scholarly journals Spillovers and Dynamic Correlations between REITs, Exchange Rates, and Equities in Japan

2021 ◽  
Vol 10 (4) ◽  
pp. 13
Author(s):  
Chikashi Tsuji
Keyword(s):  
Exchange Rate ◽  
Financial Markets ◽  
Stock Exchange ◽  
Real Estate Investment Trust ◽  
Future Research ◽  
Dollar Exchange Rate ◽  
Volatility Spillovers ◽  
Dynamic Correlations ◽  
New Findings ◽  
Exchange Rate Changes

This paper investigates return transmission, volatility spillovers, and dynamic correlations between the Tokyo Stock Exchange (TSE) Real Estate Investment Trust (REIT) index, the Nikkei 225 index, and the yen/dollar exchange rate. As a result, we find many new findings and these all show our significant contributions as follows. First, there is return transmission from the Nikkei 225 to the TSE REIT index. Second, there is bidirectional return transmission between the Nikkei 225 and the yen/dollar exchange rate. Third, there are bidirectional volatility spillovers between the Nikkei 225 and the TSE REIT index. Fourth, there are volatility spillovers from the Nikkei 225 to the yen/dollar exchange rate. Fifth, dynamic conditional correlations (DCCs) between TSE REIT returns and Nikkei 225 returns are not low. Moreover, DCCs between Nikkei 225 returns and yen/dollar exchange rate changes are not high. Furthermore, DCCs between TSE REIT returns and yen/dollar exchange rate changes are quite low. These our new findings shall be useful for not only deepening our understanding of financial markets but also our related future research.

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.

An Empirical Analysis of Foreign Exchange Exposure of CNX 100 Companies

GIS Business ◽  
2017 ◽  
Vol 12 (5) ◽  
pp. 1-9 ◽  
Author(s):  
Sriram Mahadevan
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Foreign Exchange ◽  
Foreign Exchange Rate ◽  
Future Research ◽  
Export Ratio ◽  
Exchange Rate Exposure ◽  
Ratio Size ◽  
Foreign Exchange Exposure ◽  
Exchange Rate Changes

The present study has empirically examined the level of foreign exchange exposure and its determinants of CNX 100 companies. For the purpose of study, the relationship between exchange rate changes and stock returns for a sample of 82 companies was determined for the period April 2011-March 2016. The study finds that 49% of the sample companies had significant positive foreign exchange rate exposure and the found that the companies could be exporters or net importers. To explore factors determining foreign exchange rate exposure, variables such as export ratio, import ratio, size of a company, hedging activities were regressed against the exchange exposure and the study found that none of the factors was influencing the exchange rate exposure. The study concludes that the reasons for insignificant influence of the variables could be the natural hedging practices of companies, offsetting of exports and imports and heterogeneous of the sample size. The study offers few directions for future research in this area.

Bitcoin, Litecoin, and the Euro: an annualized volatility analysis

2019 ◽  
Vol 37 (2) ◽  
pp. 229-242 ◽  
Author(s):  
Cynthia Miglietti ◽  
Zdenka Kubosova ◽  
Nicole Skulanova
Keyword(s):  
Exchange Rate ◽  
Financial Markets ◽  
Design Methodology ◽  
Daily Basis ◽  
Information Criteria ◽  
Content Type ◽  
Statistical Measures ◽  
Augmented Dickey Fuller ◽  
Volatility Analysis ◽  
Exchange Rate Changes

Purpose This paper aims to empirically investigate the volatility of Bitcoin, Litecoin and the Euro. Design/methodology/approach The authors use quantitative methodologies to assess the annualized volatility of two cryptocurrencies and one international fiat currency. The exchange rate of the currencies is monitored on a daily basis using 1,460 observations from January 1, 2014 to December 31, 2017. The models used include the augmented Dickey–Fuller test, Akaike Information Criteria, autocorrelation function and exchange rate changes determining which currency is the most volatile. Findings The findings indicate, based on the statistical measures used, including the standard deviation of selected currencies and annualized volatility, that Litecoin is more volatile than Bitcoin and the Euro and that Bitcoin is more volatile than the Euro. This furthers previous research on cryptocurrency volatility. Originality/value The paper provides compelling evidence about the volatility of Litecoin and Bitcoin. The volatility of cryptocurrencies is furthered with data that are more current. The findings are important for investors, financial markets and central banks.

Effects of Export Orientation, Exchange Rates and Leverage on Firm Productivity: Evidence from Pakistan

2021 ◽  
pp. 097215092110564
Author(s):  
Abdul Rashid ◽  
Afaq Khan ◽  
Ahmad Fraz
Keyword(s):  
Exchange Rate ◽  
Productivity Growth ◽  
Stock Exchange ◽  
Significant Heterogeneity ◽  
Negative Effects ◽  
Firm Level ◽  
Data Set ◽  
Exchange Rate Uncertainty ◽  
Exporting Firms ◽  
Exchange Rate Changes

This article empirically scrutinizes the effect of exchange rate changes, exchange rate uncertainty and firm leverage on firm-level productivity growth. It also examines the differential effects of these variables, conditional on the levels of exports. Finally, it investigates whether a firm’s heterogeneity in terms of its share of exports in total sales matters in determining the response of a firm’s productivity growth to these variables. The empirical analysis is based on an unbalanced panel data set with annual observations of 222 exporting firms listed on the Pakistan Stock Exchange over the 2009–2017 period. We find that both exchange rate changes and exchange rate uncertainty have significant, negative effects on the firm’s productivity growth, and exporting further makes intense these effects. Yet, we show that export activities are positively related to firms’ productivity growth. We also reveal that there is a significant heterogeneity in the effects of exchange rate changes, its uncertainty and leverage, which is attributed to export intensity. Specifically, we observe that the effects are more prominent in firms that export more shares of their output to foreign markets.

scholarly journals Effects of Yuan–Dollar Exchange Rate Changes on World Cotton Markets

2020 ◽  
Vol 52 (3) ◽  
pp. 420-439
Author(s):  
Stephen Devadoss ◽  
Ethan Sabala
Keyword(s):  
Exchange Rate ◽  
Adverse Effects ◽  
World Cotton ◽  
Dollar Exchange Rate ◽  
The Us ◽  
Us Dollar ◽  
Exchange Rate Changes

AbstractFrom April 2018 to August 2019, the Yuan has declined in value relative to the US dollar by 12.6%, and the effects of this decline have not been studied. This study analyzes the effects of this fall in Yuan value, in isolation of tariffs, on US, Chinese, and world cotton markets. The results show that the adverse effects of the decline in Yuan value reverberate throughout world cotton markets and exacerbate the detrimental effects of the Chinese cotton tariff.

scholarly journals A survey on the effects of the exchange rate changes and financial flexibility on the usage of financial leverage in accepted companies of Tehran stock exchange

2016 ◽  
Vol 2 (2) ◽  
pp. 32
Author(s):  
Reza Zare
Keyword(s):  
Exchange Rate ◽  
Linear Regression ◽  
Stock Exchange ◽  
Main Issue ◽  
Financial Leverage ◽  
Significant Relation ◽  
Financial Flexibility ◽  
The Exchange Rate ◽  
Exchange Rate Changes ◽  
Study Type

<p>In the present study we try to examine the exchange rate changes and  financial flexibility as the economic stable indexes on the financial leverage  use in the companies so the main issue in this study is to define the financial leverage relation with  exchange rate changes and financial flexibility. That is why 88 companies of the companies listed in Tehran stock exchange in 2005–2011. The study type is descriptive–correlative and the multivariable linear regression was used to analyze the data. The findings from the hypotheses test state there is a significant relation between financial leverage and financial flexibility while there isn't relation between financial leverage and exchange rate changes.</p>

On the relation between stock prices and exchange rates: a review article

2015 ◽  
Vol 42 (4) ◽  
pp. 707-732 ◽  
Author(s):  
Mohsen Bahmani-Oskooee ◽  
Sujata Saha
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Stock Prices ◽  
Empirical Literature ◽  
Easy Access ◽  
Future Research ◽  
Asymmetric Effect ◽  
Content Type ◽  
Ardl Approach ◽  
Exchange Rate Changes

Purpose – While changes in stock prices are said to affect exchange rates, exchange rate changes are also said to affect stock prices. The purpose of this paper is threefold. First, the authors review all empirical literature by dividing them into two groups of univariate and multivariate studies. Second, a table which summarizes the main features of each study is provided to help future researchers to have easy access to summary of each study. Finally, a new direction for future research is proposed. This new direction relies upon non-linear ARDL approach and shows how to investigate symmetric vs asymmetric effects of exchange rate changes on stock prices. Design/methodology/approach – The paper reviews existing published work and provides suggestions for future research. Findings – The paper reviews existing published work and provides suggestions for future research. An application reveals that exchange rate changes have asymmetric effect on stock prices. Originality/value – This is the first review paper on the relation between exchange rates and stock prices.

scholarly journals A survey on the effects of the exchange rate changes and financial flexibility on the usage of financial leverage in accepted companies of Tehran stock exchange

2013 ◽  
Vol 2 (2) ◽  
pp. 32-40
Author(s):  
Reza Zare ◽  
Hamid Mahmoodabadi ◽  
Hoda Kiafar ◽  
Moslem Gheisari
Keyword(s):  
Exchange Rate ◽  
Linear Regression ◽  
Stock Exchange ◽  
Main Issue ◽  
Financial Leverage ◽  
Significant Relation ◽  
Financial Flexibility ◽  
The Exchange Rate ◽  
Exchange Rate Changes ◽  
Study Type

In the present study we try to examine the exchange rate changes and financial flexibility as the economic stable indexes on the financial leverage use in the companies so the main issue in this study is to define the financial leverage relation with exchange rate changes and financial flexibility. That is why 88 companies of the companies listed in Tehran stock exchange in 2005–2011. The study type is descriptive–correlative and the multivariable linear regression was used to analyze the data. The findings from the hypotheses test state there is a significant relation between financial leverage and financial flexibility while there isn't relationbetween financial leverage and exchange rate changes.

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