scholarly journals On The Dynamic Relationship Between Exchange Rates And Industry Stock Prices: Some Empirical Evidence From Malaysia

2011 ◽  
Vol 21 (4) ◽  
Author(s):  
Hong Rim ◽  
Rosle Mohidin
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Stock Prices ◽  
Strong Relationship ◽  
Exchange Market ◽  
Negative Effects ◽  
Positive Effects ◽  
Dynamic Relationship ◽  
Exchange Rate Changes ◽  
Dynamic Relationships

This study examines the dynamic relationships between exchange rate and stock prices at the industry level in Malaysia during June 1996 - August 1998.  This study finds a strong relationship between the two series during the financial crisis (July 1997 - August 1998) and differing effects of exchange-rate changes on the performance of stock prices across different industries.  In addition, exchange-rate changes have negative effects on some industries (e.g., construction) but positive effects on other industries (e.g., property).  Thus, government needs to concentrate on stabilizing the exchange market first while financial managers need to carefully analyze the effects of changes in exchange rates on specific industries to better manage foreign-exchange exposures.

scholarly journals Exports, Exchange Rates and Productivity: An Analysis of the Japanese Manufacturing Sectors

2016 ◽  
Vol 6 (1) ◽  
pp. 7
Author(s):  
Atsuyuki Kato
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Sample Selection ◽  
Specific Productivity ◽  
Negative Effects ◽  
Firm Level ◽  
Transportation Equipment ◽  
Exchange Rate Fluctuations ◽  
Exchange Rate Changes ◽  
The Impact

This paper examines the effects of exchange rate changes and productivity on manufacturing exports. Using the dataset of the Japanese manufacturing firms during the period, 2002 – 2012, we discuss if exchange rate fluctuations deter export activities and if productivity and markup differences affect it. For this study, we estimate both firm specific productivity and markups by the production function based approaches and incorporate them into the Heckman sample selection model. Our results show exchange rates are important factors to affect firm-level exports as a whole while temporal aggregation should be carefully considered. In addition, this study also reveals that productivity and markup give different impacts on firm-level exports across industries. In the transportation equipment industry, negative effects of appreciation on exports are partly mitigated by higher productivity. Markups are positively related to exports in the electronics industry while negative in the transportation equipment. Neither productivity nor markup absorbs the impact of exchange rate changes in the machinery industry. Those findings imply that stability of exchange rates is very important while the effective trade policy may vary across industries following their trade structure.

scholarly journals The Nonlinear Dynamic Relationship between Stock Prices and Exchange Rates in Asian Countries

2017 ◽  
Vol 8 (2) ◽  
pp. 40 ◽  
Author(s):  
Ryuta Sakemoto
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Stock Prices ◽  
Asset Markets ◽  
Asian Countries ◽  
Dynamic Interactions ◽  
Causality Test ◽  
Empirical Results ◽  
Dynamic Relationship ◽  
Exchange Rate Markets

This study explores dynamic relationships between stock prices and exchange rates in Asian countries. These relationships are complex and include both linear and nonlinear relationships. We employ a nonparametric causality test to explore them. The nonparametric causality test is more robust to a nonlinear relationship. The empirical results reveal that most countries have bi-directional causality relationships between stock prices and exchange rates. Some relationships are not captured by the linear model. These results support the theoretical model which shows dynamic interactions between stock and exchange rate markets. This study investigates the main driver to generate the nonlinear causality relatioships. The empirical results present that the main source for the nonlinearity is the volatility effects. In particular, they were substantial during the Asian and global financial crises. After controlling for the volatility effects, only one country shows the bi-directional causality relationship. In contrast to the previous studies, this study shows that the volatility effects are important between different asset markets. These findings suggest that controlling for exchange rate markets may be helpful to mitigate turmoil during a financial crisis.

On the relation between stock prices and exchange rates: a review article

2015 ◽  
Vol 42 (4) ◽  
pp. 707-732 ◽  
Author(s):  
Mohsen Bahmani-Oskooee ◽  
Sujata Saha
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Stock Prices ◽  
Empirical Literature ◽  
Easy Access ◽  
Future Research ◽  
Asymmetric Effect ◽  
Content Type ◽  
Ardl Approach ◽  
Exchange Rate Changes

Purpose – While changes in stock prices are said to affect exchange rates, exchange rate changes are also said to affect stock prices. The purpose of this paper is threefold. First, the authors review all empirical literature by dividing them into two groups of univariate and multivariate studies. Second, a table which summarizes the main features of each study is provided to help future researchers to have easy access to summary of each study. Finally, a new direction for future research is proposed. This new direction relies upon non-linear ARDL approach and shows how to investigate symmetric vs asymmetric effects of exchange rate changes on stock prices. Design/methodology/approach – The paper reviews existing published work and provides suggestions for future research. Findings – The paper reviews existing published work and provides suggestions for future research. An application reveals that exchange rate changes have asymmetric effect on stock prices. Originality/value – This is the first review paper on the relation between exchange rates and stock prices.

ANALISIS EKSPOSUR EKONOMI DAN FAKTOR-FAKTOR YANG MEMPENGARUHINYA PADA PERUSAHAAN ROKOK YANG TERCATAT DI BEI

Wahana ◽  
2019 ◽  
Vol 21 (2) ◽  
pp. 98-109
Author(s):  
Ida Musdafia Ibrahim ◽  
Arif Haryono
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Cash Flow ◽  
Firm Value ◽  
Tobacco Industry ◽  
Cash Flows ◽  
Least Square ◽  
Exchange Rate Risk ◽  
Positive Effects ◽  
Rate Risk

This study aims to analyze economic exposures and its factors namely exchange rates and inflation, that influence firm value as reflected through firm cash flow. Analytical method used Ordinary Least Square and eviews as analytical tool. This study used secondary data and cigarette industry companies listed on the Indonesia Stock Exchange as samples along 2008 to 2017. Samples choosing method used purposive sampling based on determined criterias. The results showed that partially economic exposure had positive effects on firm value but insignificant. These could be seen from the economic exposure factors influncenced namely exchange rates and inflations.The exchange rate risk has low influenced cash flow was caused of the tobacco industry has low level of export/import.Enhance,inflation also had low effect on cash flow was caused of the tendency of cigarette consumers will continue to buy cigarettes even though its price increases. In short, economic exposure in the tobacco industry has low influence toward firms value. Hence, simultaneously changes in exchange rates and inflation which are economic exposure indicators have a significant effect on cash flows.  Keywords: Economic Exposure, Exchange Rate Risk, Inflation Risk, Firms Value, Cash Flow

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 The Role of Exchange Rates in the Stock Price Development of Chemical Companies in the Visegrad Four Countries

2019 ◽  
Vol 22 (3) ◽  
pp. 117-129
Author(s):  
Jana Šimáková ◽  
Nikola Rusková
Keyword(s):  
Exchange Rate ◽  
Pharmaceutical Industry ◽  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchanges ◽  
The Exchange Rate ◽  
Chemical Companies ◽  
The Empirical Analysis

The aim of the paper is to evaluate the effect of exchange rates on the stock prices of companies in the chemical industry listed on the stock exchanges in the Visegrad Four countries. The empirical analysis was performed from September 2003 to June 2016 on companies from the petrochemical and pharmaceutical industry. The effect of the exchange rate on stock prices is analyzed using Jorion’s approach on monthly data. In contrast to the selected petrochemical companies, the pharmaceutical companies did not use any hedging instruments in the tested period. The effect of the exchange rate on the stock price was proved only in the case of companies from the pharmaceutical industry. This suggests that exchange rate risk could be eliminated by using hedging instruments.

scholarly journals Pengaruh Tingkat Suku Bunga, Inflasi Dan Nilai Kurs Terhadap Harga Saham Perusahaan Perhotelan Yang Terdaftar Di Bursa Efek Indonesia Per Triwulannya Periode 2016-2018

2021 ◽  
Vol 4 (2) ◽  
pp. 871-877
Author(s):  
Rahmat Dewa Bagas Nugraha ◽  
H.M Nursito
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Quantitative Study ◽  
Stock Prices ◽  
Stock Exchange ◽  
Secondary Data ◽  
Ratio Analysis ◽  
The Interest Rate

This study aims to determine and analyze the factors that affect stock prices through appropriate ratio analysis. As for the ratio of interest rates, inflation and exchange rates. Researchers want to know and analyze the effect partially or simultaneously between interest rates, inflation, and exchange rates on stock prices. This research is a quantitative study using secondary data. The object of this research is hotel companies listed on the Indonesia Stock Exchange for the period 2016-2018. The sample used in this study were 3 hotel with certain characteristics. The results of research simultaneously using the F test show that there is no influence between interest rates, inflation and exchange rates on stock prices because the calculated value is smaller than the table. Partially with the t test it can be concluded that there is no influence between interest rates on stock prices because the tcount value in the interest rate variable is smaller than the t table. Likewise, the t calculation of inflation and the exchange rate is smaller than the t table, so that there is no partial effect of the two variables on stock prices. Keywords: Stock Prices, Interest Rates, Inflation and Exchange Rates

scholarly journals The Impact of Russia’s Oil-Dominated Energy Economic Changes on the Exchange Rate of Russian Ruble – Chinese Renminbi

2017 ◽  
Vol 13 (22) ◽  
pp. 173
Author(s):  
Maoguo Wu ◽  
Yue Yu
Keyword(s):  
Economic Development ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Explanatory Power ◽  
Close Relation ◽  
Policy Implications ◽  
The Exchange Rate ◽  
Exchange Rate Changes ◽  
Pillar Industry ◽  
The Impact

Russia’s economic development has a close relation with China, due to geographical and historical reasons. This paper investigates whether the ruble – renminbi exchange rate changes accordingly when the pillar industry of Russia is drastically changing, and how the exchange rate changes and how it affects Russia’s economic development. In this paper, data of 7 variables spanning 122 months are selected based on related literature and availability of data. Regression analysis and empirical tests are carried out consequently. The results show that the energy price index represented by oil prices is negatively correlated with the exchange rate, and the explanatory power is as high as 41.1%. Following basic arbitrage methods and strategies, this paper verifies the feasibility of using arbitrage by comparing actual exchange rates with forecasted exchange rates. According to empirical results, problems witnessed in the process of ruble internationalization provides policy implications for China. China’s economy is utilized as an example to discuss the shortcomings of Russia’s economy. Related solutions are proposed.

scholarly journals Vehicle Currency Pricing and Exchange Rate Pass-Through

2021 ◽  
Author(s):  
Natalie Chen ◽  
Wanyu Chung ◽  
Dennis Novy
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Great Recession ◽  
Firm Level ◽  
Bilateral Exchange ◽  
The Great Recession ◽  
Pass Through ◽  
Exchange Rate Changes ◽  
Exchange Rate Pass Through ◽  
The Relationship

Abstract Using detailed firm-level transactions data for UK imports, we find that invoicing in a vehicle currency is pervasive, with more than half of the transactions in our sample invoiced in neither sterling nor the exporter’s currency. We then study the relationship between invoicing currencies and the response of import unit values to exchange rate changes. We find that for transactions invoiced in a vehicle currency, import unit values are much more sensitive to changes in the vehicle currency than in the bilateral exchange rate. Pass-through therefore substantially increases once we account for vehicle currencies. This result helps to explain why UK inflation turned out higher than expected when sterling depreciated during the Great Recession and after the Brexit referendum. Finally, within a conceptual framework we show why bilateral exchange rates are not suitable for capturing exchange rate pass-through under vehicle currency pricing. Overall, our results help to clarify why the literature often finds a disconnect between exchange rates and prices when vehicle currencies are not accounted for.

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