scholarly journals Modelling the Effect of Stock Market Volatility and Exchange Rate Volatility on Foreign Direct Investment in Nigeria: A New Framework Approach

2018 ◽  
Vol 8 (12) ◽  
pp. 1482-1505
Author(s):  
Jokosenumi Saidat Omolola ◽  
Adesete Ahmed Adefemi
Keyword(s):  
Foreign Direct Investment ◽  
Exchange Rate ◽  
Stock Market ◽  
Direct Investment ◽  
Exchange Rate Volatility ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Framework Approach ◽  
New Framework

Exploring the Relationships among Interest Rate, Exchange Rate, and Stock Market in Indonesia

2016 ◽  
Vol 4 (3) ◽  
pp. 37-43
Author(s):  
Sherlinda Octa Yuniarsa ◽  
Jui-Chuan Della Chang
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Stock Price ◽  
Structural Breaks ◽  
Emerging Market ◽  
Exchange Rate Volatility ◽  
Market Volatility ◽  
Empirical Literature ◽  
Stock Market Volatility

Objective - The purpose of this research is to explore the relationships among interest rate, exchange rate, and stock price in Indonesia. Methodology/Technique - This study used data from the Central Bank of Indonesia to empirically test a proposed model of interest rate, exchange rate, and stock price. Findings - The findings confirmed that there are positive volatilities from exchange rate and negative volatility from interest rate. The relationships among interest rate, exchange rate, and stock market excessive volatility a little bit strengthen during economic crises, a study that allows for structural breaks, to account for the effects of sudden macroeconomic shocks, recessions, and financial crises, would be important to empirical literature on Indonesia. Novelty - This study proved that it is important to point out the variance decomposition results also showed that except for volatility in the exchange rate, interest rate, and stock market volatility also seems to explain quite a high proportion of the some variations of the macroeconomic excessive volatility. Type of Paper - Conceptual Keywords: interest rate volatility, exchange rate volatility, stock market volatility, emerging market, Asymmetric ARCH models

scholarly journals Stock market volatility and it's determinants in Pakistan stock market.

2021 ◽  
Vol 17 (1) ◽  
Author(s):  
Sumaira Tufail ◽  
Keyword(s):  
Foreign Direct Investment ◽  
Stock Market ◽  
Foreign Exchange ◽  
Stock Price ◽  
Direct Investment ◽  
Dividend Policy ◽  
Price Volatility ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Stock Price Volatility

Stock price volatility is considered as one of the most important areas of concern for the capital markets regulators, investors and academicians in recent years. Corporate dividend policy as a determinant of stock market volatility is a significant area of concern for the investors as well as the managers of the company due to political instability and the current economic crisis in Pakistan. This study aims at determining the effect of significant factors such as dividend yield, dividend payout ratio, foreign exchange rate and foreign direct investment on stock price fluctuation in Pakistan, which contributes to overall variation in stock price volatility. The study used a sample of 200 Pakistani listed companies by employing the regression analysis. The endogeneity issues were addressed through the generalized method of moments (GMM) estimation. The study concludes that stock price volatility has a negative association with dividend policy. The study also suggests that foreign direct investment and foreign exchange rates both negatively influence the stock price fluctuations in emerging markets. The findings of this study provide practical implications for the investors, policymakers and firm managers.

scholarly journals Stock Market Performance, Exchange Rate Volatility and Foreign Direct Investment to Sri Lanka

2019 ◽  
Vol 4 (3) ◽  
pp. 20-22
Author(s):  
Champa Rupani Rajapakse
Keyword(s):  
Foreign Direct Investment ◽  
Exchange Rate ◽  
Sri Lanka ◽  
Stock Market ◽  
Direct Investment ◽  
Market Performance ◽  
Exchange Rate Volatility ◽  
Least Square ◽  
Stock Market Performance ◽  
The Impact

This study investigated the impact of exchange rate volatility and stock market performance on the inflow of foreign direct investment to Sri Lanka using quarterly data from 2004 to 2018. The ordinary least square technique and error correction mechanism was used in estimations. Empirical results suggested that FDI is significantly correlated with the exchange rate volatility. Therefore, monetary and fiscal policy measures are required to reduce budget deficit, trade gap and debt ratios in order to maintain a stable exchange rate. Further, findings indicated long run  uni-directional causality from Stock Market to FDI while there is no short term relationship between the two variables. If the stock market is developed and foreigner participation can be increased then that will motivate FDI inflows to the country. This implies that policy makers must aim at developing the stock market for a resulting increment in FDI flows to the country.      

scholarly journals Impact of Oil Price Shocks and Exchange Rate Volatility on Stock Market Behavior in Nigeria

2016 ◽  
Vol 7 (2) ◽  
pp. 171 ◽  
Author(s):  
Adedoyin I. Lawal ◽  
Russel O. C Somoye ◽  
Abiola A. Babajide
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Exchange Rate Volatility ◽  
Price Volatility ◽  
Oil Price ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Oil Price Volatility ◽  
The Exchange Rate ◽  
The Impact

The impact of exchange rate and oil prices fluctuation on the stock market has been a subject of hot debate among researchers. This study examined the impact of both the exchange rate volatility and oil price volatility on stock market volatility in Nigeria, so as to guide policy formulation based on the fact that the nation’s economy was foreign induced and mono-cultured with heavy dependence on oil. EGARCH estimation techniques were employed to examine if either the volatility in exchange rate, oil price volatility or both experts on stock market volatility in Nigeria. The result shows that share price volatility is induced by both the exchange rate volatility and oil price volatility. Thus, it is recommended that policymakers should pursue policies that tend to stabilize the exchange rate regime on the one hand, and guarantee the net oil exporting position for the economy, that market practitioners should formulate portfolio strategies in such a way that volatility in both exchange rates and oil price will be factored in time when investment decisions are being made.

scholarly journals Exchange Rate Volatility and Foreign Direct Investment

2020 ◽  
Vol 12 (3) ◽  
pp. 38
Author(s):  
Samuel Erasmus Alnaa ◽  
Ferdinand Ahiakpor
Keyword(s):  
Foreign Direct Investment ◽  
Exchange Rate ◽  
Interest Rate ◽  
Gross Domestic Product ◽  
Real Exchange Rate ◽  
Direct Investment ◽  
Exchange Rate Volatility ◽  
External Factors ◽  
Conditional Heteroskedasticity ◽  
Data Set

The paper seeks to determine the effect of exchange rate volatility on foreign direct investment in Ghana from 1986 to 2017. The study adopted the Generalized Autoregressive Conditional Heteroskedasticity model to fit the data set from 1986-2017. The results indicate that, previous quarter information can influence current quarter volatility in Foreign Direct Investment. Real exchange rate, gross domestic product and treasure bill rate considered as external factors, are all found to be significant. This shows that, volatility from these factors can spillover to volatility in foreign direct investment.  To ensure stable inflow of foreign direct investment, we recommend that policies should gear towards stability in the forex market and interest rate among others.

scholarly journals Exchange Rate, Uncertainty and Foreign Direct Investment Inflow in West African Monetary Zone

2018 ◽  
Vol 20 (1) ◽  
pp. 1-12 ◽  
Author(s):  
Perekunah B. Eregha
Keyword(s):  
Foreign Direct Investment ◽  
Exchange Rate ◽  
Direct Investment ◽  
Exchange Rate Volatility ◽  
Commodity Prices ◽  
Fixed Effect Model ◽  
West African ◽  
Effect Model ◽  
Exchange Rate Movements ◽  
Global Shocks

Exchange-rate movements are mostly unpredictable, and this tends to affect both trade and foreign investment flows. This is because foreign investors are unclear on the returns to investment decisions in such cases. Hence, this study examines the effect of exchange rate, its volatility and uncertainty on foreign direct investment (FDI) inflow in West African monetary zone (WAMZ). The study covers the period1980–2014, and the within estimator for the fixed effect model is employed. The study accounts for both exchange rate volatility and uncertainty measures which are anticipated and unanticipated exchange rate innovations measures, respectively. The results show that exchange-rate movements in WAMZ countries are more of unanticipated than anticipated innovations in affecting FDI inflow. Therefore, policies aimed at targeting exchange-rate stability are essential in the WAMZ countries since investors are profit maximizers; hence, investment uncertainties must be kept as low as possible. Also since WAMZ export sectors are primary products based, policies should be geared towards the diversification of the export sectors to combat unanticipated global shocks from commodity prices movement in having an effect on the exchange rate through the foreign exchange reserve channel.

scholarly journals Exchange rate volatility and its effect on intra-East Africa Community regional trade

2021 ◽  
Vol 4 (9) ◽  
pp. 43
Author(s):  
Thomas Mosbei ◽  
Silas Kiprono Samoei ◽  
Clement Cheruiyot Tison ◽  
Edwin Kipyego Kipchoge
Keyword(s):  
Foreign Direct Investment ◽  
Exchange Rate ◽  
East Africa ◽  
Money Supply ◽  
Direct Investment ◽  
Structural Adjustment ◽  
Exchange Rate Volatility ◽  
Fixed Effect Model ◽  
Foreign Direct Investments ◽  
Regional Trade

East Africa Community exchange rate volatility spiraled up when the countries adopted the Structural Adjustment Policies in early 1980s. The question that remains unanswered is whether exchange rate volatility hinders or promotes trade. The objective of this study was to determine the effect of exchange rate volatility and its effect on Intra-East Africa community regional trade. Unit root tests results indicated that some of the variables were stationary at levels and on first difference, all variables were I(1). Differenced panel data was fitted into the General Autoregressive Conditional Heteroscedasticity model to measure volatility. Hausman test showed that the fixed effect model was appropriate exchange rate, money supply, population and foreign direct investment significantly determines intra-East Africa Community regional trade. It was concluded that exchange rate volatility is observable in the Intra-East Africa region and further, exchange rate, money supply, population, and foreign direct investment significantly influenced intra-EAC regional trade. It is recommended that EAC member states should formulate policies that ensures exchange rate stability in the region to reduce unpredictability of exchange rate. Policies should be enacted to guarantee adequate money supply and encourage foreign direct investments.

scholarly journals The Effect of Exchange Rate Volatility on International Trade and Foreign Direct Investment (FDI) in Developing Countries along “One Belt and One Road”

2018 ◽  
Vol 6 (4) ◽  
pp. 86 ◽  
Author(s):  
Rashid Latief ◽  
Lin Lefen
Keyword(s):  
Developing Countries ◽  
Foreign Direct Investment ◽  
International Trade ◽  
Exchange Rate ◽  
Direct Investment ◽  
Exchange Rate Volatility ◽  
Policy Coordination ◽  
Chinese Government ◽  
Conditional Heteroscedasticity ◽  
Autoregressive Conditional Heteroscedasticity

The “One Belt and One Road” (OBOR) project was started by the Chinese government with the aim of achieving sustainable economic development and increasing cooperation with other countries. This project has five major objectives, which include (i) increasing trade flow, (ii) encouraging policy coordination, (iii) improving connectivity, (iv) obtaining financial integration, and (v) fortifying closeness between people. This paper aims to analyze the effect of exchange rate volatility on international trade and foreign direct investment (FDI) in developing countries along “One Belt and One Road”. We selected seven developing countries which are part of this project, namely Bangladesh, Bhutan, India, Maldives, Nepal, Pakistan and Sri Lanka. We collected panel data for the period 1995 to 2016 from the U.S. Heritage Foundation, International Financial Statistics (IFS) (a database developed by the International Monetary Fund), and World Development Indicators (WDI) (a database developed by the World Bank). We applied Generalized Autoregressive Conditional Heteroscedasticity (GARCH) (1,1) and threshold-Generalized Autoregressive Conditional Heteroscedasticity (TGARCH) (1,1) models to measure the exchange rate volatility. Furthermore, we employed a fixed effect model to analyze the relationship of exchange rate volatility with international trade and FDI. The results of this paper revealed that exchange rate volatility affects both international trade and FDI significantly but negatively in OBOR-related countries, which correlates with the economic theory arguing that exchange rate volatility may hurt international trade and FDI. It can be concluded that exchange rate volatility can adversely affect international trade and FDI inflows in OBOR-related countries.

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