THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS

The present study attempts to investigate the dynamic interlinkages among the Asian, European and US stock markets. Daily closing prices of twelve stock indices relating to the period from 3rd January 1998 to 30th June 2010 and are used in the analysis. Both short and long run relationships are examined through Johansen-Juselius co integration and Vector Error Correction models (VECM) and Impulse Response Function (IRF). The results of the co integration test show strong co integration relationship across international stock prices indices. The results of the Vector Error Correction model reveal that the US and some of European and Asian Stock markets lead the Indian stock market. Finally, the evidence suggests that the impact of the US market on Indian stock returns is much higher than other way round.

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Exploring real exchange rate effects on trade balances in Thailand

Managerial Finance ◽

10.1108/03074350210768130 ◽

2002 ◽

Vol 28 (11) ◽

pp. 16-27 ◽

Cited By ~ 3

Author(s):

Tantatape Brahmasrene ◽

Komain Jiranyakul

Keyword(s):

Exchange Rate ◽

Exchange Rates ◽

Real Exchange Rate ◽

Foreign Currency ◽

Bilateral Trade ◽

Real Exchange Rates ◽

The Real ◽

Cointegration Tests ◽

Non Linear ◽

The Impact

This study investigates the impact of real exchange rates on the trade balances between Thailand and its major trading partners. Previous empirical evidence gave mixed results of the impact of real exchange rates on trade balances. In this study, Augmented Dicky‐Fuller and Phillips‐Perron tests for stationarity followed by the cointegration tests are implemented. All variables in the model are nonstationary but cointegrated. In cointegrating regressions, biases are introduced by simultaneity and serial correlation in the error. The specification that deals with these problems is the non‐linear specification of Stock and Watson (1989). By using this non‐linear model as modified by Reinhart (1995), the results show that the impact of real exchange rates (Thai baht/foreign currency) on trade balances is significant in most cases. Therefore, the generalized Marshall‐Lerner condition seems to hold. Furthermore, the results show that the real exchange rates play a more important role in the determination of the bilateral trade balances than other factors. Since the real exchange rate variable plays a major role in this study, the policy recommendation is to prevent exchange rate misalignment. A policy that can neutralize the changes in nominal exchange rates and relative prices should be introduced to prevent further deterioration of the trade balance.

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Stock prices, exchange rates and portfolio equity flows

Journal of Economic Studies ◽

10.1108/jes-12-2017-0361 ◽

2019 ◽

Vol 46 (2) ◽

pp. 399-421 ◽

Cited By ~ 4

Author(s):

Andriansyah Andriansyah ◽

George Messinis

Keyword(s):

Exchange Rate ◽

Exchange Rates ◽

Stock Prices ◽

Transmission Channel ◽

Sample Period ◽

Causality Test ◽

Content Type ◽

The Impact ◽

Toda And Yamamoto ◽

Heterogeneous Panels

Purpose The purpose of this paper is to develop a new framework to test the hypothesis that portfolio model predicts a negative correlation between stock prices and exchange rates in a trivariate transmission channel for foreign portfolio equity investment. Design/methodology/approach This paper utilizes panel data for eight economies to extend the Dumitrescu and Hurlin (2012) Granger non-causality test of heterogeneous panels to a trivariate model by integrating the Toda and Yamamoto (1995) approach to Granger causality. Findings The evidence suggests that stock prices Granger-cause exchange rates and portfolio equity flows Granger-cause exchange rates. However, the overall panel evidence casts doubt on the explicit trivariate model of portfolio balance model. The study shows that Indonesia may be the only case where stock prices affect exchange rates through portfolio equity flows. Research limitations/implications The proposed test does not account for potential asymmetries or structural shifts associated with the crisis period. To isolate the impact of the Asian Financial crisis, this paper rather splits the sample period into two sub-periods: pre- and post-crises. The sample period and countries are also limited due to the use of the balance of payment statistics. Practical implications The study casts doubt on the maintained hypothesis of a trivariate transmission channel, as posited by the portfolio model. Policy makers of an economy may integrate capital market and fiscal policies in order to maintain stable exchange rate. Originality/value This paper integrates a portfolio equity inflow variable into a single framework with stock price and exchange rate variables. It extends the Dumitrescu and Hurlin’s (2012) bivariate stationary Granger non-causality test in heterogeneous panels to a trivariate setting in the framework of Toda and Yamamoto (1995).

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Oil price, exchange rate and stock price in Nigeria: Fresh insights based on quantile ARDL model

ECONOMICS AND POLICY OF ENERGY AND THE ENVIRONMENT ◽

10.3280/efe2021-001004 ◽

2021 ◽

pp. 59-79

Author(s):

Emmanuel Uche ◽

Lionel Effiom

Keyword(s):

Exchange Rate ◽

Exchange Rates ◽

Stock Prices ◽

Stock Price ◽

Spillover Effects ◽

Oil Price ◽

Ardl Model ◽

Conditional Mean ◽

Pass Through ◽

The Impact

The pass-through of oil price to various macroeconomic aggregates, including the exchange rates and stock prices have been vigorously studied in the past albeit varying submissions. More so, these studies considered the relationship only within the conditional mean. To pro-vide fresh insights about the heterogeneous impacts, this study re-examines the dynamic pass-through of international oil prices to exchange rates and stock prices in Nigeria using the Quantile ARDL model. The quantile ARDL accounts for locational asymmetries among varia-bles. Findings indicate that the spillover effects of oil price shocks on both the exchange rate and stock prices in Nigeria are heterogeneous and differ significantly across the quantile dis-tributions of the foreign exchange and stock markets. The impact increases over time with greater impacts recorded at quantiles below the median. On this background, specific policies targeting the peculiar effects at each quantile of exchange rate and stock prices will ensure op-timal performance leading to higher returns to investors and market practitioners.

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The Effect Of Changes In The Dollar Foreign Exchange Rate On Stock Returns Of Multinational Corporations

Journal of Applied Business Research (JABR) ◽

10.19030/jabr.v10i4.5916 ◽

2011 ◽

Vol 10 (4) ◽

pp. 142 ◽

Cited By ~ 2

Author(s):

Taisier F. AlDiab ◽

Marwan M. Zoubi ◽

Phillip W. Thornton

Keyword(s):

Exchange Rate ◽

Exchange Rates ◽

Stock Returns ◽

Multinational Corporations ◽

Stock Prices ◽

Dollar Exchange Rate ◽

Factors Affecting ◽

Exchange Rate Movements ◽

Overseas Operations ◽

The Impact

<span>Exchange rate movements are considered to be one of the key factors affecting the operating results of multinational corporations (MNC). Several studies have examined the effect of changes in dollar exchange rates on the stock prices of MNC. The results of these studies have been inconclusive about the effects of changes in the dollar exchange rate on the stock prices of companies with significant overseas operations. This study extends previous research by testing the impact of changes in the dollar exchange rate on security returns of MNC using an event study methodology. The results suggest that changes in dollar exchange rates have little or no impact on the stock returns of MNC.</span>

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An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

Journal of Economics and Development ◽

10.33301/2014.16.01.05 ◽

2014 ◽

pp. 74-89 ◽

Cited By ~ 1

Author(s):

Vinh Vo Xuan

Keyword(s):

Exchange Rates ◽

Crude Oil ◽

Foreign Exchange ◽

Stock Prices ◽

Global Financial Crisis ◽

Oil Prices ◽

Foreign Exchange Rates ◽

Factors Affecting ◽

Crude Oil Prices ◽

Before And After

This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. In addition, Vietnam’s stock prices are also affected significantly by US stock prices, and foreign exchange rates over the period before the 2008 Global Financial Crisis. There is evidence that Vietnam’s stock prices are highly correlated with US stock prices, foreign exchange rates and gold prices for the same period. Furthermore, Vietnam’s stock prices were cointegrated with US stock prices both before and after the crisis, and with foreign exchange rates, gold prices and crude oil prices only during and after the crisis.

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Mutual Fund Herding and the Impact on Stock Prices

CFA Digest ◽

10.2469/dig.v29.n4.570 ◽

1999 ◽

Vol 29 (4) ◽

pp. 48-49

Author(s):

H. Kent Baker

Keyword(s):

Mutual Fund ◽

Stock Prices ◽

The Impact

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تأثير الاستثمار الاجنبي المباشر في القيمة السوقية للشركة (دراسة تطبيقية في شركة بترو جانيا الصينية في عقود التراخيص النفطية للجولة الاولى والثانية في الحقول النفطية في العراق للمدة من 2017-2010)

Iraqi Journal of Economic Sciences ◽

10.31272/ijes2020.66.4 ◽

2020 ◽

Vol 2020 (66) ◽

pp. 65-85

Author(s):

هيثم عبد النبي موسى ◽

أ .د حيدر نعمة غالي الفريجي

Keyword(s):

Foreign Direct Investment ◽

Stock Prices ◽

Return On Investment ◽

Direct Investment ◽

Inverse Correlation ◽

Market Value ◽

Political Stability ◽

Coefficient Of Determination ◽

Independent Variable ◽

The Impact

This study dealt with the effect of foreign direct investment on the market value of the company during the period of time (2010-2017). This issue was studied through a sample of oil fields in southern Iraq in which the company operates within the first and second licensing contracts rounds and according to the circumstances and variables of the investment environment as it is. Although this investment often achieves high returns, it is also characterized by a high degree of risk and for the purpose of evaluating the impact of foreign direct investment on the market value of the company's stock prices for the period (2010-2017). The statistical scale (T-TEST) was used to indicate the significance of the correlation hypotheses. Between the return on investment as the independent variable and the market value as the dependent variable, and the use of the coefficient of determination (R2) that measures the effect of the independent variable (foreign direct investment) on the dependent variable (market value) and the F-Test to demonstrate acceptance or rejection of the hypothesis of the return on investing in the market value of the oil company, and if the company achieves a high return in foreign direct investment, the market value of it will be affected positively. The study was based on a set of goals, including determining the attractiveness of Iraq to foreign investments, especially the oil sector, and the study reached a number of conclusions, the most prominent of which is the existence of a strong inverse correlation between the return on investment and the market value of the company. And the existence of a slight impact of the return on investment on the market value of the company, and the study reached a number of recommendations, the most important of which is activating the investment climate through political stability and the clarity and stability of laws and legislation regulating investment, which is one of the most important factors affecting the investment decision.

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