scholarly journals Determining a Dynamic Relationship Between Stock Prices and Exchange Rates: An Empirical Study on Eurasia

2010 ◽  
Author(s):  
Bekir Elmas ◽  
Ömer Esen
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Exchange Rates ◽  
Stock Prices ◽  
Traditional Approach ◽  
Cointegration Test ◽  
Causality Test ◽  
Macroeconomic Variables ◽  
The Relationship

The stock price has a close relationship with some macroeconomic variables. As examples of the main macroeconomic variables can be shown that exchange rates, inflation, interest rate, growth rates. This paper empirically examined the relationship between the local stock market indexes and exchange rate (USD) in six Eurasian countries namely Turkey, Germany, France, Netherlands, Russia, France and India. The paper set out by testing existence of a long-term relationship between considered two variables using the Engle-Granger (1987), Johansen (1988, 1995) and Johansen-Juselius (1990) cointegration methods. Results of Engle- Granger cointegration test showed that there is no cointegration linkage between two variables under consideration. Furthermore, The Johansen cointegration test found that there is a long-term relationship between two variables (variables in the two countries). Under the VAR (Vector Autoregressive) and VEC (Vector Error Correction) models appllied the Granger causality test, revealed an unidirectional casual relationship between two variables in each of the six countries. In addition as regards the relationship While there is a unidirectional causal relationship running from exchange rate to stock market for four countries. However this relation is casual running from stock market to exchange rate for other two countries. According to the direction of the relationship these results that relationship between stock prices and exchange rate in four countries supports for the “Traditional Approach”. Furthermore, this relation also supports for the “Portfolio Approach” for other two countries.

scholarly journals Stock prices and Macroeconomic Performance in Pakistan: An Analysis

2015 ◽  
Vol 1 (2) ◽  
pp. 119-128
Author(s):  
Saima Mukhtar ◽  
Imran Sharif Sharif Chaudhry ◽  
Furrukh Bashir
Keyword(s):  
Exchange Rate ◽  
Stock Prices ◽  
Positive Impact ◽  
Stock Exchange ◽  
Consumer Price Index ◽  
Multiple Regression Model ◽  
Causality Test ◽  
Macroeconomic Variables ◽  
Equilibrium Relationships

This paper analyzes long-term equilibrium relationships between the Karachi stock exchange index and a group of macroeconomic variables. The macroeconomic variables are represented by the gross domestic product, the consumer price index, M2 and the exchange rate. We employ a multiple regression model to explore such relationships during 1991 to 2012. Our results indicated a "causal" relationship between the stock market and the economy analysis of our results indicates that KSE 100 index has a strong positive impact on GDP and M2 in Pakistan. Whereas it has a negative and significant impact on CPI and exchange rate in Pakistan. Granger causality test shows that KSE 100 index Granger causes GDP, CPI, M2, EXRT, AGRI, FDI and BOT and the direction of causality runs from KSE 100 index to these variables.

Macroeconomic Factors and Pakistani Equity Market”

2004 ◽  
Vol 43 (4II) ◽  
pp. 619-637 ◽  
Author(s):  
Muhammad Nishat ◽  
Rozina Shaheen
Keyword(s):  
Stock Market ◽  
Industrial Production ◽  
Stock Prices ◽  
Stock Price ◽  
Consumer Price Index ◽  
Reverse Causality ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Equilibrium Relationships

This paper analyzes long-term equilibrium relationships between a group of macroeconomic variables and the Karachi Stock Exchange Index. The macroeconomic variables are represented by the industrial production index, the consumer price index, M1, and the value of an investment earning the money market rate. We employ a vector error correction model to explore such relationships during 1973:1 to 2004:4. We found that these five variables are cointegrated and two long-term equilibrium relationships exist among these variables. Our results indicated a "causal" relationship between the stock market and the economy. Analysis of our results indicates that industrial production is the largest positive determinant of Pakistani stock prices, while inflation is the largest negative determinant of stock prices in Pakistan. We found that while macroeconomic variables Granger-caused stock price movements, the reverse causality was observed in case of industrial production and stock prices. Furthermore, we found that statistically significant lag lengths between fluctuations in the stock market and changes in the real economy are relatively short.

scholarly journals INDIKATOR MAKROEKONOMI DAN RETURN SAHAM SYARIAH DI INDONESIA

2013 ◽  
Vol 2 (2) ◽  
Author(s):  
Utami Baroroh
Keyword(s):  
Exchange Rate ◽  
Discount Rate ◽  
Stock Return ◽  
Time Series Data ◽  
Empirical Test ◽  
Cointegration Test ◽  
Series Data ◽  
Causality Test ◽  
Us Dollar

The objectives of this study are to examine empirical test the long term equilibrium and simulteneous relationship between macroeconomics variables to stock return in Indonesia and to observe stock return response because shock/innovation of inflation, SBI discount rate and exchange rate Rupiah to US dollar. The data sample used in this study are monthly time series data from 2003.1 – 2010.6. Those data are SBI discount rate, inflation (CPI), exchange rate Rupiah to US dollar, money supply and stock return (IHSG). A method of analysis in this study are Granger Causality Test and Cointegration test. The empirical results shows that SBI discount rate, inflation (CPI), and exchange rate Rupiah to US dollar have causality relationship to stock return.. The cointegration test indicates that among research variables there is long term equilibrium and simultaneous relationshipDOI: 10.15408/sjie.v2i2.2421

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 THE ISLAMIC CAPITAL MARKET VOLATILITY: A COMPARATIVE STUDY BETWEEN IN INDONESIA AND MALAYSIA

2013 ◽  
Vol 15 (4) ◽  
pp. 391-415
Author(s):  
Muhammad Syafii Antonio ◽  
Hafidhoh Hafidhoh ◽  
Hilman Fauzi
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Crude Oil ◽  
Capital Market ◽  
Oil Price ◽  
Crude Oil Price ◽  
Short Term ◽  
Macroeconomic Variables ◽  
Jones Index

This study attempts to examine the short-term and long-term relationship among selected global anddomestic macroeconomic variables fromeach country (Fed rate, crude oil price, Dow Jones Index, interest rate, exchange rate and inflation) for Indonesia and Malaysia Islamic capital market (Jakarta Islamic Index (JII) and FTSE Bursa Malaysia Hijrah Shariah Index (FHSI). The methodology used in this study is vector error correction model (VECM) for the monthly data starting from January 2006 to December 2010. The result shows that in the long-term, all selectedmacroeconomic variables except Dow Jones Index variable have significantly affect in both Islamic stock market FHSI and JII, while in the short-term there is no any selected macroeconomic variables that significantly affect FHSI and only inflation, exchange rate and crude oil price variables seem to significantly affect JII. Keywords : Islamic Stock Market, Jakarta Islamic Index, FTSE Hijrah Shariah Index, VAR/VECMJEL Classification: E52, E44

scholarly journals The Relationship between Corruption and Economic Growth: The Case of Newly Industrialized Countries

2017 ◽  
Author(s):  
Emrah Sofuoğlu ◽  
Oktay Kızılkaya ◽  
Ahmet Ay
Keyword(s):  
Economic Growth ◽  
Cointegration Test ◽  
Test Panel ◽  
Industrialized Countries ◽  
Macroeconomic Variables ◽  
Newly Industrialized Countries ◽  
Corruption Index ◽  
The Relationship

Studies on corruption have been increasing in the literature recently. The effects of corruption, especially on macroeconomic variables, are a matter of curiosity for researchers. The aim of this study is to examine the relationship between corruption and economic growth. In this sense, Newly Industrialized Countries (NIC) are investigated in the study. The study covers the period 2001-2014 and to determine the long-term relationship, Pedroni cointegration test, panel FMOLS and panel DOLS coefficient estimators are utilised. According to the results of Pedroni cointegration test, there is a long-term relationship between corruption and economic growth. In addition, both panel FMOLS and DOLS results indicate that rise in corruption index contributes to higher economic growth in related countries.

scholarly journals The Relationship between Gold Prices and Exchange Value of US Dollar in India

2015 ◽  
Vol 5 (1) ◽  
pp. 17-25 ◽  
Author(s):  
Girish Karunakaran Nair ◽  
Nidhi Choudhary ◽  
Harsh Purohit
Keyword(s):  
Exchange Rate ◽  
Currency Markets ◽  
Causality Test ◽  
Exchange Value ◽  
Integration Test ◽  
Recession Analysis ◽  
Us Dollar ◽  
The Impact ◽  
The Relationship

The inverse relationship between the value of U.S. dollar and that of gold is one of the most talked about relationships in currency markets. The present study is an attempt to understand the impact of recession of 2008 on relationship between exchange rate of US dollar in INR and gold prices in India. The study uses Johansen Co- Integration test to check the long term association between exchange rate of US dollar in INR and gold prices in India and it further uses the Granger Causality Test to check the lead lag relationship between the variables. A separate pre, during and post recession analysis of the variables is done to understand the impact of recession on this relationship. The study highlights how this relationship has changed since the global turmoil.

scholarly journals The relationship between macroeconomic factors and stock market volatility: empirical evidence from the Vietnam stock market

2013 ◽  
Vol 16 (3) ◽  
pp. 86-100
Author(s):  
Kieu Minh Nguyen ◽  
Diep Van Nguyen
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Money Supply ◽  
Stock Price ◽  
Price Index ◽  
Macroeconomic Factors ◽  
Stock Price Index ◽  
The Exchange Rate ◽  
The Relationship

The main target of this study is to measure the relationship of macroeconomic factors to the volatility of the stock market in Vietnam (through stock price VN-index). There are four factors including the consumer price index (measure of inflation), the exchange rate of USD/VND and money supply M2. Research shows that the stock price VN-Index has a positive relationship with the money supply M2 and the domestic gold price in long term. On the contrary, it has a negative relationship with the inflation while it does not have any connection to the exchange rate and stock price index. In short term, the current stock price index has proportional to the stock price index last month and inversely proportional to the exchange rate. The estimated speed of adjustment indicates that the Vietnam stock market converges to the equilibrium about 8 months (adjusted approximately 13.04% per month) to reach equilibrium in the long term.

scholarly journals The COVID-19 Process and the Exchange Rate Relation: An Application on Turkey

2020 ◽  
Author(s):  
Eda Dineri ◽  
İbrahim Çütçü
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Structural Breaks ◽  
Health Problems ◽  
Cointegration Test ◽  
Causality Test ◽  
Economic Changes ◽  
The World ◽  
The Exchange Rate ◽  
The Impact

Abstract The recent shocks in supply and demand in the world are not due to unexpected economic reasons; in fact, they are related to Covid-19 that causes rapidly spreading global health problems and life threats around the world. While the global powers are dealing with the social problems created by Covid-19 pandemic, they should not neglect the economic changes created by this pandemic. The most important of these economic changes in developing countries with high fragility is exchange rates, because exchange rates can directly affect many macroeconomic variables, from inflation to foreign trade, from the balance of payments to interests. In countries with high fragility due to the effect of pandemic, economic uncertainty causes fluctuations in the exchange rate. Is the reason for the change in the exchange rate, the number of cases or economic risks that may occur due to possible health problems?In this study, the impact of the number of new cases and the number of new deaths for the process of Covid-19 pandemic on the exchange rate in Turkey is examined. The daily data consider the number of new cases, the number of new deaths and exchange rate for the period of 16.03.2020–06.05.2020. The first step of the analysis, the stationary of the series is tested by Lee and Strazicich (2003) unıt root test which allowed structural break. Hatemi-J (2008) Cointegration Test that allow two structural breaks and Hacker-Hatemi-J Bootstrap causality test are used in the analysis. In the results of the Hatemi- J (2008) cointegration test, there is a medium and long-term relationship, with under structural breaks between the number of new cases and the number of new deaths and the exchange rate. According to the results of the analysis, it can be concluded that the number of new cases and the number of new deaths have a significant effect on the exchange rate, causing uncertainty in the economy.JEL Classification: I19, F31, C22

scholarly journals Relationship between Foreign Exchange Rate and Stock Price of Commercial Joint Stock Banks: Evidence from Vietnam

2016 ◽  
Vol 8 (7) ◽  
pp. 193 ◽  
Author(s):  
Tran Mong Uyen Ngan
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Stock Price ◽  
Time Series Data ◽  
Foreign Exchange Rate ◽  
Series Data ◽  
Causality Test ◽  
Using Data ◽  
The Relationship

The relationship between foreign exchange rate and stock price is one popular topic that is interested by not only board managers of banks but also stock investors. By using data about foreign exchange rate between Vietnam Dong (VND) and United State Dollar (USD), stock prices data of nine commercial joint stock banks in Vietnam from the first day of 2013 to the last day of 2015, this paper try to answer the question “Does foreign exchange rate impact on stock price and vice verse?”. Applying Dickey Fuller test and Var Granger Causality test for the time series data, the results show that there is an impact of foreign exchange rate on stock price. Although the fluctuation in foreign exchange rate VND/USD causes the change in stock prices of commercial joint stock banks in Vietnam, however, the vector of this impact is not clearly. On the opposite way, the change in stock price does not cause the change in foreign exchange rate, this relation is one-way relation.

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