scholarly journals Structural attributes of firms, irreversibility, and uncertainty of corporate investment in Nigeria

2021 ◽  
Vol 18 (3) ◽  
pp. 397-407
Author(s):  
Jonathan Oniovosa Ososuakpor
Keyword(s):  
Exchange Rate ◽  
Stock Exchange ◽  
Exchange Rate Volatility ◽  
Corporate Investment ◽  
Negative Influence ◽  
Data Series ◽  
Annual Data ◽  
Corporate Investments ◽  
Investment Projects ◽  
Macroeconomic Uncertainty

In the Nigerian context, there is a gap in the literature on the structural attributes of firms and the extent to which corporate investments are irreversible. Thus, this study was to empirically examine the structural attributes of firms, irreversibility, and uncertainty of corporate investment using the real options theory of investment. The study is based on annual data series of firms listed on the Nigerian Stock Exchange from 2005 to 2019. The study measured structural attributes using competitiveness and monopoly/oligopoly of a firm, macroeconomic uncertainty, inflation, interest, and exchange rates, and examines their association with corporate investments. The study was conducted using a panel dataset adopting a fixed-effect estimation technique that takes into account potential endogeneity and firm specific-effects. The result showed that the macroeconomic uncertainty measure of exchange rate volatility is strongly detrimental to corporate investment decisions. Furthermore, interest rate and inflation volatilities are not detrimental to investment growth, while exchange rate uncertainty has a substantial negative influence on corporate investment. Besides, macroeconomic uncertainty was found to be a greater disincentive for firms with irreversible investments than for firms with more easily reversible investment projects.

scholarly journals ANALYSIS OF THE INFLUENCE OF INTEREST RATE, EXCHANGE VALUE, WORLD GOLD PRICES, DOW JONES INDEX, AEX INDEX, DAX INDEX, AND SHANGHAI INDEX ON LQ45 INDEX IN INDONESIA STOCK EXCHANGE 2012 – 2018

2021 ◽  
Vol 7 (2) ◽  
pp. 135
Author(s):  
Andini Nurwulandari ◽  
Hasanudin Hasanudin ◽  
Ari Jatmiko Setiyo Budi
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Exchange ◽  
Negative Influence ◽  
Positive Influence ◽  
Gold Price ◽  
Jones Index ◽  
Exchange Value ◽  
The Interest Rate ◽  
Significant Positive Influence

<p><em>This research aims to find out the influence of interest rate, exchange rate, world gold price, Dow Jones Index, AEX Index, DAX Index, and Shanghai Index on the LQ45 Index at the Indonesia Stock Exchange from 2012 through 2018 using the ARCH/GARCH model as the method of analysis.  The result of the test shows that the exchange rate had a significant negative influence, Dow Jones Index, AEX Index, and DAX Index had a significant positive influence on the LQ45 index, while the interest rate and world gold price had a non-significant negative influence and the Shanghai Index had a non-significant positive influence on the LQ45 index.</em></p>

scholarly journals The Effects of Market and Macroeconomic Uncertainties on Corporate Investment Decisions in Nigeria

2021 ◽  
Vol 10 (4) ◽  
pp. 104-113
Author(s):  
Jonathan Oniovosa OSOSUAKPOR
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Investment Decisions ◽  
Corporate Investment ◽  
Exchange Rate Policy ◽  
Stock Market Volatility ◽  
Market Uncertainty ◽  
Corporate Investments ◽  
Exchange Rate Uncertainty ◽  
Significant Difference

In this paper, the effect of market and macroeconomic uncertainties on corporate investment decisions was examined using the real option investment theory. Two types of uncertainties were investigated: macroeconomic uncertainties (exchange, interest and inflation rates) and market uncertainty (stock market volatility) while corporate investments were measured as the sum of the changes in capital stock and depreciation. Data were obtained for the period 2005-2019 and the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) estimation technique was employed. The results showed a significant difference between the effects of macroeconomic and market uncertainties on corporate investment decisions. We found that macroeconomic uncertainty of inflation rate has positive relationship with corporate investments, with a coefficient of 0.35071, and interest rate uncertainty (0.15567) and exchange rate uncertainty (-0.07852) were also statistically significant, whereas the linear market uncertainty has a negative value of -0.00173 and the quadratic market uncertainty (0.00520) was statistically insignificant. Therefore, interest rate volatility and inflation expectations are not factors constraining investment growth; however, exchange rate uncertainty exerts a substantial negative influence on corporate investment in Nigeria. Given the findings, the study recommends, among others, an appropriate and stable exchange rate policy that makes for easy business planning and forecasting by rational investors. To achieve a stable exchange rate that would bring about increased investment, the government should implement efficient macroeconomic policies, such as those that minimize the structural rigidities in the economy.

Asymmetric Impact of Exchange Rate Volatility on Commodity Trade Between Pakistan and China

2020 ◽  
pp. 097215092091628
Author(s):  
Mohsen Bahmani-Oskooee ◽  
Ahmed Usman ◽  
Sana Ullah
Keyword(s):  
Exchange Rate ◽  
Linear Models ◽  
Exchange Rate Volatility ◽  
Trade Flows ◽  
Annual Data ◽  
Asymmetric Effects ◽  
Long Run ◽  
Short Run ◽  
Asymmetric Impact ◽  
Almost All

China is the largest trading partner of Pakistan. Therefore, it is very important to consider the trade flows between Pakistan and China and their response to rupee–yuan volatility. Previous research assumed that response of trade flows to measure of volatility is symmetric. In this study, our basic objective is to check whether the trade flows respond to volatility in a symmetric or asymmetric manner. Annual data over the period 1980–2018 for 14 Pakistani industries exporting to and 34 industries importing from China are analyzed. We find short-run asymmetric effects of exchange rate volatility in almost all industries that last into long-run asymmetric effects in 40–50 per cent of industries. Non-linear models yielded more significant effects of volatility than the traditional linear models.

Examining the Asymmetric Effects of Third-Country Exchange Rate Volatility on Pakistan–China Commodity Trade

2021 ◽  
pp. 2150008
Author(s):  
Ahmed Usman ◽  
Nicholas Apergis ◽  
Sofia Anwar
Keyword(s):  
Exchange Rate ◽  
Nonlinear Models ◽  
Exchange Rate Volatility ◽  
Annual Data ◽  
Commodity Trade ◽  
Asymmetric Effects ◽  
The Third ◽  
Asymmetric Impact ◽  
The Empirical Analysis ◽  
Country Effect

Keeping in view the idea of the third-country effect by Cushman, the analysis attempts to capture the asymmetric impact of third-country exchange rate volatility on Pakistan–China commodity trade. The empirical analysis is based on the annual data for 14 industries that export from Pakistan to China and 34 industries that import to Pakistan from China. The findings of the study confirm that nonlinear models generate more significant results both in the short and long runs. Moreover, the empirical findings suggest that the asymmetric assumption alone is not enough, and instead, we should use it along with the third economy effect.

Exchange-rate volatility and Malaysian-Thai bilateral industry trade flows

2017 ◽  
Vol 44 (1) ◽  
pp. 99-114 ◽  
Author(s):  
Muhammad Aftab ◽  
Karim Bux Shah Syed ◽  
Naveed Akhter Katper
Keyword(s):  
Exchange Rate ◽  
Bilateral Trade ◽  
Exchange Rate Regime ◽  
Exchange Rate Volatility ◽  
Negative Influence ◽  
Trade Flows ◽  
Extensive Literature ◽  
Content Type ◽  
Industry Trade ◽  
The Exchange Rate

Purpose After the fall of fix exchange rate regime in early 1970s, the nexus between the exchange rate volatility and trade flows has been of a great interest to the policy makers and researchers. Resultantly an extensive literature is available on the topic. However, the research findings are inconclusiveness so far. The purpose of this paper is to examine the exchange-rate volatility and bilateral industry trade link between the two important countries of Southeast Asia, i.e. Malaysia and Thailand. Design/methodology/approach This study employs Generalized Autoregressive Conditional Heteroskedasticity (GARCH) (1, 1) to measure exchange rate volatility and autoregressive distributed lag (ARDL) model to study the relationship between exchange rate volatility and trade flows. ARDL approach is suitable to accommodate the mix cases (i.e. stationary and first difference stationary). The paper considers 62 Malaysian exporting and 60 Malaysian importing industries with Thailand over the monthly period 2000-2013. Findings Findings suggest the influence of exchange-rate volatility on the trade flows in a limited number of industries. Large industries like instruments and apparatus experience negative influence from exchange-rate volatility. Originality/value Past literature continued to be inconclusiveness on the nexus between exchange-rate volatility and trade flows due to its over-reliance on the aggregated data. Besides, the past studies are more based on quarterly or yearly frequency data. These issues contribute to the aggregation bias. This research focusses on a country bilateral trade pair, using industry level disaggregated monthly data. Such research is rare in Malaysian-Thai bilateral trade context. This study uses a suitable estimation approach and also draws valuable implications.

scholarly journals The Effect of Exchange Rate Volatility on Economic Growth: Case of the CEE Countries

2020 ◽  
Vol 13 (8) ◽  
pp. 177
Author(s):  
Fatbardha Morina ◽  
Eglantina Hysa ◽  
Uğur Ergün ◽  
Mirela Panait ◽  
Marian Catalin Voica
Keyword(s):  
Economic Growth ◽  
International Trade ◽  
Exchange Rate ◽  
Fixed Effects ◽  
Exchange Rate Volatility ◽  
Real Effective Exchange Rate ◽  
Annual Data ◽  
Real Economy ◽  
The Exchange Rate ◽  
The Impact

The exchange rate is a key macroeconomic factor that affects international trade and the real economy of each country. The development of international trade creates conditions where volatility comes with the exchange rate. The purpose of this paper is to examine the effect of real effective exchange rate volatility on economic growth in the Central and Eastern European countries. Additionally, the effect, through three channels of influence on economic growth which vary on the measurement of exchange rate volatility, is examined. The study uses annual data for fourteen CEE countries for the period 2002–2018 to examine the nature and extends the impact of such movements on growth. The empirical findings using the fixed effects estimation for panel data reveal that the volatility of the exchange rate has a significant negative effect on real economic growth. The results appear robust with alternative measures of exchange rate volatility such as standard deviation and z-score. This paper suggests that policymakers should adopt different policies to keep the exchange rate stable in order to foster economic growth.

scholarly journals Exchange Rate Exposure and Firm Value: An Assessment of Domestic Versus Multinational Firms

2018 ◽  
Vol 23 (1) ◽  
pp. 51-77
Author(s):  
Hajra Ihsan ◽  
Abdul Rashid ◽  
Anam Naz
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Firm Value ◽  
Multinational Firms ◽  
Stock Exchange ◽  
Exchange Rate Volatility ◽  
Generalized Least Squares ◽  
Generalized Least Squares Estimator ◽  
Exchange Rate Exposure ◽  
The Impact

This paper examines the impact of exchange rate changes on the stock returns of 232 nonfinancial firms listed on the Pakistan Stock Exchange, for the period January 2000 to June 2014. To mitigate the problem of heteroskedasticity, we use a generalized least squares estimator. The estimated regression models indicate that exchange rate variations have a significant effect on firm value and that firms are exposed significantly to one-period lagged variation in the exchange rate. Our results suggest that, in addition to exchange rate dynamics, increased exchange rate volatility appears to have significant and negative effects on firms’ stock returns. Compared to domestic firms, multinational firms experience greater exchange rate exposure. Finally, we show that exchange rate depreciation and appreciation have significant differential effects on firms’ stock returns. These effects vary significantly across domestic and multinational firms.

scholarly journals STOCK RETURN ANALYSIS AND IMPLICATIONS IN COMPANY VALUE (PLASTIC AND PACKAGING COMPANIES LISTED IN IDX)

2020 ◽  
Vol 6 (7) ◽  
pp. 101-118
Author(s):  
Andrie Raditya Julianto ◽  
Afriapollo Syafarudin
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Significant Influence ◽  
Stock Return ◽  
Stock Exchange ◽  
Annual Data ◽  
Effect Analysis ◽  
United States Dollar ◽  
Company Value ◽  
Technical Factors

This study aims to analyze fundamental factors and technical factors that influence stock returns and their implications for company value in Indonesia Stock Exchange, sub sector plastic and packaging. Fundamental factors of financial ratios are return on assets (ROA), current ratio (CR), debt to equity ratio (DER), and price earnings ratio (PER) while the technical factors are the rupiah exchange rate using changes in value exchange rupiah (RP) against United States dollar (USD). This study used annual data for the observation period from 2010 to 2017. The sampling method used was Purposive Sampling, as the result 8 companies (64 samples) met the criteria and processed using E-views 9 program. The analytical method used in this study is panel data and multiple linear regression as a method of analysis and measurement of direct effect and indirect effect analysis. The results showed that ROA, CR, DER, and PER are having positive and insignificant influence on stock returns however the exchange rate has negative and significant influence on stock returns. ROA, DER, and PER are having positive and insignificant influence on company value however CR and exchange rates have a negative and insignificant effect on company value. Stock returns has positive and significant influence on company value. The examination of indirect effects showed stock return could be considered as an intervening variable to measure the influence of fundamental factors and technical factors to company value.

scholarly journals Impact De La Volatilité De Change Sur La Performance Financière Des Entreprises Cotées

2018 ◽  
Vol 14 (19) ◽  
pp. 1
Author(s):  
El Mehdi Mrhari ◽  
Driss Daoui
Keyword(s):  
Exchange Rate ◽  
Financial Performance ◽  
Linear Models ◽  
Stock Exchange ◽  
Exchange Rate Volatility ◽  
Managerial Implications ◽  
The Exchange Rate

The main objective of this article is to measure and analyze the exchange rate volatility impact on the financial performance of Moroccan companies listed on Casablanca Stock Exchange during the last decade. We used linear models to study a sample of 56 companies. This paper prove the link between Dirham volatility and the companies financial performance, however this relationship was weak. In addition, we discussed the causes of this phenomenon and its managerial implications.

scholarly journals Real exchange rate volatility and domestic consumption in Ghana

2018 ◽  
Vol 19 (5) ◽  
pp. 513-523 ◽  
Author(s):  
Bernard Njindan Iyke ◽  
Sin-Yu Ho
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Exchange Rate Volatility ◽  
Sub Saharan Africa ◽  
Annual Data ◽  
Alternative Measure ◽  
Domestic Consumption ◽  
Content Type ◽  
Long Run ◽  
Short Run

PurposeThis paper aims to examine the effects of exchange rate volatility on consumption by focusing on a small open sub-Saharan Africa (SSA) country, Ghana, which has experienced exchange rate volatility frequently.Design/methodology/approachThe authors used annual data covering the period 1980-2015, the annualised variance of the real exchange rate as a measure of exchange rate volatility and a technique that is able to separate short-run effects from long-run effects.FindingsThe authors found that exchange rate volatility has negative effects on domestic consumption in the short run, which is passed on as negative long-run effects. This conclusion is unaffected by an alternative measure of exchange rate volatility and the choice of lag restrictions.Research limitations/implicationsThe authors’ finding suggests that policymakers should seek to reduce or prevent exchange rate volatility by pursuing various policies including limiting foreign currency transactions within the country and promoting quality exports.Originality/valueThe extant studies have examined the effects of exchange rate volatility on consumption by considering countries in regions other than SSA. This paper focuses on a small open SSA country which has experienced exchange rate volatility frequently. Unlike most studies, this paper differentiates short-run effects from long-run effects.

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