scholarly journals MENGKAJI PERUBAHAN NILAI TUKAR RUPIAH DAN PASAR SAHAM

2008 ◽  
Vol 10 (4) ◽  
Author(s):  
Untoro Untoro ◽  
Priyo R. Widodo
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Index ◽  
Stock Market Index ◽  
Vector Autoregressive ◽  
Market Index ◽  
Daily Data ◽  
Exchange Rate Movements ◽  
The Exchange Rate ◽  
The Relationship

This paper analyzes the relationship between the Exchange rate and the stock market in Jakarta, Singapore, Malaysia, Thailand, Philippine and Hongkong using a high frequency data. We applied the Vector Autoregressive method on the daily data covering 1 July 1997 to 30 June 2006.The analysis provides several results as follows: (i) the exchange rate movements is influenced by the regional and the Hongkong stock market index, except Thailand, (ii) Jakarta stock market index is influenced by the regional stock market except Thailand, (iii) the Rupiah rate influence the regional and Hongkong stock index, (iv) the Jakarta's stock market index is integrated to the regional stock market index. These results may be a usefull as an additional guidance to evaluate the Rupiah's exchange rate and the regional stock market movement in general.JEL Classification: C32, F31, G15                 Keywords: Stock, Vector Autoregressive, exchange rate.

scholarly journals Cointegration analysis of stock market index and exchange rate: The case of Serbian economy

2021 ◽  
pp. 59-71
Author(s):  
Milena Marjanović ◽  
Ivan Mihailović ◽  
Ognjen Dimitrijević
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Market Index ◽  
Market Index ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Short Run ◽  
The Exchange Rate ◽  
Adf Test ◽  
Long Run Equilibrium

Since the late 90's, the existence and direction of causality between the capital market and foreign exchange market have attracted significant attention of theoretical and empirical researchers. This is because both of these financial variables have an indisputable role in the development of each country's economy. In this paper we use Johansen procedure and Granger causality test to examine the existence and direction of short-run and long-run dynamics between the leading stock market index BELEX15 and RSD/EUR exchange rate in Serbia. Using ADF test we find that both series are integrated of order one, and since the value of Johansen trace statistics confirmed the existence of cointegration, we have proceeded with estimation of the VECM model. According to our VECM model, the BELEX15 index adjusts to the long-run equilibrium relationship at a rate of 11.72% in each period, while the exchange rate adjusts to the long-run equilibrium relationship at a rate of 2.73%. We also find that there is unidirectional causality and that the market index influences the exchange rate movements in the short-run in terms of Granger.

The asymmetric impact of interest and exchange rate on the stock market index: evidence from MENA region

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Faten Moussa ◽  
Ezzeddine Delhoumi
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Stock Markets ◽  
Stock Market Index ◽  
Mena Region ◽  
Content Type ◽  
Market Index ◽  
The Exchange Rate ◽  
The Interest Rate

PurposeSeveral theoretical and empirical studies have shown the significant effects of economic and environmental factors on a large number of financial indicators. In this paper the authors are going to study whether the main stock market index, is impacted by the variations of the exchange rate and the interest rates.Design/methodology/approachThis paper studies the response of the index market return to fluctuations in the interest rate and the exchange rate in five countries from the MENA region (Tunisia, Morocco, Egypt, Turkey and Jordan). To investigate whether this impact exists, the authors used the non-linear autoregressive distributed lag (NARDL) model with daily data from June 1998 to June 2018.FindingsThe application of the non-linear ARDL model confirms the presence of cointegration between return index, interest rate and exchange rate. The results show that the asymmetry hypothesis is only valid for the short run which suggests that the market index is sensitive to the variation in the interest rate and exchange rate. This means that these macroeconomic factors play an important role in the MENA region stock markets.Originality/valueThe findings confirm that the index returns in the MENA region stock markets are related to macroeconomic fundamentals such as the exchange rate and the real interest rate. The reaction of some indices is sensitive to whether the shocks are positive or negative. This finding may help investors to choose their strategies starting from these changes. Accordingly, policy makers must pay attention to the development progress of stock market.

scholarly journals Effect Of Macroeconomic Variables On Stock Market Returns For Four Emerging Economies: Brazil, Russia, India, And China

2011 ◽  
Vol 7 (3) ◽  
Author(s):  
Robert D. Gay, Jr.
Keyword(s):  
Stock Market ◽  
Emerging Economies ◽  
Stock Market Index ◽  
Market Returns ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
Share Prices ◽  
Market Index ◽  
The Relationship ◽  
India And China

The relationship between share prices and macroeconomic variables is well documented for the United States and other major economies. However, what is the relationship between share prices and economic activity in emerging economies? The goal of this study is to investigate the time-series relationship between stock market index prices and the macroeconomic variables of exchange rate and oil price for Brazil, Russia, India, and China (BRIC) using the Box-Jenkins ARIMA model. Although no significant relationship was found between respective exchange rate and oil price on the stock market index prices of either BRIC country, this may be due to the influence other domestic and international macroeconomic factors on stock market returns, warranting further research. Also, there was no significant relationship found between present and past stock market returns, suggesting the markets of Brazil, Russia, India, and China exhibit the weak-form of market efficiency.

scholarly journals The Relationship of BIST Sector Indices with Exchange Rate Volatility

2021 ◽  
Vol 8 (1) ◽  
pp. 56-74
Author(s):  
Necmiye Serap Vurur
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Industrial Sector ◽  
Suitable Model ◽  
Return Volatility ◽  
Causality Test ◽  
Daily Data ◽  
Causality Relationship ◽  
The Exchange Rate ◽  
The Relationship

Through globalization, the increased integration in financial markets has made the relationship between exchange rate and stocks important. The study aims to model the exchange rate volatility using daily data for the period 04.01.2010-15.10.2020 and investigate the causality relationship between sector returns and exchange rate return volatility. In order to model the volatility of the exchange rate return series, the GARCH model was used to reveal the possible asymmetry feature in the series. As a result of the model applications, GARCH (2,2) was determined as the most suitable model to measure volatility modelling. Then, the Granger causality test was used to see whether there is a relationship between BIST sector return indices and exchange rate return volatility. As a result of the study, one notes that there is a uni-directional causality from the exchange rate return volatility series to the service, technology, and industrial sector indices. There is a bi-directional causality relationship between the financial sector index and the exchange rate return volatility series. It is noteworthy that the causality relationship between the BIST100 index and the exchange rate is towards the volatility of the exchange rate return series from the BIST 100 index, unlike the sector indices. According to this result, it is seen that the changes in the dollar exchange rate affect the decisions of the investors who will invest in the relevant index. The results show that in the case of Turkey, mostly traditional theories are valid.

scholarly journals The relationship between macroeconomic factors and stock market volatility: empirical evidence from the Vietnam stock market

2013 ◽  
Vol 16 (3) ◽  
pp. 86-100
Author(s):  
Kieu Minh Nguyen ◽  
Diep Van Nguyen
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Money Supply ◽  
Stock Price ◽  
Price Index ◽  
Macroeconomic Factors ◽  
Stock Price Index ◽  
The Exchange Rate ◽  
The Relationship

The main target of this study is to measure the relationship of macroeconomic factors to the volatility of the stock market in Vietnam (through stock price VN-index). There are four factors including the consumer price index (measure of inflation), the exchange rate of USD/VND and money supply M2. Research shows that the stock price VN-Index has a positive relationship with the money supply M2 and the domestic gold price in long term. On the contrary, it has a negative relationship with the inflation while it does not have any connection to the exchange rate and stock price index. In short term, the current stock price index has proportional to the stock price index last month and inversely proportional to the exchange rate. The estimated speed of adjustment indicates that the Vietnam stock market converges to the equilibrium about 8 months (adjusted approximately 13.04% per month) to reach equilibrium in the long term.

The relationship between oil prices, the stock market and the exchange rate: Evidence from Mexico

2018 ◽  
Vol 45 ◽  
pp. 266-275 ◽  
Author(s):  
Nancy Areli Bermudez Delgado ◽  
Estefanía Bermudez Delgado ◽  
Eduardo Saucedo
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Oil Prices ◽  
The Exchange Rate ◽  
The Relationship

scholarly journals Stock market returns and exchange rate movements in a multiple currency economy: the case of Zimbabwe

2015 ◽  
Vol 8 (3) ◽  
Author(s):  
Mabutho Sibanda
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Foreign Currency ◽  
The United States ◽  
Stock Market Returns ◽  
Vector Autoregressive ◽  
United States Dollar ◽  
International Portfolio Diversification ◽  
Exchange Rate Movements ◽  
New Evidence

This study seeks to provide new evidence on the stock market and exchange rate relationship in Zimbabwe, a country that does not have its own sovereign currency. The bivariate vector autoregressive approach is used to establish the relationship between the stock market and exchange rates. The results show that no relationship exists between the stock market and the proxy exchange rate. The findings contradict the expectation that exchange rate movements would influence domestic stock market prices. This finding is especially interesting given the fact that Zimbabwe uses a basket of currencies for transacting purposes, albeit with the United States dollar as a major currency for reporting and stock market pricing purposes. The findings provide new evidence of a disconnect between the stock market and exchange rate movements. This has implications for international portfolio diversification and the use of foreign currency as an asset class in an economy using a multiple currency system.

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