Uncertainty Channel between Stock Prices and Foreign Exchange Rates in Nepal

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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A Study on the Stability of the Relationship between Stock Prices and Foreign Exchange Rates in Korea

The Korean Data Analysis Society ◽

10.37727/jkdas.2018.20.2.815 ◽

2018 ◽

Vol 20 (2) ◽

pp. 815-828

Author(s):

Gahng Sohk Koh

Keyword(s):

Exchange Rates ◽

Foreign Exchange ◽

Stock Prices ◽

Foreign Exchange Rates ◽

The Stability ◽

The Relationship

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The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process

Advances in Applied Probability ◽

10.1017/apr.2016.51 ◽

2016 ◽

Vol 48 (A) ◽

pp. 217-233 ◽

Cited By ~ 5

Author(s):

Muneya Matsui ◽

Thomas Mikosch

Keyword(s):

Exchange Rates ◽

Foreign Exchange ◽

Power Law ◽

Stock Prices ◽

Asymptotic Theory ◽

Foreign Exchange Rates ◽

Two Dimensional ◽

Extremal Dependence ◽

A Value ◽

The Cross

AbstractWe derive asymptotic theory for the extremogram and cross-extremogram of a bivariate GARCH(1,1) process. We show that the tails of the components of a bivariate GARCH(1,1) process may exhibit power-law behavior but, depending on the choice of the parameters, the tail indices of the components may differ. We apply the theory to five-minute return data of stock prices and foreign-exchange rates. We judge the fit of a bivariate GARCH(1,1) model by considering the sample extremogram and cross-extremogram of the residuals. The results are in agreement with the independent and identically distributed hypothesis of the two-dimensional innovations sequence. The cross-extremograms at lag zero have a value significantly distinct from zero. This fact points at some strong extremal dependence of the components of the innovations.

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