scholarly journals Cointegration analysis of stock market index and exchange rate: The case of Serbian economy

2021 ◽  
pp. 59-71
Author(s):  
Milena Marjanović ◽  
Ivan Mihailović ◽  
Ognjen Dimitrijević
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Market Index ◽  
Market Index ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Short Run ◽  
The Exchange Rate ◽  
Adf Test ◽  
Long Run Equilibrium

Since the late 90's, the existence and direction of causality between the capital market and foreign exchange market have attracted significant attention of theoretical and empirical researchers. This is because both of these financial variables have an indisputable role in the development of each country's economy. In this paper we use Johansen procedure and Granger causality test to examine the existence and direction of short-run and long-run dynamics between the leading stock market index BELEX15 and RSD/EUR exchange rate in Serbia. Using ADF test we find that both series are integrated of order one, and since the value of Johansen trace statistics confirmed the existence of cointegration, we have proceeded with estimation of the VECM model. According to our VECM model, the BELEX15 index adjusts to the long-run equilibrium relationship at a rate of 11.72% in each period, while the exchange rate adjusts to the long-run equilibrium relationship at a rate of 2.73%. We also find that there is unidirectional causality and that the market index influences the exchange rate movements in the short-run in terms of Granger.

scholarly journals The long-Run and Short-Run Analysis between Stock Market Index and Macroeconomic Variables in Jordan: Bounds Tests Approach

2019 ◽  
Vol 12 (4) ◽  
pp. 50
Author(s):  
Raed Walid Al-Smadi ◽  
Muthana Mohammad Omoush
Keyword(s):  
Stock Market ◽  
Time Series Data ◽  
Stock Exchange ◽  
Series Data ◽  
Stock Market Index ◽  
Macroeconomic Variables ◽  
Market Index ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Short Run

This paper investigates the long-run and short-run relationship between stock market index and the macroeconomic variables in Jordan. Annual time series data for the 1978–2017 periods and the ARDL bounding test are used. The results identify long-run equilibrium relationship between stock market index and the macroeconomic variables in Jordan. Jordanian policy makers have to pay more attention to the current regulation in the Amman Stock Exchange(ASE) and manage it well, thus ultimately helping financial development.

scholarly journals Impact of Macroeconomic and Demographic Variables on the Stock Market: Evidence from Tunisian Crisis

2016 ◽  
Vol 8 (8) ◽  
pp. 194
Author(s):  
Sirine Ben Yaâla ◽  
Jamel Eddine Henchiri
Keyword(s):  
Stock Market ◽  
Money Supply ◽  
Inflation Rate ◽  
Demographic Variables ◽  
Second Order ◽  
Stock Market Index ◽  
Order Difference ◽  
Market Index ◽  
Long Run ◽  
Short Run

<p>This study aims to analyze the long-run as well as the short-run relationship between macroeconomic, demographic variables and the Tunisian stock market for the period subsequent to the financial crisis. Monthly data over the period 2008-2014 and ARDL model have been employed. Results indicate that the Tunisian stock market index, macroeconomic and demographic indicators are cointegrated and, therefore, a long-run relationship exists between them. The long-run coefficients suggest that budget deficit, inflation rate and number of unemployed graduates had a negative effect, otherwise, money supply and number of non-resident entries had positive effect on the Tunisian stock market. Moreover, results from the error correction model show that the Tunisian stock market index is influenced positively by money supply and second order difference of the number of unemployed graduated and negatively by first and second order difference of money supply, inflation rate, first order difference of number of non-resident entries and number of unemployment graduates.</p>

scholarly journals An analysis of IT software and service exports from India

2020 ◽  
Vol 4 (1) ◽  
pp. 3-25
Author(s):  
Manzoor Hassan Malik ◽  
Nirmala Velan
Keyword(s):  
Human Capital ◽  
Exchange Rate ◽  
Error Correction ◽  
Content Type ◽  
Long Run ◽  
External Demand ◽  
Equilibrium Relationship ◽  
Short Run ◽  
The Given ◽  
Long Run Equilibrium

PurposeThe aims of the paper are to investigate IT software and service export function for India. First, cointegration tests have been used to investigate the long-run equilibrium relationship of the given variables. Second, long-run coefficients and associated error correction mechanism are estimated.Design/methodology/approachAnnual time series data on IT software and service exports, human capital, exchange rate, investment in IT, external demand and openness index have been used for the present study during the period 1980–2017. The data are collected from the National Association of Software and Service Companies (NASSCOM), Planning Commission of India, University Grants Commission (UGC) of India, real effective exchange rate (REER) database and World Bank development indicators. Auto regressive distributed lag (ARDL) model is used to analyze both short-run and long-run dynamic behaviour of economic variables with appropriate asymptotic inferences.FindingsResults of the analysis show the stable long-run equilibrium relationship among the given variables. It is found that external demand, exchange rate, human capital and openness index have a substantial long-run impact on the IT software and service exports. We also found that the coefficient of error correction term is negative and significant at 1% of the level of significance, which confirms the existence of stable long-run relationship which means adjustment will take place when there is a short-run deviation to its long-run equilibrium after a shock.Research limitations/implicationsThere may be other determinants of software and service exports apart from those considered by the present study. Due to the non-availability of data, the study considers only important determinants that determine the software and service exports in India. The IT exports are an emerging and dynamic field of economic activity and the rate of change is so rapid that the relevance of individual factors may change over time. The study period is also limited to available data.Practical implicationsThe paper has implications for achieving sustainability in IT software and service exports growth. It is recommended that policies directed at improving the performance of IT software and service exports should largely consider the long-run behaviour of these variables.Originality/valueThis paper focuses on originality in the analysis of the relationship among the given variables including IT software and service exports, human capital, exchange rate, investment in IT, external demand and openness index in India. All the work has been done in original by the authors, and the work used has been acknowledged properly.

scholarly journals The Role of Gold Prices and Interest Rate in Stock Index: Insights from Vietnam by Using the Autoregressive Distributed Lag Approach

2020 ◽  
Vol 12 (1) ◽  
pp. 178
Author(s):  
Le Thi Minh Huong ◽  
Phan Minh Trung
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Interest Rates ◽  
Stock Index ◽  
Stock Market Index ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Market Index ◽  
Long Run ◽  
Short Run

This study aimed to determine the impact of domestic gold prices, interest rates in the stock market index (VNI) in Vietnam for the period of January 2009 to December 2018. This study employed the Autoregressive Distributed Lag (ARDL) to check the association of Independent variable gold prices and the interest rate on the dependent variable stock market index. The results show a close correlation together in the long-run. The Vietnam stock index is adversely affected by fluctuations in the credit market in the short-run. We observed that domestic gold prices and interest rates have one-way causal relations to the stock price index. Similarly, interest rates were causal for gold prices and still not yet had any particular direction. The adjustment in the short-run moves the long-run equilibrium, although the change is quite slow.

Analyzing the Impact of Oil Price Fluctuations on Vietnam Stock Market

2018 ◽  
pp. 229-245
Author(s):  
Huynh Viet Khai ◽  
Le Minh Sang ◽  
Phan Thi Anh Nguyet
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Economic Crisis ◽  
Oil Prices ◽  
Stock Market Index ◽  
Market Index ◽  
Crude Oil Prices ◽  
Long Run ◽  
Short Run ◽  
The Impact

This chapter covers a study that was conducted to find out the impact of crude oil prices on the Vietnam stock market in the period from March 2006 to June 2015 by using the autoregressive-distributed lag (ARDL) model with dummy variables of the economic crisis. The results revealed that the crude oil prices had positive impacts on VN-Index and HNX-Index in short-run, but negatively in long-run. In addition, the study also found that the economic crisis has affected the relationship between the crude oil prices and the stock market index in the short-run. During the crisis period, the crude oil prices related to the VN-Index and HNX-index more closely than the other stages. However, in the long-run the relationship between oil prices and stock market index was not affected by the economic crisis.

scholarly journals Effect of Macroeconomic Determinants on Indian Stock Market

2019 ◽  
Vol 8 (2) ◽  
pp. 22-27
Author(s):  
Krishna Gadasandula
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Causality Analysis ◽  
Stock Market Index ◽  
Causality Test ◽  
Macroeconomic Variables ◽  
Bank Rate ◽  
Market Index ◽  
Long Run ◽  
Indian Stock Market

Stock market is one of the important forms of investment. The prices of stock markets are affected by much macro-economic factors. The study investigates the relationships between the Indian stock market index (NSE Nifty) and four macroeconomic variables, namely, GDP, Inflation, Exchange Rate and Bank Rate. The data is collected on a quarterly basis for the time period March 2000 to December 2017. The study employs the Johansen’s co-integration approach to the long-run equilibrium relationship between stock market index and macroeconomic variables. For causality analysis, the study carried out Granger and Geweke causality tests. From this paper it is observed that the Granger causality test results do not demonstrate the presence of any bidirectional causality. The results show the unidirectional causal associations running from GDP to Inflation, Bank Rate to GDP, Exchange Rate to GDP, NIFTY Index to GDP, Exchange Rate to Inflation, NIFTY Index to Inflation, and Bank Rate to NIFTY Index. Apart from that, the results also show no causal association between Inflation and Bank Rate, Bank Rate and Exchange Rate, and Exchange Rate and NIFTY Index. However, the bidirectional causal associations appear. When we look into the results of Geweke causality analysis shows that bidirectional causal associations exist between Inflation and Bank Rate, and Exchange Rate and Nifty Index.

Modeling the relationships among gold price, oil price, foreign exchange, and the stock market index in Thailand

2021 ◽  
Vol 18 (2) ◽  
pp. 261-272
Author(s):  
Supachok Thakolsri
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Foreign Exchange ◽  
Gold Price ◽  
Foreign Exchange Rate ◽  
Oil Price ◽  
Asset Markets ◽  
Stock Market Index ◽  
Market Index ◽  
Long Run

This study examines the relationship among the price variables in the Thailand stock market, the foreign exchange market, the international gold market, and the crude oil market. Specifically, the study investigates whether (1) there exists a long-run equilibrium among oil price, gold price, foreign exchange, and the stock market index in Thailand, and (2) there is any dynamic effect of each asset market on other asset markets. All asset price series have shown both upward and downward trends over the study period. All monthly series in four markets from January 2000 to December 2018 are nonstationary and are integrated of order one. Then, the Johansen cointegration test is employed. The normalized cointegrating coefficients are negative. Such empirical result reveals that a significant long-run relationship exists among price variables in all asset markets, so that each asset class acts as a hedge against each other. The Granger causality test shows that the causations run from the stock price to the foreign exchange rate and the international gold price to the foreign exchange rate. Other short-run relationships have no significant causal links.

The asymmetric impact of interest and exchange rate on the stock market index: evidence from MENA region

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Faten Moussa ◽  
Ezzeddine Delhoumi
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Stock Markets ◽  
Stock Market Index ◽  
Mena Region ◽  
Content Type ◽  
Market Index ◽  
The Exchange Rate ◽  
The Interest Rate

PurposeSeveral theoretical and empirical studies have shown the significant effects of economic and environmental factors on a large number of financial indicators. In this paper the authors are going to study whether the main stock market index, is impacted by the variations of the exchange rate and the interest rates.Design/methodology/approachThis paper studies the response of the index market return to fluctuations in the interest rate and the exchange rate in five countries from the MENA region (Tunisia, Morocco, Egypt, Turkey and Jordan). To investigate whether this impact exists, the authors used the non-linear autoregressive distributed lag (NARDL) model with daily data from June 1998 to June 2018.FindingsThe application of the non-linear ARDL model confirms the presence of cointegration between return index, interest rate and exchange rate. The results show that the asymmetry hypothesis is only valid for the short run which suggests that the market index is sensitive to the variation in the interest rate and exchange rate. This means that these macroeconomic factors play an important role in the MENA region stock markets.Originality/valueThe findings confirm that the index returns in the MENA region stock markets are related to macroeconomic fundamentals such as the exchange rate and the real interest rate. The reaction of some indices is sensitive to whether the shocks are positive or negative. This finding may help investors to choose their strategies starting from these changes. Accordingly, policy makers must pay attention to the development progress of stock market.

scholarly journals The Impact of Palm Oil Price on the Malaysian Stock Market Performance

2014 ◽  
Vol 6 (1) ◽  
pp. 1-9 ◽  
Author(s):  
Sabariah Nordin ◽  
Rusmawati Ismail .
Keyword(s):  
Stock Market ◽  
Palm Oil ◽  
Commodity Prices ◽  
Oil Price ◽  
Stock Market Index ◽  
Market Index ◽  
Long Run ◽  
Stock Market Performance ◽  
Short Run ◽  
The Impact

The performance of a stock market has always become the center of attention for market analysts and investors. Due to its significant role in the economy of a country, the performance of the stock market is always associated with the economic condition of a country. Because of that, this study intends to examine the impact of commodity prices in influencing the behavior of the stock market index specifically by focusing on the palm oil prices. Since Malaysia is one of the major producers of palm oil, the behavior of the palm oil price is expected to have an influence on the Malaysian stock market index. In pursuing the objective, we have adopted the bounds test approach to analyze the existence of cointegration relationship among the underlying variables of the Malaysian stock market index, interest rate, exchange rate and the price of palm oil. Using monthly data for the period of 1997M12 to 2012M9, results of an ARDL test indicates that all the variables employed are significant in influencing the Malaysian stock market index in the long run as well as in the short run.

scholarly journals MENGKAJI PERUBAHAN NILAI TUKAR RUPIAH DAN PASAR SAHAM

2008 ◽  
Vol 10 (4) ◽  
Author(s):  
Untoro Untoro ◽  
Priyo R. Widodo
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Index ◽  
Stock Market Index ◽  
Vector Autoregressive ◽  
Market Index ◽  
Daily Data ◽  
Exchange Rate Movements ◽  
The Exchange Rate ◽  
The Relationship

This paper analyzes the relationship between the Exchange rate and the stock market in Jakarta, Singapore, Malaysia, Thailand, Philippine and Hongkong using a high frequency data. We applied the Vector Autoregressive method on the daily data covering 1 July 1997 to 30 June 2006.The analysis provides several results as follows: (i) the exchange rate movements is influenced by the regional and the Hongkong stock market index, except Thailand, (ii) Jakarta stock market index is influenced by the regional stock market except Thailand, (iii) the Rupiah rate influence the regional and Hongkong stock index, (iv) the Jakarta's stock market index is integrated to the regional stock market index. These results may be a usefull as an additional guidance to evaluate the Rupiah's exchange rate and the regional stock market movement in general.JEL Classification: C32, F31, G15                 Keywords: Stock, Vector Autoregressive, exchange rate.

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