scholarly journals The sensitivity of GCC firms’ stock returns to exchange rate, interest rate, and oil price volatility

2020 ◽  
Vol 17 (4) ◽  
pp. 35-50
Author(s):  
Mariam Alenezi ◽  
Ahmad Alqatan ◽  
Obby Phiri
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Returns ◽  
Price Volatility ◽  
Interest Rate Risk ◽  
Oil Price ◽  
Exchange Rate Risk ◽  
Oil Price Volatility ◽  
Gcc Countries ◽  
Rate Risk

This study seeks to investigate the sensitivity of stock returns to exchange rate, interest rate and oil price volatility in the Gulf Cooperation Council (GCC) countries. It employs both the multivariate ordinary least square (OLS) regression and the exponential generalized autoregressive conditional heteroscedastic in mean (EGARCH-M) models to analyse the data collected from Bloomberg and DataStream on the GCC countries (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and the United Arab Emirates) for the period January 2007 to June 2012. The study shows that stock returns in GCC countries are influenced by the exchange rate risk, interest rate risk and oil price risk. However, the exposure is highest for exchange rate risk and lowest for interest rate risk. While the effects of these risks were mixed, overall, exchange rate risk and oil price risk showed a positive and significant relationship as compared to the interest rate risk that showed a negative significant effect on firm values. The level of the effect of these risks also differed from country to country. Further, foreign operations and firm size had a significant influence on the extent of the firms’ exposure to all three risks. The study findings suggest that the volatility of stock returns affected by changes in the risk factors could indicate non-prioritisation of risk management by firms. This has implications in terms of consideration of the long-term exposure of firms to these three risks and thus, the need for effective risk management strategies.

scholarly journals Dependence Structures Between Sovereign Credit Default Swaps and Global Risk Factors in Brics Countries

2021 ◽  
Author(s):  
Prayer Rikhotso ◽  
Beatrice D. Simo-Kengne
Keyword(s):  
Risk Factors ◽  
Risk Factor ◽  
Exchange Rate ◽  
Price Volatility ◽  
Oil Price ◽  
Exchange Rate Risk ◽  
Global Risk ◽  
Brics Countries ◽  
Oil Price Volatility ◽  
Rate Risk

This study examined the tail dependency structure of sovereign credit risk and three global risk factors in BRICS countries using copulas approach, which is known for its ability to provide the “true” tail correlation based on the correct marginal distribution. The empirical results show that global market risk sentiment comoves with sovereign CDS spreads across BRICS countries under extreme market events, with Brazil having the highest co-dependency followed by China, Russia, and South Africa. Furthermore, oil price volatility is the second biggest risk factor correlated with sovereign CDS spreads for Brazil and South Africa while exchange rate risk exhibits very small co-dependence with sovereign CDS spreads under extreme market conditions dominated by tail events. On the contrary, exchange rate risk is the second largest risk factor co-moving with China and Russia’s sovereign CDS spreads while oil price volatility exhibits the lowest co-dependence to CDS in these countries. Between oil price and currency risk, evidence of single risk factor dominance is found for Russia where exchange rate risk is largely dominant. These results suggest that BRICS policymakers might consider financial sector regulations that mitigate risks spill-over such as targeted capital controls when markets are distressed.

scholarly journals Pengaruh Risiko Pasar terhadap Profitabilitas Perusahaan Subsektor Bank pada Bursa Efek Indonesia

2018 ◽  
Vol 7 (2) ◽  
pp. 197
Author(s):  
Nawir Mansyur
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Exchange ◽  
Financial Statements ◽  
Interest Rate Risk ◽  
Foreign Exchange Rate ◽  
Exchange Rate Risk ◽  
Rate Risk ◽  
Analysis Technique ◽  
Endogenous Variables

<em>This study aims to analyze the effect of interest rate risk and exchange rate risk on the profitability of the company sub-sector of the bank in Indonesia Stock Exchange (IDX). This study uses panel data from 24 bank financial statements from 2011-2014. The analysis technique uses path analysis with Smart PLS 3.0. Exogenous variables of interest rate risk and foreign exchange rate risk and endogenous variables are profitability. The results of the study found that interest rate risk positively and significantly affects the profitability and exchange rate risk negatively and significantly affects the profitability of the company sub-sector of the bank in Indonesia Stock Exchange</em>.

scholarly journals Modeling and Forecasting Gold Prices

2020 ◽  
Author(s):  
Richmond Sam-Quarm ◽  
Mohamed Osman Elamin Busharads
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Price Volatility ◽  
Gold Price ◽  
Oil Price ◽  
Future Market ◽  
Open Interest ◽  
Long Run ◽  
Short Run ◽  
Japanese Yen

The aim of this paper is to explore the reasons of gold price volatility. It analyses the information function of the gold future market by open interest contracts as speculation effect, and further fundamental factors including inflation, Chinese yuan per dollar, Japanese yen per dollar, dollar per euro, interest rate, oil price, and stock price, in the short-run. The study proceeds to build a Dynamic OLS model for long-run equilibrium to produce reliable gold price forecasts using the following variables: gold demand, gold supply, inflation, USD/SDR exchange rate, speculation, interest rate, oil price, and stock prices. Findings prove that in the short-run, changes in gold price does granger cause changes in open interest, and changes in Japanese yen per dollar does granger cause changes in gold price. However, in the long-run, the results prove that gold demand, gold supply, USD/SDR exchange rate, inflation, speculation, interest rate, and oil price are associated in a long-run relationship.References

scholarly journals Oil price volatility and stock returns in the G7 economies

2016 ◽  
Vol 54 ◽  
pp. 417-430 ◽  
Author(s):  
Elena Maria Diaz ◽  
Juan Carlos Molero ◽  
Fernando Perez de Gracia
Keyword(s):  
Stock Returns ◽  
Price Volatility ◽  
Oil Price ◽  
Oil Price Volatility
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