scholarly journals Impact of Exchange Rate Volatility to Stocks’ Return in Indonesia: The Augmented Markov-Switching Egarch Approach

2020 ◽  
Vol 21 (2) ◽  
pp. 161-173
Author(s):  
Wasiaturrahma Wasiaturrahma ◽  
Dita Normalaksana Putri ◽  
Shochrul Rohmatul Ajija
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Foreign Exchange Market ◽  
Markov Switching ◽  
High Volatility ◽  
Volatility Regimes ◽  
The Exchange Rate ◽  
Exchange Rate Changes

The stock price is one indicator that represents the economic performance in a country. Changes in stock prices, including various factors, as an example, is the exchange rate changes as the representation from the foreign exchange market. The fluctuating exchange rate price also influences the volatility of the stock price. Furthermore, volatility has different high and low regime stages that will cause a disparate impact on the outcome of the relationship changes. This study aims to examine the presence of asymmetric volatility and its effects on the volatility of LQ45 stock returns, as well as the changes in exchange rates of Rupiah against USD from 1997 to 2017. Using the Augmented Markov Switching EGARCH  approach,  the  results  of  this  study  indicate  an  asymmetric  behavior  in  the  volatility  of LQ45 stock returns. High volatility regimes are more dependent and more unstable than low volatility regimes, and low volatility regimes dominate the duration compared to the high volatility regime. The good and bad news give different impact on LQ45 stock return volatility and exchange rate changes. Moreover, the unstable economies will respond faster than the stable economies in terms of facing the exchange rate changes.

scholarly journals Recent Comovements of the Yen-US Dollar Exchange Rate and Stock Prices in Japan

2015 ◽  
Vol 1 (2) ◽  
pp. 19
Author(s):  
Chikashi Tsuji
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Var Models ◽  
Dollar Exchange Rate ◽  
The Past ◽  
Us Dollar ◽  
The Exchange Rate ◽  
Exchange Rate Changes

<p>This paper examines the recent relations of the yen/US dollar exchange rate and stock prices in Japan. Using bivariate Bayesian Vector Autoregressive (VAR) models, we derive several interesting findings as follows. First, 1) our analyses by Bayesian VAR models clarify that recently, the daily lags of the yen/dollar exchange rate series statistically significantly explain the evolution of the Nikkei 225, Nikkei 500, Japan Securities Dealers Association Quotation (JASDAQ), and Tokyo Stock Price Index (TOPIX) Core 30 stock index prices in Japan. Second, 2) our impulse response analyses reveal that Japanese stock prices clearly respond to the yen/dollar exchange rate changes in the recent years whilst the exchange rate changes little respond to the stock prices in Japan. As above our results demonstrate, recently, the past yen/dollar exchange rate time-series much more affect the evolution of the Japanese stock prices whilst the past Japanese stock price series little affect the yen/dollar exchange rate changes. Moreover, 3) analyzing the time-varying correlation coefficients between the yen/dollar exchange rate changes and Japanese stock returns, we also find the large increases in the contemporaneous correlations between the exchange rate and stock returns in the recent years in Japan.</p>

scholarly journals The Role of Exchange Rates in the Stock Price Development of Chemical Companies in the Visegrad Four Countries

2019 ◽  
Vol 22 (3) ◽  
pp. 117-129
Author(s):  
Jana Šimáková ◽  
Nikola Rusková
Keyword(s):  
Exchange Rate ◽  
Pharmaceutical Industry ◽  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchanges ◽  
The Exchange Rate ◽  
Chemical Companies ◽  
The Empirical Analysis

The aim of the paper is to evaluate the effect of exchange rates on the stock prices of companies in the chemical industry listed on the stock exchanges in the Visegrad Four countries. The empirical analysis was performed from September 2003 to June 2016 on companies from the petrochemical and pharmaceutical industry. The effect of the exchange rate on stock prices is analyzed using Jorion’s approach on monthly data. In contrast to the selected petrochemical companies, the pharmaceutical companies did not use any hedging instruments in the tested period. The effect of the exchange rate on the stock price was proved only in the case of companies from the pharmaceutical industry. This suggests that exchange rate risk could be eliminated by using hedging instruments.

scholarly journals The Stock Market and Exchange Rates in Five South Asian Countries

2017 ◽  
Vol 18 (1) ◽  
pp. 102 ◽  
Author(s):  
Firmansyah Firmansyah ◽  
Shanty Oktavilia
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Stock Market ◽  
Exchange Rates ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Return ◽  
The Philippines ◽  
Short Run ◽  
The Exchange Rate

The composite price index and return of stocks are the important indicators, both as a measure of the company's portfolio performance, as well as an indicator of macroeconomic health and the aggregate investment. In addition, the stock prices are also influenced by macroeconomic variables and one of the most important is the exchange rates. The objective of this study is to determine the behavior of exchange rate affects the stock returns in Southeast Asia, pre and post of the 2008 world financial crisis. By employing the daily stock market return in Indonesia, Malaysia, the Philippines, Thailand, and Singapore more than seventeen years from 1 September 1999 to 31 March 2017, this study utilizes Engle-Granger error correction model and cointegration approach to investigate and compare the long and short run of the structural effect of the exchange rates on stock returns. To differentiate the behavior of variables between pre and post occurrence of 2008 world financial crisis, the estimation of the model is divided into two periods. This study finds that the exchange rate growth influence the stock returns in the long and short run, and proves that the cointegration between the two variables exist in all countries. The study has the implication that the exchange rate, which the one of the fundamental measures of a country's macroeconomic health, is an important determinant of influencing stock return, even its effects are responded by the stock return in one day.

Asymmetric impact of exchange rate changes on stock returns: evidence of two de facto regimes

2019 ◽  
Vol 19 (2) ◽  
pp. 147-173
Author(s):  
Walid M.A. Ahmed
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Prices ◽  
Spillover Effects ◽  
Content Type ◽  
Currency Depreciation ◽  
Long Run ◽  
Exchange Rate Changes

Purpose This study focuses on Egypt’s recent experience with exchange rate policies, examining the existence of spillover effects of exchange rate variations on stock prices across two different de facto regimes and whether these effects, if any, are asymmetric. Design/methodology/approach The empirical analysis is carried out using a nonlinear autoregressive distributed lag modeling framework, which permits testing for the presence of short- and long-run asymmetries. Relevant local and global factors are also included in the analysis as control variables. The authors divide the entire sample into a soft peg period and a free float one. Findings Over the soft peg regime period, both positive and negative changes in EGP/USD exchange rates seem to have a significant impact on stock returns, whether in the short or long run. Short-term asymmetric effects vanish in the free float period, while long-term asymmetries continue to exist. By and large, the authors find that currency depreciation tends to exercise a stronger influence on stock returns than does currency appreciation. Practical implications The results offer important insights for investors, regulators and policymakers. With the domestic currency depreciation having a negative impact on stock prices, investors should contemplate implementing appropriate currency hedging strategies to abate depreciation risks and, hence, preserve their expected rate of return on the Egyptian pound-denominated investments. In the current post-flotation era, the government could pursue a flexible inflation targeting monetary policy framework, with a view to both lowering the soaring inflation toward an announced target rate and stabilizing economic growth. The Central Bank of Egypt (CBE) could adopt indirect monetary policy instruments to secure tightened liquidity conditions. Besides, the CBE could raise policy rates to incentivize people to keep their money in local currency-denominated instruments, instead of dollarizing their savings, thereby relieving banks of foreign currency demand pressures. Nevertheless, while being beneficial to the country’s real economy on several aspects, such contractionary monetary measures may temporarily impinge on stock market performance. Accordingly, policymakers should consider precautionary measures that reduce the potential for price distortions and unnecessary volatility in the stock market. Originality/value To the best of the authors’ knowledge, the current study represents the first attempt to explore the potential impact of exchange rate changes under different regimes on Egypt’s stock market, thus contributing to the relevant research in this area.

scholarly journals PENGARUH INFLASI, SUKU BUNGA DAN NILAI TUKAR RUPIAH TERHADAP HARGA SSAHAM PERUSAHAAN SEKTOR PROPERTI DAN REAL ESTATE YANG TERCATAT DI BURSA EFEK INDONESIA

2018 ◽  
Vol 6 (1) ◽  
Author(s):  
Fitri Ramadani
Keyword(s):  
Exchange Rate ◽  
Data Analysis ◽  
Interest Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Least Square ◽  
Ordinary Least Square ◽  
Analysis Techniques ◽  
Negative Effect ◽  
The Exchange Rate

Thepurpose of this research is to knowthe influence of inflation,interestrates, and the exchange rate of the rupiah against the stock price. This research wasconducted on 30 companies secto rproperty and real estatelisted onthe IndonesiastockexchangePeriod 2012 – 2014. Data analysis techniques used in research namely OLS (Ordinary Least Square)through the help of multiple software SPSS version 18.0. Research results indicate that simultaneous inflation, interest rates, the rupiah exchanger ateand effect on stock prices. Research partially indicate that inflation is not a negative and apositive effect against the stock price, while the negative effect of interest rates significantly to the stock price and the exchange rate of rupiah apositive significant effect against the stock price.

scholarly journals EFFECT OF RETURN ON EQUITY (ROE), DEBT TO EQUITY RATIO (DER) AND EXCHANGE RATE ON STOCK PRICE PT. INDOFOOD SUKSES MAKMUR TBK

2019 ◽  
pp. 1-9
Author(s):  
LC Anang Zamiarto ◽  
Suharto Suharto ◽  
Budhi Suparningsih
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Return On Equity ◽  
Equity Ratio ◽  
The Exchange Rate

This study aimed to determine the effect of return on equity (ROE), debt to equity ratio (DER), the exchange rate on stock prices either partially or simultaneously. Data were taken from 2008 to 2016. The data were analyzed using with regression. The results showed that in partial return on equity (ROE), debt to equity ratio (DER) effect on stock prices and exchange rates partially no effect on stock prices. Variable return on return on equity (ROE), debt to equity ratio (DER) and the exchange rate simultaneously positive and significant effect on the stock price.

IMPACT OF EXCHANGE RATE FLUCTUATIONS ON PHARMACEUTICAL INDUSTRIES STOCK PRICES IN INDIA

2016 ◽  
Vol 12 (1) ◽  
Author(s):  
Roshan Kumar ◽  
Dr. Manisha Gupta
Keyword(s):  
Exchange Rate ◽  
Pharmaceutical Industry ◽  
Stock Prices ◽  
Stock Price ◽  
Foreign Exchange Market ◽  
Foreign Currency ◽  
Domestic Currency ◽  
Pharmaceutical Sector ◽  
Pharmaceutical Industries ◽  
The Government

Exchange rate is parameter to measure the International competition between the different countries. It is also known as index of competitiveness of currency of any country and an inverse relationship between this index and competitiveness exists. An exchange rate has two important component, the domestic currency and a foreign currency and it can be represent by the directly or indirectly. In the first way the price of a unit foreign currency is represent in terms of the domestic currency. In indirect way, the price of a unit of domestic currency is representing in terms of the foreign currency. The foreign exchange market is the place where the currency of one country is exchanged for that another country where the rate of exchange is determined. The Indian pharmaceutical industry currently occupies the top position among science based industries. Indian pharma industry is organized sector and it has to be total market value of 4.5 US billion dollars. It growth rate is near about 8% to10% per annum. The Indian pharmaceutical sector is highly structured with Approx 20,000 units. It market capitalization is expected to grow to US$ 85 billion by the year 2020. The purpose of this paper is to investigate the exchange rate exposure of pharmaceutical Industry in india.For this stock price of selected companies (Yearly and exchange rate data) are taken from the government websites. The time periods are taken from 2003 to 2013. The result indicate that weaken rupee has significant positive relationship with pharmaceutical sector.

Stock prices and macroeconomic information in Ghana: speed of adjustment and bi-causality analysis

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Isaac Cliford Queku ◽  
Seth Gyedu ◽  
Emmanuel Carsamer
Keyword(s):  
Exchange Rate ◽  
Money Supply ◽  
Stock Prices ◽  
Stock Price ◽  
Market Reaction ◽  
Monthly Data ◽  
Content Type ◽  
Speed Of Adjustment ◽  
Macroeconomic Information ◽  
The Exchange Rate

PurposeThe purpose of the paper is to investigate the causal relationships and speed of adjustment of stock prices to changes in macroeconomic information (MEI) in Ghana from 1996 to 2018 using monthly data. The paper seeks to conduct the investigation at individual MEI level rather than the composite MEI.Design/methodology/approachQuantitative approach was used in this paper. Monthly data span of 1996–2018 was used. The delay and half-life technique was used to determine the speed with which the information resulting from the changes in the macroeconomic are evident in the stock price. Thereafter, Toda–Yamamoto Granger no-causality approach was used to examine the causal relationship amongst variables.FindingsThe paper revealed that although the market adjustment to MEI has improved, the speed is till slow. The exchange rate exhibited the slowest speed in respect of the market reaction while the market reaction to money supply was the fastest. Toda–Yamamoto Granger no-causality estimation also revealed a bi-directional causality between MEI (gross domestic product, interest rate and money supply) and stock price and uni-directional relationship flowing from MEI (the exchange rate and foreign direct investment) to stock price. The paper also found no causality between inflation and stock price.Research limitations/implicationsThe findings although revealed improved level of market efficiency in comparison with the earlier data, the speed of adjustment is still undesirable. Rigorous approach should be adopted for the implementation of major reforms such as alternative market so as to increase the number of share listing and to increase the scope of investors' participation to enhancing trading volume and marketability and ultimately speed up information diffusion.Practical implicationsThe practical implication of the low level of information processing rate of Ghana Stock Exchange (averagely more than a month) is that astute investors and market analysts could employ MEI to outperform the market prior to their infusion onto the stock market.Originality/valueThis study is one of the few studies in the Ghanaian literature that has extended the investigation of the speed of adjustment beyond composite or aggregate macroeconomic level estimation to estimation at individual variable level. This contribution is very relevant since each macroeconomic variable has unique characteristics and require specific policy framework, it is important to consider the speed of adjustment from the perspective of each of the individual variables.

scholarly journals Seasonal and public holiday effects in the commercial rand/dollar exchange rate during the period 1984-1995

1997 ◽  
Vol 28 (1) ◽  
pp. 6-14
Author(s):  
D. N. Greshnev ◽  
E. V.D.M. Smit
Keyword(s):  
Exchange Rate ◽  
Financial Markets ◽  
Foreign Exchange Market ◽  
Seasonal Effects ◽  
Seasonal Patterns ◽  
Dollar Exchange Rate ◽  
The Exchange Rate ◽  
Exchange Rate Changes ◽  
Holiday Effects ◽  
Daily Changes

The aim of the research is to extend the existing research into seasonalities in financial markets to the South African foreign exchange market to determine whether any of the known seasonal patterns are present in daily changes in the commercial S.A. rand/U.S. dollar exchange rate over the 11-year period, 1984 to 1995. Only statistically significant seasonal patterns in findings in the exchange rate changes for January versus other non-turn-of-the-month days effect are demonstrated. Contrary to the findings for the the mean daily changes, the volatility of the exchange rate demonstrates persistent and statistically significant seasonal anomalies for nearly all of the examined seasonal effects. A number of popular theories offering explanation of the seasonal regularities in the financial markets are offered as possible explanations for the findings.

scholarly journals PENGARUH EKONOMI MAKRO TERHADAP INDIKATOR PERGERAKAN (INDEKS) HARGA SAHAM

2020 ◽  
Vol 32 (02) ◽  
pp. 134-144
Author(s):  
Yusup Hari Subagya
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
Significance Level ◽  
Stock Price Index ◽  
The Exchange Rate

The purpose of this research activity is to find out how the macroeconomic influence on the indicators of movement (index) of stock prices on the IDX. The research method uses multiple linear regression analysis and in the form of quantitative descriptive data, sampling with a sampling technique in the form of purposive sampling from publication data from 2009-2019. The results showed that inflation and interest rates have a significant effect on the stock price index on the Indonesia Stock Exchange, inflation with a significance level of 0.007 < 0.05 for the interest rate with a significance level of 0.000 < 0.05 and the exchange rate with a significance level of 0.126 > 0 , 05 then the exchange rate has no significant effect on the stock price index on the Indonesia Stock Exchange. Simultaneously, inflation, interest rates and exchange rates have a significant effect on the stock price index on the Indonesia Stock Exchange.

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