scholarly journals Effect of Exchange Rate Returns on Equity Prices: Evidence from South Africa and Nigeria

2017 ◽  
Vol 9 (11) ◽  
pp. 35
Author(s):  
Jibrin Daggash ◽  
Terfa W. Abraham
Keyword(s):  
South Africa ◽  
Exchange Rate ◽  
Stock Market ◽  
Stock Exchange ◽  
Equity Prices ◽  
The Us ◽  
Short Run ◽  
Us Dollar ◽  
The Exchange Rate ◽  
The Uk

This paper examines the exchange rate returns of the Rand (relative to the US dollar) and the Naira (relative to the US dollar) for the presence of volatility. It also examines the effect of the exchange rate returns on the performance of their respective stock market. While it was found that the returns of the South African Rand was volatile, the Nigerian naira was not. Estimating the effect of exchange rate returns and crude oil price on the stock market indices of both countries showed that exchange rate return have a positive effect on the performance of the Nigerian stock exchange thus, confirming the stock flow hypothesis for Nigeria and refuting same for South Africa. Although the VAR granger causality identifies short run fluctuation of the naira as a significant factor affecting the performance of the Nigerian stock exchange in the short run, the Johannesburg stock exchange was found to be mostly affected by short run changes in the Rand and the UK FTSE 100. The paper concludes that policies aimed at stabilizing exchange rate and encouraing more non-oil stocks to be quoted in the Nigerian stock exchange will important. For the Johanesburg stock exchange, raising the listing requirement for firms quoted in the UK FTSE 100 and also seeking listing or already listed in the JSE will be a plausible idea. For both countries, however, curtailing swings in their exchange rate returns would help attract new investments and sustain existing ones hence, helping to spur growth.

scholarly journals Cointegration of Stock Market and Exchange Rate in Indonesia

2019 ◽  
Vol 2 (2) ◽  
pp. 125 ◽  
Author(s):  
Pribawa E Pantas ◽  
Muhamad Nafik Hadi Ryandono ◽  
Misbahul Munir ◽  
Rofiul Wahyudi
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Capital Market ◽  
Global Financial Crisis ◽  
The Us ◽  
Us Dollar ◽  
The Exchange Rate ◽  
Johansen Cointegration Test ◽  
The Global Financial Crisis

This study aims to determine the long-term relationship between stock market and exchange rate in Indonesia. The research method used is Johansen cointegration test. The results of this study found no cointegration between the variables tested. Thus the exchange rate, JII, and IHSG have no relationship in the long term. The fluctuation of the rupiah exchange rate in recent years did not generally affect the performance of stock indices especially after the global financial crisis of 2008. This shows the capital market in Indonesia has a good performance so that it is not so sensitive to the sentiment of the decline in the rupiah against the US dollar. This finding is in line with the findings of Syahrer (2010) which states the exchange rate has no effect on the stock market.

Optimistic and pessimistic economic sentiments and US Dollar exchange rate

2021 ◽  
Author(s):  
Sonia Kumari ◽  
Suresh Kumar Oad Rajput ◽  
Rana Yassir Hussain ◽  
Jahanzeb Marwat ◽  
Haroon Hussain
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Ordinary Least Squares ◽  
Exchange Market ◽  
Dollar Exchange Rate ◽  
The Us ◽  
Short Run ◽  
Us Dollar ◽  
The Exchange Rate

This study investigates the affiliation of various proxies of economic sentiments and the US Dollar exchange rate, mainly focusing on the real effective exchange rate of USD pairing with three other major currencies (USDEUR, USDGBP, and USDCAD). The study has employed Google Trends data of economy optimistic and pessimistic sentiments index and survey-based economy sentiments data on monthly basis from January 2004 to December 2018. The study engaged Ordinary Least Squares (OLS) and Auto-Regressive Distributed Lag (ARDL) estimation techniques to evaluate the short-run and long-run effects of economy-related sentiments and macroeconomic variables on the exchange rate. The results from the study found that Economy Optimistic Sentiments Index (EOSI) and Economy Pessimistic Sentiments Index (EPSI) appreciate and depreciate the US Dollar exchange rate in the short-run, respectively. Our sentiment measures are robust to survey-based Michigan Consumer Sentiment Index (MSCI), Consumer Confidence Index (CCI), and various macroeconomic factors. The MSCI and CCI sentiments show a long-term impact on the foreign exchange market. This study implies that economic sentiments play a vital role in the foreign exchange market and it is essential to consider behavioral aspects when modeling the exchange rate movements.

Equity Markets, Block Realignments and the UK Exchange Rate

2002 ◽  
Vol 181 ◽  
pp. 38-43 ◽  
Author(s):  
Ray Barrell
Keyword(s):  
Exchange Rate ◽  
Euro Area ◽  
Stock Markets ◽  
Equity Markets ◽  
Equity Prices ◽  
The Us ◽  
Effective Exchange ◽  
The Exchange Rate ◽  
The Uk ◽  
Effective Exchange Rate

In recent weeks, equity markets have been very weak and the euro exchange rate has risen by more than 10 per cent against the dollar. The UK's effective exchange rate has also depreciated, removing some, but not all, of the overvaluation we identified in the April Review. We report on recent movements in table 1, and their implications are discussed in the UK and World forecast chapters in this Review. To an extent the movements in the US stock markets and the exchange rate are linked, but there does seem to be some ‘excess strength’ in the euro, which will in turn contribute to the weakness of Euro Area equity prices.

scholarly journals Relationship Between Exchange Rate and Stock Market Volatilities in India

2021 ◽  
Vol 2 (4) ◽  
pp. 244-259
Author(s):  
Lakshmanasamy T.
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Returns ◽  
Exchange Rate Volatility ◽  
Stock Exchanges ◽  
Stock Market Volatility ◽  
Daily Data ◽  
The Us ◽  
Us Dollar ◽  
The Exchange Rate

With increasing globalisation and integration of national stock exchanges, for the global investor, the portfolio risk increases not only from the local stock market volatility but also in the exchange rate risk. This paper examines the exchange rate volatility effect on volatility in stock market return from India’s perspective for the period January 2010 to December 2015, applying ARCH and GARCH estimation. The daily data of the BSE SENSEX returns, exchange rates of US dollar/rupee, British pound/rupee, Euros/rupee are used. It is estimated that the Euro/rupee exchange rate volatility has a significant positive effect on the BSE SENSEX return volatility, while the effect of the US dollar/rupee and British pound/rupee exchange rate the volatilities are insignificantly negative. The larger GARCH parameter over the ARCH term indicates that the own lagged values of the stock return cause more volatility in stock returns than the innovations. There exists a highly persistent effect of shocks to the BSE SENSEX return and the volatility effect wanes only slowly

Determinants of Workers’ Remittances in Nepal: An Empirical Study

2021 ◽  
Vol 3 (1) ◽  
pp. 126-140
Author(s):  
Naw Raj Bhatt ◽  
Melina Kharel
Keyword(s):  
Exchange Rate ◽  
Poverty Eradication ◽  
Exogenous Variables ◽  
Long Run ◽  
Ardl Approach ◽  
Short Run ◽  
Us Dollar ◽  
The Exchange Rate ◽  
External Sector ◽  
The Relationship

Background: Remittance has a crucial role in external sector stability, poverty eradication, and social as well as the human development of developing countries like Nepal. The determinants of remittance are widely discussed in the existing works of literature from altruism and portfolio approaches. Since the share of remittance in the current account, current transfer income, and forex reserve is significantly high, the study of major determinants of increasing remittance inflow is necessary. In this regard, this paper examines the relationship between remittance inflow, exchange rate, and workers outflow in Nepal. Objective: The main objective of this study was to examine the effect of the exchange rate and workers outflow on the remittance inflow of Nepal. Methods: This study employs the ARDL approach to co-integration to examine the relationship between remittance inflow as an endogenous variable and exchange rate and workers outflow as exogenous variables. Results: The coefficients of the exchange rate and workers outflow are significant and positive in long run as well as in the short-run whereas coefficients of the first lag value of workers outflow and remittance inflow itself are significant but negative. Conclusion: The significant and positive coefficient of exchange rate indicates that depreciation of Nepalese currency with US dollar (or rise in the exchange rate) rises the remittance inflow. Further, the remittance inflow also increases with an increase in workers outflow. The effect of the exchange rate on remittance is greater than that of workers outflow in both the long-run and short-run.

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 Impact of Trading Information Sets on Exchange Rate Change and Volatility: Evidence From Taiwan

SAGE Open ◽  
2021 ◽  
Vol 11 (4) ◽  
pp. 215824402110529
Author(s):  
Ying-Sing Liu
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange Market ◽  
Rate Change ◽  
Small Island ◽  
The Real ◽  
The Us ◽  
Information Sets ◽  
Us Dollar ◽  
The Exchange Rate ◽  
The Impact

This study explores the Taiwan Dollar (TWD) as the currency of a small island economy, uses the trading information sets from overseas and the market itself to examine the impacts on the adjustment of daily spot exchange rates. The daily USD/TWD is explained by the trading information sets, contain which the daily trading activities and the ratio of the real body on the daily candlestick chart of technical analysis on the Taipei Foreign Exchange Market, as well as the US-dollar index return to explain the USD/TWD spot rate change. The results showed that some of the USD/TWD changes were related to the US-dollar index return on overseas, and that the effect of the US-dollar index return was not limited to the adjustment rate from the previous closing rate to the opening rate on the day, which would affect the adjustment spot exchange rate in the intraday opening-to-closing period. There is a significant positive relationship between the real body ratio of the daily candlestick chart and the return of the exchange rate, supporting the real body ratio related to the change of the exchange rate. The study model can greatly improve the model interpretation ability of the change of exchange rate by about 50% after considering the trading activity factors. Finally, this study found that the volatility has a positive effect on Mondays and the 2008-financial crisis, and based on the shock that the news of depreciation was higher than the news of appreciation, so there exist asymmetry volatility.

scholarly journals EFFECT OF INTEREST RATE, INFLATION AND NATIONAL INCOME TO RUPIAH THE AMERICAN DOLLARS IN 2006-2016

2017 ◽  
Vol 15 (2) ◽  
pp. 240-248
Author(s):  
Muhammad Irsyad Mustaqim ◽  
Saparuddin Mukhtar ◽  
Tuty Sariwulan
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Multiple Regression ◽  
Time Series Data ◽  
National Income ◽  
Coefficient Of Determination ◽  
Series Data ◽  
The Us ◽  
Us Dollar ◽  
The Exchange Rate

This research aims to analyze the effect of interest rates, inflation and national income against the rupiah exchange rate over the US dollar. As for the data used in this research is secondary data, with this type of time series data in the period 2006-2016 obtained from Bank Indonesia and the World Bank. The method of this research method using exposé facto. Data analysis techniques used in this research is the analysis of multiple regression. By using multiple regression analysis model, the output shows that interest rates (X 1) positive and significant effect of the exchange rate of the rupiah against the US dollar up (Y). Inflation rate (X 2) do not affect the exchange rate of the rupiah significantly to top u.s. dollars (Y). National income (X 3) a positive effect of the exchange rate of the rupiah against the US dollar up (Y). Of test results by looking at their significance value F = 0.000 then it can be said to be 0.05 < simultaneously interest rates, inflation and national income effect significant at α = 5% against the rupiah exchange rate over the US dollar in the year 2006-2016. The value of the coefficient of determination (R2) acquired for 0.660 has a sense that the rupiah exchange rate over the US dollar can be explained by the level of interest rates, inflation and national income amounted to 66% while the rest is explained by other factors that do not exist in the model for this research.

scholarly journals Influence Of Australian Coal Export On A$/US$ Exchange Rate: A Longitudinal Study

2012 ◽  
Vol 11 (4) ◽  
pp. 397 ◽  
Author(s):  
Md. Liakat Ali ◽  
Sheikh F. Rahman
Keyword(s):  
Exchange Rate ◽  
Longitudinal Study ◽  
Positive Relationship ◽  
Dollar Exchange Rate ◽  
Quarterly Data ◽  
Australian Dollar ◽  
The Us ◽  
Australian Coal ◽  
Us Dollar ◽  
The Exchange Rate

This paper investigates the contribution of Australian coal export to determine the exchange rate of Australian dollar with the US dollar. The quarterly data of Australian coal export and the Australian dollar exchange rate from 1992-2009 are employed to measure the influence of Australian coal export on A$/US$ exchange rate. This study finds that the Australian coal export has a positive relationship with the exchange rate of A$/US$ and their relationship is becoming stronger. The findings of this research suggest that the volume of Australian coal export contributes about 8% to determine the exchange rate of A$/US$ between the period of 1992-2009. The results of this analysis confirm that for each one million tonnes export increase of Australian coal, the Australian dollar value against the US$ increases by 0.002450 USD.

scholarly journals Further Evidence on Asymmetry in the Impact of Oil Price on Exchange Rate and Stock Price in China using Daily Data

2021 ◽  
Vol 13 (5) ◽  
pp. 83
Author(s):  
Nazeer Ahmed ◽  
Ma Dingchou ◽  
Abdul Qayyum
Keyword(s):  
Exchange Rate ◽  
Stock Price ◽  
Structural Breaks ◽  
Oil Price ◽  
Nonlinear Ardl ◽  
Daily Data ◽  
The Us ◽  
Short Run ◽  
Us Dollar ◽  
The Impact

The role of oil price on the macro-economy has been intensely researched. However, oil remains one of the most important energy sources for production. Concerning China, there are projections that the country&rsquo;s energy consumption would have risen to 18 billion barrels per day in the next two decades. Given China&rsquo;s heavy reliance on oil, we reexamine the impact of oil price on the US dollar-Renminbi rate and the Shanghai index using daily data from 4/01/2010 to 29/03/2021. In our analysis, we apply the Nonlinear ARDL technique in the presence of structural breaks and find that oil price has asymmetric impact on exchange rate and stock price in the short-run alone. However, the asymmetry is only in terms of magnitude and not in terms of effect direction. Oil price is found to appreciate the Renminbi vis-&agrave;-vis the US dollar and to increase stock price significantly both in the short-run. We find that accounting for structural breaks is necessary for cointegration in using oil price to explain both variables.

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