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 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.

MODELING THE INTERACTIONS OF STOCK PRICE AND EXCHANGE RATE IN MALAYSIA

2009 ◽  
Vol 54 (04) ◽  
pp. 605-619 ◽  
Author(s):  
MOHD TAHIR ISMAIL ◽  
ZAIDI BIN ISA
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Price Index ◽  
Composite Index ◽  
Regime Shifts ◽  
Var Model ◽  
Vector Autoregressive ◽  
Stock Price Index

After the East Asian crisis in 1997, the issue of whether stock prices and exchange rates are related or not have received much attention. This is due to realization that during the crisis the countries affected saw turmoil in both their currencies and stock markets. This paper studies the non-linear interactions between stock price and exchange rate in Malaysia using a two regimes multivariate Markov switching vector autoregression (MS-VAR) model with regime shifts in both the mean and the variance. In the study, the Kuala Lumpur Composite Index (KLCI) and the exchange rates of Malaysia ringgit against four other countries namely the Singapore dollar, the Japanese yen, the British pound sterling and the Australian dollar between 1990 and 2005 are used. The empirical results show that all the series are not cointegrated but the MS-VAR model with two regimes manage to detect common regime shifts behavior in all the series. The estimated MS-VAR model reveals that as the stock price index falls the exchange rates depreciate and when the stock price index gains the exchange rates appreciate. In addition, the MS-VAR model fitted the data better than the linear vector autoregressive model (VAR).

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.

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 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 Revisiting spillover effect: An empirical evidence from GARCH-ARMA approach

Industrija ◽  
2021 ◽  
Vol 49 (1) ◽  
pp. 67-80
Author(s):  
Huruta Dolfriandra ◽  
Andreas Hananto ◽  
Roberto Forestal ◽  
Anboli Elangovan ◽  
John Diaz
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Empirical Evidence ◽  
Stock Prices ◽  
Stock Price ◽  
Spillover Effect ◽  
Commodity Markets ◽  
Commodity Exchange ◽  
Daily Data ◽  
Positive Spillover

This study analyzes the spillover effect of markets' commodity, exchange rate, and stock price. Starting from July 1, 2009, the daily data to December 31, 2019, are conducted in our study. The GARCH-ARMA approach has been undertaken in this study. The results show that four pairs experience the unidirectional (positive) spillover effect of return. Yet, the spillover effect of volatility shows a two-way relationship (both positive and negative) between commodity markets, stock prices, and exchange rates. To conclude, both stock prices and gold are volatility's net transmitters to other markets, while the EURUSD market is some markets' net receiver of volatility.

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 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.

scholarly journals Penentu Harga Saham pada Perusahaan Terdaftar di Jakarta Islamic Index (JII)

2020 ◽  
Vol 17 (2) ◽  
Author(s):  
Ratna Ayu Widyastuti ◽  
Edi Susilo
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Secondary Data ◽  
Sampling Technique ◽  
Return On Equity ◽  
Index Stock ◽  
Program Version

The research objective is to analyze the effect of Return on Equity (ROE), Earning per Share (EPS), Inflation, and Exchange Rates on the Jakarta Islamic Index stock price, 2015-2018. This research is a quantitative study, using secondary data published on the Indonesia Stock Exchange. There are 45 companies listed on the JII index which are made population. The sampling technique used purposive sampling, and there were 17 companies sampled, based on the criteria. Data analysis used multiple linear regression, with the SPSS program version 20. The results of the study, the variable Return on Equity (ROE) and Earning per Share (EPS) partially had a positive and significant effect on stock prices, while the Inflation variable and the exchange rate partially has no effect on stock prices. Simultaneously, Return on Equity (ROE), Earning per Share (EPS), Inflation, and Exchange Rate affect stock prices.

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