
Author(s):  
Kieu Minh Nguyen ◽  
Diep Van Nguyen
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Money Supply ◽  
Stock Price ◽  
Price Index ◽  
Macroeconomic Factors ◽  
Stock Price Index ◽  
The Exchange Rate ◽  
The Relationship

The main target of this study is to measure the relationship of macroeconomic factors to the volatility of the stock market in Vietnam (through stock price VN-index). There are four factors including the consumer price index (measure of inflation), the exchange rate of USD/VND and money supply M2. Research shows that the stock price VN-Index has a positive relationship with the money supply M2 and the domestic gold price in long term. On the contrary, it has a negative relationship with the inflation while it does not have any connection to the exchange rate and stock price index. In short term, the current stock price index has proportional to the stock price index last month and inversely proportional to the exchange rate. The estimated speed of adjustment indicates that the Vietnam stock market converges to the equilibrium about 8 months (adjusted approximately 13.04% per month) to reach equilibrium in the long term.

scholarly journals PENGARUH TINGKAT INFLASI, SUKU BUNGA BI, DAN NILAI TUKAR RUPIAH TERHADAP IHSG

2021 ◽  
Vol 10 (2) ◽  
pp. 118-129
Author(s):  
Desi Ratjaya Ningsih ◽  
Nur Aida Arifah Tara ◽  
Muhdin Muhdin
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Quantitative Methods ◽  
Price Index ◽  
Market Conditions ◽  
Negative Effect ◽  
The Relationship

The Composite Stock Price Index (IHSG) is a description of information regarding the movements of all stock prices that affect capital market conditions and produce a trend. There are three factors that mainly influence the IHSG, namely inflation, BI interest rates, and the rupiah exchange rate. The purpose of this study was to examine the relationship between inflation, BI interest rates, rupiah exchange rate and the IHSG in the period of 2016-2020. The method in this research used quantitative methods. The results showed that inflation and BI interest rates have a negative and insignificant effect on the IHSG, while the Rupiah exchange rate has a significant negative effect on the IHSG.Keywords :IHSG, Inflasi, Suku Bunga BI, Nilai Tukar Rupiah

scholarly journals Is CSR Really Profitable? Evidence From Korea

2015 ◽  
Vol 31 (6) ◽  
pp. 2167 ◽  
Author(s):  
Eunho Cho ◽  
Hayeon Park
Keyword(s):  
Stock Price ◽  
Price Index ◽  
Measurement Problem ◽  
Operating Performance ◽  
Manufacturing Firms ◽  
Potential Measurement ◽  
Sensitivity Tests ◽  
Sample Data ◽  
Corporate Social ◽  
The Relationship

We empirically investigate whether corporate social responsibility (CSR) is really profitable in Korea. Specifically, we examine whether a potential measurement problem of CSR score measured by KEJI (Korea Economic Justice Institute) index affects the relationship between CSR and corporate financial performance (CFP). The empirical results regarding the relationship between CSR and CFP in prior studies have been inconsistent. Although some studies (e.g. Waddock & Graves, 1997) point out that the potential measurement problem of CSR score is likely to be an important factor to resolve the issue of mixed results, CSR measurement problem to date draws little attention from researchers particularly in Korea setting. We suspect that prior studies that report positive relationship between CSR and CFP using KEJI index is biased upward due to potential measurement problem of KEJI index that includes operating performance component. To examine this issue, we employ an adjusted CSR score which excludes operating performance component included in the unadjusted CSR score to mitigate measurement problem that can show a positive upward bias in the relationship between CSR and CFP in the prior studies.We employ the sample data of 1,301 firm-year observations of manufacturing firms listed in Korea Stock Price Index (KOSPI) market during 2005-2010. Using adjusted CSR score, we find that the positive CSR-CFP relationship significantly weakens compared to unadjusted CSR score. This result remains robust after we perform various sensitivity tests. This study suggests that CSR measurements problem is likely to distort the relationship between CSR and CFP in Korea setting. This study’s main contribution is to provide evidence on the measurement problem of KEJI CSR score in the study on the relationship between CSR and CFP.

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