Exchange Rate Fluctuations, Political Risk, and Stock Returns: Some Evidence from an Emerging Market

1995 ◽  
Vol 30 (4) ◽  
pp. 541 ◽  
Author(s):  
Warren Bailey ◽  
Y. Peter Chung
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Emerging Market ◽  
Political Risk ◽  
Exchange Rate Fluctuations

scholarly journals Exchange Rate, Gold Price, and Stock Market Nexus: A Quantile Regression Approach

Risks ◽  
2020 ◽  
Vol 8 (3) ◽  
pp. 86
Author(s):  
Rizwan Ali ◽  
Inayat Ullah Mangla ◽  
Ramiz Ur Rehman ◽  
Wuzhao Xue ◽  
Muhammad Akram Naseem ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Emerging Market ◽  
Empirical Relationship ◽  
Gold Price ◽  
Stock Market Performance ◽  
Regression Approach ◽  
The Exchange Rate

In this study, we examine an empirical relationship between stock market volatility with the exchange rate and gold prices of an emerging market, “Pakistan”, employing daily and monthly data (PSX-100 Index) covering from 2001: Q3 to 2018: Q2. The study explains the average stock returns by applying MGARCH. Further, it investigates that the volatility in the exchange rate (Rs/US $) and gold prices remain equally strong in bearish and bullish conditions of the stock market by using a quantile regression approach (2001–2018). Additionally, the sample period is divided into two split samples that cover (2001–2007) and (2008–2018) respectively, based on global financial crises and applied similar analysis. The overall results show the negative impact of the exchange rate and gold price volatility on the stock market performance daily (monthly), supporting the argument that the stock market considers the exchange rate and gold price fluctuations as an adverse indicator and reacts negatively.

scholarly journals Oil Prices and Firm Returns in an Emerging Market

2021 ◽  
Vol 24 (1) ◽  
pp. 166-187
Author(s):  
Esin Cakan ◽  
Sercan Demiralay ◽  
Veysel Ulusoy
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Returns ◽  
Information Diffusion ◽  
Emerging Market ◽  
Oil Prices ◽  
Nominal Exchange Rate ◽  
Oil Price ◽  
Firm Level ◽  
Level Data

This study examines the oil price effect on Turkish stock market as an emerging country on firm level data. After controlling short term interest rate, nominal exchange rate and crude oil price, we find that firms behave differently to a change in oil prices. The findings include these: i) variations in oil prices do not significantly affect Turkish firm returns. Out of 153, only 38 firms are affected significantly by oil price after controlling exchange rate and interest rate; ii) oil prices influence stock returns of Turkish firms, suggesting that under reaction and gradual information diffusion hypotheses may hold. iii) small and middle-sized firms are more affected negatively from oil price changes, where large-sized firms affected more positively. The empirical findings of this study have potential implications and offer significant insights for both practitioners and policy makers.

scholarly journals Asymmetric Exchange Rate Exposure - Research in Southeast Asian Countries

2017 ◽  
Vol 4 (2) ◽  
pp. 262-279
Author(s):  
Minh Thi Hong Le ◽  
Ha Thi Cam Huynh ◽  
Hong Thi Thu Dinh ◽  
Minh Thi Hong Le ◽  
Ha Thi Cam Huynh ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Panel Data ◽  
Stock Returns ◽  
Real Exchange Rates ◽  
Currency Depreciation ◽  
Exchange Rate Fluctuations ◽  
Exchange Rate Exposure ◽  
The Exchange Rate ◽  
Net Export ◽  
The Impact

The study aims to analyse the impact of exchange rate exposure on stock returns in six countries representative of Southeast Asia, including Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam from 2009 to 2014. Both nominal and real exchange rates are taken into account for evaluating exchange rate fluctuations via panel data. In order to achieve this goal, a panel regressive estimation approach is proposed in which a GLS model is firstly used to treat heteroscedasticity in the panel data and, then, a GMM estimator is employed to ensure the consistency of the estimates. The results point out that the exchange rate exposure of these countries is asymmetric. At market level, for a rise in the exchange rate (or local currency depreciates), the average stock returns tend to decrease. However, due to the favourable impact of currency depreciation on the net export position, the reduction speed of stock returns is faster than the rising speed of the exchange rate.

scholarly journals Financial Development, Exchange Rate Fluctuations and Debt Dollarization

2019 ◽  
Vol 19 (168) ◽  
Author(s):  
Minsuk Kim
Keyword(s):  
Exchange Rate ◽  
Financial Development ◽  
Emerging Market ◽  
Exchange Rate Volatility ◽  
Portfolio Allocation ◽  
Allocation Model ◽  
Exchange Rate Fluctuations ◽  
Private Credit ◽  
Currency Composition ◽  
Nonfinancial Firms

This paper examines how financial development influences the debt dollarization of nonfinancial firms in a sample of emerging market economies (EMEs). The macroeconomic channels are identified from an optimal portfolio allocation model and assessed empirically using the accounting information of nonfinancial firms from 21 EMEs during 2009–2017. The results show that financial development, measured by the private credit-to-GDP ratio, mainly reduces the influence of exchange rate volatility in determining a firm's debt currency composition, among other channels. Furthermore, the effect of exchange rate volatility becomes statistically insignificant beyond an estimated threshold credit-to-GDP ratio of 100 percent.

Macroeconomic factors and stock returns: Evidence from the emerging market of Asia

2018 ◽  
Vol 5 (3) ◽  
pp. 16-20
Author(s):  
Muhammad Asad Saleem Malik ◽  
Saher Touqeer ◽  
Shumaila Zeb
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Negative Impact ◽  
Positive Impact ◽  
Emerging Market ◽  
Consumer Price Index ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Significant Negative Impact ◽  
The Impact

This study examines the impact of macroeconomic variables on stock returns of Pakistan, India and Sri Lanka for the period of 1997-2014. GMM approach is used to analyze the impact of macroeconomic variables on stock returns. Variables of the study were T-Bills, Exchange Rate, Consumer Price Index (CPI) and the Industrial Production Index (IPI). The results of study show that T-bills rate has significant negative impact while Exchange rate has a significant positive impact on the Stock Returns of the study period.

Welchen Einfluss hat der Wechselkurs auf die internationale Rolle von US-Dollar und Euro?

2009 ◽  
Vol 10 (1) ◽  
pp. 21-38
Author(s):  
Hermann Remsperger ◽  
Adalbert Winkler
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Emerging Market ◽  
Exchange Rate Flexibility ◽  
Exchange Rate Fluctuations ◽  
Inflation Differentials ◽  
International Currencies ◽  
International Role ◽  
The Impact

AbstractThis article analyses the impact of the exchange rate on the role of dollar and euro as international currencies. It is found that exchange rate fluctuations are a major determinant of the international role of currencies only if they reflect sizeable inflation differentials. Accordingly, major changes in the international role of dollar and euro are not to be expected given the continuation of a stability-oriented US monetary policy. However, a move towards more exchange rate flexibility in emerging market economies, reflecting the need for greater monetary policy autonomy, might lead to a relative strengthening of the international role of the euro. 38 C

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