scholarly journals Financial Market Integration in Pakistan: Evidence Using Post-1999 Data

2006 ◽  
Vol 45 (4II) ◽  
pp. 1041-1053
Author(s):  
Ahmed M. Khalid ◽  
Gulasekaran Rajaguru
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Stock Prices ◽  
Market Integration ◽  
Multinational Firms ◽  
Academic Research ◽  
Balance Model ◽  
Goods Market ◽  
Pass Through

The recent wave of financial sector reforms and internationalisation in emerging markets has increased perceived interlinkages within various sectors of national financial markets. For example, the existence of a strong linkage between stock prices and exchange rates is a popular topic in academic research. Similarly, changes in stock prices and exchange rates are expected to influence movements in interest rates. A number of hypotheses suggest such a causal relationship. For instance, using a goods market approach, any changes in the value of currency would affect the competitiveness of multinational firms and hence influence stock prices [Dornbusch and Fischer (1980)]. Similarly, the hypotheses of ‘exchange rate pass-through’ and ‘interest rate pass-through’ suggest that changes in exchange rates and/or interest rates could affect stock prices. The portfolio balance model suggests that fluctuations in stock prices influence exchange rate changes.

scholarly journals Pengaruh Tingkat Suku Bunga, Inflasi Dan Nilai Kurs Terhadap Harga Saham Perusahaan Perhotelan Yang Terdaftar Di Bursa Efek Indonesia Per Triwulannya Periode 2016-2018

2021 ◽  
Vol 4 (2) ◽  
pp. 871-877
Author(s):  
Rahmat Dewa Bagas Nugraha ◽  
H.M Nursito
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Quantitative Study ◽  
Stock Prices ◽  
Stock Exchange ◽  
Secondary Data ◽  
Ratio Analysis ◽  
The Interest Rate

This study aims to determine and analyze the factors that affect stock prices through appropriate ratio analysis. As for the ratio of interest rates, inflation and exchange rates. Researchers want to know and analyze the effect partially or simultaneously between interest rates, inflation, and exchange rates on stock prices. This research is a quantitative study using secondary data. The object of this research is hotel companies listed on the Indonesia Stock Exchange for the period 2016-2018. The sample used in this study were 3 hotel with certain characteristics. The results of research simultaneously using the F test show that there is no influence between interest rates, inflation and exchange rates on stock prices because the calculated value is smaller than the table. Partially with the t test it can be concluded that there is no influence between interest rates on stock prices because the tcount value in the interest rate variable is smaller than the t table. Likewise, the t calculation of inflation and the exchange rate is smaller than the t table, so that there is no partial effect of the two variables on stock prices. Keywords: Stock Prices, Interest Rates, Inflation and Exchange Rates

scholarly journals DETERMINANTS OF EXCHANGE RATE: A REVIEW BASED STUDY

2019 ◽  
pp. 47-52
Author(s):  
Divya Nandrajog
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Secondary Data ◽  
Balance Model ◽  
Current Account Balance ◽  
Suitable Model ◽  
Macroeconomic Factors ◽  
Perfect Model ◽  
Exchange Rate Movements

Purpose: The study aims to find out the suitable model for exchange rate determination and economic variables which affect movement of exchange rates by reviewing available studies. Design/ methodology/ approach: The study is descriptive and is entirely based on secondary data. Findings: There is no one perfect model which can determine exchange rate movements. Inflation, interest rates, money supply, current account balance, oil prices are among the macroeconomic variables and currency order flow is microeconomic variable which affect exchange rates. KEY WORDS: Exchange rate, monetary model, portfolio balance model, IRPT model,PPP model, macroeconomic factors, macroeconomic & microstructure factors.

scholarly journals ANALISIS HUBUNGAN KAUSALITAS ANTARA TINGKAT SUKU BUNGA,TINGKAT INFLASI, DAN HARGA SAHAM DENGAN KURS RUPIAH TERHADAP DOLAR AMERIKA SERIKAT DI INDONESIA

2019 ◽  
Vol 1 (2) ◽  
pp. 571
Author(s):  
Resti Junia Sari ◽  
Sri Ulfa Sentosa
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Causal Relationship ◽  
Stock Prices ◽  
Causal Relation ◽  
United States Dollar ◽  
Exchange Rate Movements ◽  
The Exchange Rate

The aim of this study is to see and analyze the relationship of causality between:1. The interest rate with IDR (Indonesian Rupiah) towards USD (United States Dollar). (2) the inflation rate with IDR towards USD (3) The stock prices with IDR towards UDS.This study was conducted by using qualitative with descriptive and associative, where the data was used secondary data in the form of time series from the year 2006, first quarter to the year 2016 first quarter that was obtained from the relevant institutions. To analyze the data, this study have used vector autoregressive (VAR) in order to see the relation between casuallity and variable.The finding has shown that the exchange rate and interest rate do not have a causal relationship rather than a unidirectional correlation, it means thatthe exchange rates ,both it is high or low, have no influence to interest rates  however the interest rates will give an effect to exchange rate movements. Moreover, the exchange rates as well as the inflation do not have a causal relationship even one-way relationship, thus the changes in inflation have no effects to exchange rate movements and vice versa. While the exchange rates along with stock prices do not have a causal relation but stock prices have a one-way connection with the exchange rate. By this, the exchange rate movements do not have a relation with stock price movements but movements in stock prices have a relation to exchange rate movements.

Oil price, exchange rate and stock price in Nigeria: Fresh insights based on quantile ARDL model

2021 ◽  
pp. 59-79
Author(s):  
Emmanuel Uche ◽  
Lionel Effiom
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Spillover Effects ◽  
Oil Price ◽  
Ardl Model ◽  
Conditional Mean ◽  
Pass Through ◽  
The Impact

The pass-through of oil price to various macroeconomic aggregates, including the exchange rates and stock prices have been vigorously studied in the past albeit varying submissions. More so, these studies considered the relationship only within the conditional mean. To pro-vide fresh insights about the heterogeneous impacts, this study re-examines the dynamic pass-through of international oil prices to exchange rates and stock prices in Nigeria using the Quantile ARDL model. The quantile ARDL accounts for locational asymmetries among varia-bles. Findings indicate that the spillover effects of oil price shocks on both the exchange rate and stock prices in Nigeria are heterogeneous and differ significantly across the quantile dis-tributions of the foreign exchange and stock markets. The impact increases over time with greater impacts recorded at quantiles below the median. On this background, specific policies targeting the peculiar effects at each quantile of exchange rate and stock prices will ensure op-timal performance leading to higher returns to investors and market practitioners.

scholarly journals PENGARUH VARIABEL MAKRO EKONOMI TERHADAP HARGA SAHAM DENGAN PROFITABILITAS SEBAGAI VARIABEL INTERVENING PADA PERUSAHAAN MANUFAKTUR DI BURSA EFEK INDONESIA

2020 ◽  
pp. 247259
Author(s):  
Kornel Munthe ◽  
Caisar J Harefa
Keyword(s):  
Exchange Rate ◽  
Gross Domestic Product ◽  
Exchange Rates ◽  
Interest Rates ◽  
Stock Prices ◽  
Stock Exchange ◽  
Secondary Data ◽  
Total Sample ◽  
Domestic Product ◽  
Manufacturing Companies

The purpose of this study is to influence the effect of exchange rates, interest rates, inflation and Gross Domestic Product on stock prices with profitability as an intervinig variable in manufacturing companies on the Indonesia Stock Exchange. This type of research is explanatory. The population in this study were all manufacturing companies listed on the Indonesia Stock Exchange as many as 159 companies with a total sample of 61 companies. The type of data used is secondary data collected by documentation techniques. The results showed that the exchange rate had a negative and significant effect on profitability, SBI interest rates, inflation and Gross Domestic Product partially had a positive and significant effect on profitability, exchange rate variables, SBI interest rates, inflation and Gross Domestic Product simultaneously had a significant effect on profitability, exchange rates and SBI interest rates partially have a negative and significant effect on stock prices, inflation, and Gross Domestic Product and Return on Assets have a positive and significant effect on stock prices, and exchange rate variables, SBI interest rates, inflation, and Domestic Product Gross and profitability simultaneously have an effect and are significant on stock prices.

scholarly journals Exchange Rates and Wages in an Integrated World

2011 ◽  
Vol 3 (4) ◽  
pp. 53-84 ◽  
Author(s):  
Prachi Mishra ◽  
Antonio Spilimbergo
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Labor Markets ◽  
Market Integration ◽  
Labor Mobility ◽  
Labor Market Integration ◽  
External Adjustment ◽  
Foreign Labor ◽  
Pass Through ◽  
Using Data

We analyze how the pass-through from exchange rate to domestic wages depends on the degree of integration between domestic and foreign labor markets. Using data from 66 countries over the period 1981–2005, we find that the elasticity of domestic wages to real exchange rate is 0.15 after a year for countries with high barriers to external labor mobility, but about 0.40 in countries with low barriers to mobility. The result is robust to the inclusion of various controls, different measures of exchange rates, and definitions of labor market integration. These findings call for including labor mobility in macro models of external adjustment. (JEL F16, F31, J31)

scholarly journals Monetary policy independence and floating exchange rates: what does the Brazilian evidence tell us?

2004 ◽  
Vol 24 (1) ◽  
pp. 30-37
Author(s):  
CARLOS EDUARDO SOARES GONÇALVES
Keyword(s):  
Developing Countries ◽  
Monetary Policy ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Real Interest Rates ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
Floating Exchange Rates ◽  
Fear Of Floating

ABSTRACT Some authors have advocated that shifting from fixed exchange rates to floating regimes has not delivered better economic outcomes to developing countries. As the argument goes, pervasive fear of floating in these economies has prevented drops in real interest rates and, more importantly, has been a hindrance in the way towards more monetary policy autonomy. This paper presents evidence suggesting this may not be the case for Brazil. More precisely, there are signs that fear of floating was less acute here (presumably due to low exchange rate pass-through) than elsewhere, and also that policymakers are now targeting monetary policy principally to domestic objectives.

Fear of Free Floating or Forced Exchange Rate Fixing

2004 ◽  
pp. 112-122
Author(s):  
O. Osipova
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Exchange Rates ◽  
Inflation Targeting ◽  
Exchange Rate Policy ◽  
Float Exchange Rate ◽  
Floating Exchange Rate ◽  
Rate Policy ◽  
Exchange Rate Arrangements ◽  
Pass Through

After the financial crisis at the end of the 1990 s many countries rejected fixed exchange rate policy. However actually they failed to proceed to announced "independent float" exchange rate arrangement. This might be due to the "fear of floating" or an irreversible result of inflation targeting central bank policy. In the article advantages and drawbacks of fixed and floating exchange rate arrangements are systematized. Features of new returning to exchange rates stabilization and possible risks of such policy for Russia are considered. Special attention is paid to the issue of choice of a "target" currency composite which can minimize external inflation pass-through.

scholarly journals An Interpretation of Recent Research on Exchange Rate Target Zones

1992 ◽  
Vol 6 (4) ◽  
pp. 119-144 ◽  
Author(s):  
Lars E. O Svensson
Keyword(s):  
Exchange Rate ◽  
Central Bank ◽  
Exchange Rates ◽  
Interest Rates ◽  
Empirical Research ◽  
Target Zones ◽  
The Difference ◽  
Exchange Rate Target Zones ◽  
Main Ideas ◽  
Central Bank Interventions

How do exchange rate bands work compared to completely fixed rates (between realignments); or, more precisely, what are the dynamics of exchange rates, interest rates, and central bank interventions within exchange rate bands? Does the difference between bands and completely fixed exchange rates matter, and if so, which of the two arrangements is best; or, more precisely, what are the tradeoffs that determine the optimal bandwidth? This article will present an interpretation of some selected recent theoretical and empirical research on exchange rate target zones, with emphasis on main ideas and results and without technical detail.

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).

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