The Relationship between Financial Market Instability and Income Inequality – Focus on Stock Market and Foreign Exchange Market –

2017 ◽  
Vol 19 (2) ◽  
pp. 117-134
Author(s):  
Sunho Lee ◽  
Jinyoung Hwang
Keyword(s):  
Income Inequality ◽  
Stock Market ◽  
Foreign Exchange ◽  
Financial Market ◽  
Foreign Exchange Market ◽  
Exchange Market ◽  
Market Instability ◽  
The Relationship

scholarly journals THE EFFECTS OF VOLATILITY SPILLOVER ON THE LARGEST GLOBAL FINANCIAL MARKET SEGMENTS

2019 ◽  
pp. 319
Author(s):  
Irena Janković
Keyword(s):  
Stock Market ◽  
Foreign Exchange ◽  
Financial Market ◽  
Foreign Exchange Market ◽  
Bond Market ◽  
Volatility Spillover ◽  
Exchange Market ◽  
Market Segments

The aim of the paper is to present and analyse indicators of financial connectedness and volatility spillover on important segments of the global financial market – the stock market, bond market, CDS market, and foreign exchange market. Total, net, and directional measures of volatility spillover are presented and analysed, indicating the level of connectedness of countries’ particular market segments and the level of volatility spillover in periods of crisis and stability.

‘Indian Stock Market Volatility’: A Study of Inter-linkages and Spillover Effects

2019 ◽  
Vol 18 (2_suppl) ◽  
pp. S183-S212 ◽  
Author(s):  
Suparna Nandy (Pal) ◽  
Arup Kr. Chattopadhyay
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Volatility Spillover ◽  
Exchange Market ◽  
Causality Test ◽  
Asymmetric Volatility ◽  
Indian Stock Market ◽  
Domestic Stock

The article attempts to examine interdependence between Indian stock market and other domestic financial markets, namely, foreign exchange market, bullion market, money market, and also Foreign Institutional Investor (FII) trade and foreign stock markets comprising one regional stock market represented by Nikkei of Japan and other stock market for the rest of the world represented by Standard & Poor’s (S&P) 500 of the USA. Attempts are also made to examine asymmetric volatility spillover, first, between the Indian stock market and other domestic financial markets and second, between the Indian stock market and global stock markets (represented by Nikkei and S&P 500) along with the foreign exchange market. To measure linear interdependence among multiple time series of financial markets multivariate Vector Autoregression (VAR) analysis, Granger causality test, impulse response function and variance decomposition techniques are used. For estima-ting the volatility spillover among the aforesaid markets Dynamic Conditional Correlation-Multivriate-Threshold Autoregressive Condi-tional Heteroscedastic (DCC-MV-TARCH) (1, 1) model is applied on daily data for a quite long period of time from 01 April 1996 to 31 March 2012. The results of multi­variate VAR analysis, Granger causality test, variance decomposition analysis and impulse response function estimation establish significant interdependence between domestic stock market and different other financial markets in India and abroad. The results of DCC-MV-TARCH (1, 1) model estimation further show signi- ficant asymmetric volatility spillover between the domestic stock market and the foreign exchange market and also from the domestic stock market to bullion market and changes in gross volume of FII trade. We also find (a) both way asymmetric volatility spillover between the domestic stock market and the Asian stock market and (b) its unidirectional movement from the world stock market to the domestic stock market. The results of the study may help market regulators in setting regulatory policies considering the inter-linkages and pattern of volatility spillovers across different financial markets. JEL Classification: G15, G17

Stock market performance and foreign exchange market in Egypt: does 25th January revolution matter?

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Ahmed A. El-Masry ◽  
Osama M. Badr
Keyword(s):  
Stock Market ◽  
Causal Relationship ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Market Performance ◽  
Exchange Market ◽  
Content Type ◽  
Stock Market Performance ◽  
Portfolio Managers ◽  
Market Indexes

PurposeThis paper examines the causal relationship between stock market performance and foreign exchange market in Egypt over the period 2009–2016. The study period is divided into two sub-periods: pre- and post-January 25th Egyptian revolution (ER). The reason is to examine how this revolution affects the causal relationship between the two markets' performance.Design/methodology/approachIn this study, the daily basis data are used to enable good and effective observation changes in the foreign exchange rate and stock market performance over time. Stock market indexes and stock market capitalization are used as proxies for stock market performance. Further, the Egyptian pound to US$ exchange rate is used as a measure for foreign exchange market performance. The study analysis is done in stages. The first is to check the variables' stationarity for the pre- and post-revaluation. The second is to examine the cointegration among the variables. The third is to run vector autoregression (VAR) estimates, after which VAR Granger causality tests are employed.FindingsThe results show that the data are not stationary at their levels but stationary in their first difference level while there is no cointegration in the long-run among the variables in both sub-periods. Further, findings indicate that, in the pre-January 25th revolution period, there is a significant causal relationship between the foreign exchange market and stock market indexes and a significant causal relationship between market capitalization (CAP) and exchange rate at the 1% level. However, in the post-January 25th revolution period, the study does not find a significant causal relationship between foreign exchange market and stock market indexes and capitalization.Research limitations/implicationsAs this study focuses on the causal relationship between foreign exchange and stock markets before and after the 25th January Revolution, other macroeconomic variables such as consumer price index, interest rate and GDP were excluded for the comparison purposes with other studies. Further research is suggested to include them in the analysis to find out its effect on the performance of stock market and foreign exchange market.Practical implicationsThe existence of long-run bidirectional causality means that portfolio managers and hedgers may have improved their understanding regarding the dynamic relationship between foreign exchange market and stock market performance as this may help them to plan and implement suitable hedging strategies to guard against currency risk in future crises or events. Investors, fund and portfolio managers and policymakers should give much attention to these event-specific interactions when they make capital budgeting decisions and implement regulation policies. Furthermore, our results may allow portfolio managers, investors and policymakers to assess the importance of informational efficiency for both markets.Originality/valueThis paper is an original contribution to the literature that concerns the causal relationship between stock market and foreign exchange market in the period of political instability and social unrest such as the January 25th Revolution in one of the emerging markets, namely Egypt.

scholarly journals Central bank's communication and markets' reactions: Polish evidence

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Janusz Brzeszczyński ◽  
Jerzy Gajdka ◽  
Tomasz Schabek ◽  
Ali M Kutan
Keyword(s):  
Monetary Policy ◽  
Foreign Exchange ◽  
Financial Market ◽  
Foreign Exchange Market ◽  
Emerging Market ◽  
Public Information ◽  
Exchange Market ◽  
Market Segments ◽  
Content Type ◽  
The Impact

PurposeThis study contributes to the pool of knowledge about the impact of monetary policy communication of central banks on financial instruments' prices and assets' value in emerging markets.Design/methodology/approachEmpirical analysis is executed using the National Bank of Poland (NBP) announcements about its monetary policy covering the data from the broad financial market in its three main segments: stock market, foreign exchange market and bonds market. The reactions are measured relative to the changes in the NBP announcements and also with respect to investors' expectations. Autoregressive conditional heteroscedasticity (ARCH) models with dummy variables are used as the main methodological tool.FindingsBonds market and foreign exchange market are the most sensitive market segments, while interest rate and money supply are the most influential types of announcements. The changes of the revealed new macroeconomic figures had more impact on assets' prices movements than the deviations from their expectations. Moreover, greater diversity of the Monetary Policy Council (MPC) members' opinions on the voted motions, captured in the MPC voting reports, is associated with more cases of statistically significant NBP communication events.Practical implicationsThe findings have direct relevance for fund managers, portfolio analysts, investors and also for financial market regulators.Originality/valueThe results provide novel evidence about how the emerging financial market responds to monetary policy announcements. They help understand the nature of the impact of public information on financial assets' valuation and on movements of their prices, analysed comprehensively in three market segments, in the emerging market environment.

scholarly journals Interdependence among ASEAN 5 in Foreign Exchange Market

2017 ◽  
Vol 17 (1) ◽  
pp. 53
Author(s):  
Yunita Astanti Unlinnuha
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Positive Response ◽  
Granger Causality Test ◽  
Exchange Market ◽  
Causality Test ◽  
Us Dollar ◽  
Vector Auto Regression ◽  
The Relationship ◽  
Auto Regression

This paper examines the relationship between ASEAN-5 foreign exchange market and US Dollar in last 5 years. The data used is the currency of ASEAN-5 countries that are Indonesia, Malaysia, Vietnam, and Thailand. The data was analyzed using VAR (Vector Auto Regression). Among ASEAN 5, there are interdepence relationship in foreign exchange market. The strongest interdepence relationship are showed between Indonesia, Singapore and Malaysia, while Phillipines and Thailand have less influence toward others. Foreign exchange market among ASEAN 5 shows positive response which has been proven by Granger Causality test.

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