The Interconnectedness between Foreign Exchange Rate on Stock Price and Macroeconomic Variables in Korea and the U.S.

2016 ◽  
Vol 29 (10) ◽  
pp. 1459-1480
Author(s):  
Yoonbok Lee ◽  
◽  
Jaeseung Baek ◽  
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Stock Price ◽  
Foreign Exchange Rate ◽  
Macroeconomic Variables ◽  
The U.S

scholarly journals Relationship between Foreign Exchange Rate and Stock Price of Commercial Joint Stock Banks: Evidence from Vietnam

2016 ◽  
Vol 8 (7) ◽  
pp. 193 ◽  
Author(s):  
Tran Mong Uyen Ngan
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Stock Price ◽  
Time Series Data ◽  
Foreign Exchange Rate ◽  
Series Data ◽  
Causality Test ◽  
Using Data ◽  
The Relationship

The relationship between foreign exchange rate and stock price is one popular topic that is interested by not only board managers of banks but also stock investors. By using data about foreign exchange rate between Vietnam Dong (VND) and United State Dollar (USD), stock prices data of nine commercial joint stock banks in Vietnam from the first day of 2013 to the last day of 2015, this paper try to answer the question “Does foreign exchange rate impact on stock price and vice verse?”. Applying Dickey Fuller test and Var Granger Causality test for the time series data, the results show that there is an impact of foreign exchange rate on stock price. Although the fluctuation in foreign exchange rate VND/USD causes the change in stock prices of commercial joint stock banks in Vietnam, however, the vector of this impact is not clearly. On the opposite way, the change in stock price does not cause the change in foreign exchange rate, this relation is one-way relation.

scholarly journals L\'{e}vy Process, Proportional Transaction Costs and Foreign Exchange

2017 ◽  
Vol 9 (5) ◽  
pp. 133
Author(s):  
Obonye Doctor ◽  
Elias R. Offen ◽  
Edward M. Lungu
Keyword(s):  
Exchange Rate ◽  
Transaction Costs ◽  
Utility Function ◽  
Transaction Cost ◽  
Portfolio Selection ◽  
Foreign Exchange ◽  
Stock Price ◽  
Foreign Exchange Rate ◽  
Proportional Transaction Costs ◽  
Optimal Portfolio Selection

We analyse optimal portfolio selection problem of maximizing the utility of an agent who invests in a stock and money market account in the presence of proportional transaction cost $\lambda>0$ and foreign exchange rate. The stock price follows a (generalized) Geometric It\^{o}-L\'{e}vy process. The utility function is $U(c)={c^{p}}/{p}$ for all $c\geq0$, $p<1$, $p\neq0$.

A CLOSER LOOK AT THE EPPS EFFECT

2003 ◽  
Vol 06 (01) ◽  
pp. 87-102 ◽  
Author(s):  
ROBERTO RENÒ
Keyword(s):  
Monte Carlo ◽  
Exchange Rate ◽  
Fourier Analysis ◽  
Foreign Exchange ◽  
High Frequency ◽  
Stock Price ◽  
Sampling Frequency ◽  
Original Method ◽  
Foreign Exchange Rate ◽  
Two Factors

Epps [17] reported empirical evidence that stock correlations decrease when sampling frequency increases. This phenomenon, named Epps effect, has been observed in several markets. In this paper, the dynamics underlying the Epps effect are investigated. Using Monte Carlo simulations and the analysis of high frequency foreign exchange rate and stock price data, it is shown that the Epps effect can largely be explained by two factors: the non-synchronicity of price observations and the existing lead-lag relationship between asset prices. In order to compute co-volatilities, an original method based upon the Fourier analysis is adopted. This method performs well in estimating correlations precisely, as illustrated by simulated experiments. Being naturally embedded in the frequency domain, this estimator is well suited to the study of the Epps effect.

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