The Contribution of Exchange Rate Fluctuations to Stock Market Volatility and Cross-Market Correlations

2004 ◽  
Author(s):  
Andrew Mun
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Exchange Rate Fluctuations

scholarly journals Electoral cycles, stock market volatility and exchange rate: The indissoluble trivet

2020 ◽  
Vol 2 (2) ◽  
pp. 61-72
Author(s):  
Sharlywest Uwabor Eboigbe ◽  
Victor Usunobun Imagbe
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Behavioral Finance ◽  
Political Development ◽  
Financial Economic ◽  
Public Institutions ◽  
Market Volatility ◽  
Significant Shift ◽  
Stock Market Volatility ◽  
Data Source

This paper seeks to unravel the connectivity between stock market volatility and exchange rate within the political cycles of sovereign states presidential election years between 2000-2016 using the dynamic system GMM estimation and VECH technique data source from Morgan Stanley Capital International (MSCI). A significant positive relationship between market volatility and exchange rate manifests in the studied countries, more in Nigeria and South Africa. A significant shift in a conditional correlation of the variances of most markets exists except for Kenya, Japan, and Hong Kong. This perhaps is indicative of weak institutional and democratic culture within the financial system; hence independence of public institutions would guarantee non-interference that ensures policy consistency. Financial, economic and behavioral finance barometers need to integrate both local and international political development for effective and result-driven investment. As a result of the significant opportunistic business cycle effect that manifested with a significant shift in the conditional correlations of the variances of some of the markets we strongly believe that a truly independent central bank would not only guarantee political non-interference but also will ensure policy consistency.

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

Are There Asymmetries in the Relationship Between Exchange Rate Fluctuations and Stock Market Volatility in Pacific Basin Countries?

2006 ◽  
Vol 09 (02) ◽  
pp. 229-256 ◽  
Author(s):  
Nabil Maghrebi ◽  
Mark J. Holmes ◽  
Eric J. Pentecost
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Bad News ◽  
Good News ◽  
Pacific Basin ◽  
Stock Market Volatility ◽  
Currency Markets ◽  
Dynamic Relationship ◽  
Exchange Rate Fluctuations ◽  
Asymmetric Impact

This paper examines asymmetries in the dynamic relationship between foreign exchange fluctuations and stock market volatility in Pacific basin countries. The methodology is based on a dynamic covariance modelling that accounts for leverage effects and the asymmetric impact of currency fluctuations. There is evidence that appreciations are more conducive to lower volatility in currency markets than depreciations of equal magnitude. Market volatility tends to be ceteris paribus, more sensitive to bad news about equity than good news and more responsive to currency depreciations than appreciations. The results also suggest that bad news about equity accompanied with currency depreciations are likely to generate higher volatility in currency markets and have the potential of affecting the significance of leverage effects in stock markets.

scholarly journals The impact of news events on the Tunisian stock market volatility: A Post-revolutionary study

2017 ◽  
Vol 14 (2) ◽  
pp. 230-237
Author(s):  
Salma Zaiane ◽  
Atef Ben Allita
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Composite Index ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Social Events ◽  
Daily Data ◽  
Egarch Model ◽  
Tunisian Revolution ◽  
The Impact

This study examines the impact of political, economic, social and terrorism events on market volatility over the period of the Tunisian revolution from December 1, 2010 to May 29, 2015. Our study is based on daily data of three variable: Tunindex the composite index of the Tunisian stock market, the financial companies’ index, and the exchange rate Eur/Tnd, in order to detect the influence of each type of event on these three selected variables. Using an EGARCH model, the empirical evidence highlights that the fourth types of events affect the Tunindex market volatility. In fact, the political, social and terrorism events increase the volatility of the index. However, the economic events diminish this volatility. Furthermore, we notice that only political and social events influence the market volatility of the financial companies. However, exchange rate Eur/Tnd was affected only by economic and social events.

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 Forecasting stock market volatility: the role of gold and exchange rate

2020 ◽  
Vol 5 (5) ◽  
pp. 5094-5105
Author(s):  
Zhifeng Dai ◽  
◽  
Huiting Zhou ◽  
Xiaodi Dong
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Market Volatility ◽  
Stock Market Volatility
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