The Effect of Mandated Market Risk Disclosures on Trading Volume Sensitivity to Interest Rate, Exchange Rate, and Commodity Price Movements

2002 ◽  
Vol 77 (2) ◽  
pp. 343-377 ◽  
Author(s):  
Thomas J. Linsmeier ◽  
Daniel B. Thornton ◽  
Mohan Venkatachalam ◽  
Michael Welker
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Trading Volume ◽  
Foreign Currency ◽  
Market Risk ◽  
Currency Exchange ◽  
Currency Exchange Rates ◽  
Volume Sensitivity ◽  
Market Risk Disclosures ◽  
Risk Disclosures

We hypothesize that firms' 10-K market risk disclosures, recently mandated by SEC Financial Reporting Release No. 48 (FRR No. 48), reduce investors' uncertainty and diversity of opinion about the implications, for firm value, of changes in interest rates, foreign currency exchange rates, and commodity prices. We argue that this reduced uncertainty and diversity of opinion should dampen trading volume sensitivity to changes in these underlying market rates or prices. Consistent with this hypothesis, we find that after firms disclose FRR No. 48-mandated information about their exposures to interest rates, foreign currency exchange rates, and energy prices, trading volume sensitivity to changes in these underlying market rates and prices declines, even after controlling for other factors associated with trading volume. The observed declines in trading volume sensitivity are consistent with FRR No. 48 market risk disclosures providing useful information to investors.

Sparseness and Roughness of Foreign Exchange Rates

1998 ◽  
Vol 09 (05) ◽  
pp. 711-719 ◽  
Author(s):  
N. Vandewalle ◽  
M. Ausloos
Keyword(s):  
Phase Diagram ◽  
Brownian Motion ◽  
Exchange Rates ◽  
Foreign Currency ◽  
Foreign Exchange Rates ◽  
Wide Region ◽  
Currency Exchange ◽  
Currency Exchange Rates ◽  
Roughness Exponent ◽  
Component C

An accurate multiaffine analysis of 23 foreign currency exchange rates has been performed. The roughness exponent H1 which characterizes the excursion of the exchange rate has been numerically measured. The degree of intermittency C1 has been also estimated. In the (H1,C1) phase diagram, the currency exchange rates are dispersed in a wide region around the Brownian motion value (H1=0.5,C1=0) and have a significantly intermittent component (C1≠0).

scholarly journals Pengaruh Inflasi, Suku Bunga, Nilai Tukar Valas Dan Jumlah Uang Beredar Terhadap Profitabilitas Pada Perbankan Syariah Di Indonesia Periode 2005-2009

2012 ◽  
Vol 3 (2) ◽  
pp. 147 ◽  
Author(s):  
Desi Marilin Swandayani ◽  
Rohmawati Kusumaningtias
Keyword(s):  
Interest Rates ◽  
Foreign Currency ◽  
Linear Regression Analysis ◽  
Predictive Ability ◽  
Multiple Linear Regression Analysis ◽  
Islamic Banking ◽  
Test Results ◽  
The Public ◽  
Currency Exchange ◽  
Currency Exchange Rates

Islamic finance quality show that performance improved, as indicated by the growing share of financing for the results of mudharabah and musyarakah. This study was conducted to examine the effect of macro economic indicators as measured by inflation, interest rates, foreign currency exchange rates and money supply to the ROA of Islamic Banking in Indonesia. Data analysis techniques used in this study is multiple linear regression analysis. F test results showed that simultaneous independent variables affect ROA. While the results of t tests showed that the inflation variable showed no significant effect on ROA. This is because, when inflation is high then the public more confidence in the Islamic banking compared with conventional banking. Predictive ability of four variables on ROA in this study by 19.8%, while the remaining 80.2% influenced by other factors that are not included in the research model.

scholarly journals Pengaruh Faktor Internal dan Faktor Eksternal Terhadap Nilai Perusahaan

2020 ◽  
Vol 30 (6) ◽  
pp. 1397
Author(s):  
Made Sukma Prasitadewi ◽  
I Nyoman Wijana Asmara Putra
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Firm Value ◽  
Dividend Policy ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
Manufacturing Companies ◽  
Currency Exchange ◽  
Currency Exchange Rates ◽  
Negative Effect

The purpose of this study was to determine the effect of profitability, dividend policy, funding decisions, inflation, interest rates and currency exchange rates. This study took a sample of manufacturing companies listed on the Indonesia Stock Exchange in the period 2016-2018. The technique used in this research is multiple linear regression analysis. based on the results of the analysis of this study proves that profitability has a positive effect on firm value. Dividend policy does not affect the value of the company. Funding decisions negatively affect the value of the company. Inflation has a negative effect on firm value. Interest rates have a negative effect on firm value. Currency exchange rates have a negative effect on company value. Keywords: Profitability; Dividend Policy; Funding Decision; Inflation; Interest Rates; Currency Exchange Rates.

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