Revisiting spillover effect: An empirical evidence from GARCH-ARMA approach

This study analyzes the spillover effect of markets' commodity, exchange rate, and stock price. Starting from July 1, 2009, the daily data to December 31, 2019, are conducted in our study. The GARCH-ARMA approach has been undertaken in this study. The results show that four pairs experience the unidirectional (positive) spillover effect of return. Yet, the spillover effect of volatility shows a two-way relationship (both positive and negative) between commodity markets, stock prices, and exchange rates. To conclude, both stock prices and gold are volatility's net transmitters to other markets, while the EURUSD market is some markets' net receiver of volatility.

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MODELING THE INTERACTIONS OF STOCK PRICE AND EXCHANGE RATE IN MALAYSIA

The Singapore Economic Review ◽

10.1142/s0217590809003471 ◽

2009 ◽

Vol 54 (04) ◽

pp. 605-619 ◽

Cited By ~ 13

Author(s):

MOHD TAHIR ISMAIL ◽

ZAIDI BIN ISA

Keyword(s):

Exchange Rate ◽

Exchange Rates ◽

Stock Prices ◽

Stock Price ◽

Price Index ◽

Composite Index ◽

Regime Shifts ◽

Var Model ◽

Vector Autoregressive ◽

Stock Price Index

After the East Asian crisis in 1997, the issue of whether stock prices and exchange rates are related or not have received much attention. This is due to realization that during the crisis the countries affected saw turmoil in both their currencies and stock markets. This paper studies the non-linear interactions between stock price and exchange rate in Malaysia using a two regimes multivariate Markov switching vector autoregression (MS-VAR) model with regime shifts in both the mean and the variance. In the study, the Kuala Lumpur Composite Index (KLCI) and the exchange rates of Malaysia ringgit against four other countries namely the Singapore dollar, the Japanese yen, the British pound sterling and the Australian dollar between 1990 and 2005 are used. The empirical results show that all the series are not cointegrated but the MS-VAR model with two regimes manage to detect common regime shifts behavior in all the series. The estimated MS-VAR model reveals that as the stock price index falls the exchange rates depreciate and when the stock price index gains the exchange rates appreciate. In addition, the MS-VAR model fitted the data better than the linear vector autoregressive model (VAR).

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The Role of Exchange Rates in the Stock Price Development of Chemical Companies in the Visegrad Four Countries

Comparative Economic Research ◽

10.2478/cer-2019-0026 ◽

2019 ◽

Vol 22 (3) ◽

pp. 117-129

Author(s):

Jana Šimáková ◽

Nikola Rusková

Keyword(s):

Exchange Rate ◽

Pharmaceutical Industry ◽

Exchange Rates ◽

Stock Prices ◽

Stock Price ◽

Stock Exchanges ◽

The Exchange Rate ◽

Chemical Companies ◽

The Empirical Analysis

The aim of the paper is to evaluate the effect of exchange rates on the stock prices of companies in the chemical industry listed on the stock exchanges in the Visegrad Four countries. The empirical analysis was performed from September 2003 to June 2016 on companies from the petrochemical and pharmaceutical industry. The effect of the exchange rate on stock prices is analyzed using Jorion’s approach on monthly data. In contrast to the selected petrochemical companies, the pharmaceutical companies did not use any hedging instruments in the tested period. The effect of the exchange rate on the stock price was proved only in the case of companies from the pharmaceutical industry. This suggests that exchange rate risk could be eliminated by using hedging instruments.

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EFFECT OF RETURN ON EQUITY (ROE), DEBT TO EQUITY RATIO (DER) AND EXCHANGE RATE ON STOCK PRICE PT. INDOFOOD SUKSES MAKMUR TBK

International Journal of Social Science and Public Policy ◽

10.33642/ijsspp.v1n6p1 ◽

2019 ◽

pp. 1-9

Author(s):

LC Anang Zamiarto ◽

Suharto Suharto ◽

Budhi Suparningsih

Keyword(s):

Exchange Rate ◽

Exchange Rates ◽

Stock Prices ◽

Stock Price ◽

Return On Equity ◽

Equity Ratio ◽

The Exchange Rate

This study aimed to determine the effect of return on equity (ROE), debt to equity ratio (DER), the exchange rate on stock prices either partially or simultaneously. Data were taken from 2008 to 2016. The data were analyzed using with regression. The results showed that in partial return on equity (ROE), debt to equity ratio (DER) effect on stock prices and exchange rates partially no effect on stock prices. Variable return on return on equity (ROE), debt to equity ratio (DER) and the exchange rate simultaneously positive and significant effect on the stock price.

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Penentu Harga Saham pada Perusahaan Terdaftar di Jakarta Islamic Index (JII)

Jurnal Dinamika Ekonomi & Bisnis ◽

10.34001/jdeb.v17i2.1396 ◽

2020 ◽

Vol 17 (2) ◽

Author(s):

Ratna Ayu Widyastuti ◽

Edi Susilo

Keyword(s):

Exchange Rate ◽

Exchange Rates ◽

Stock Prices ◽

Stock Price ◽

Stock Exchange ◽

Secondary Data ◽

Sampling Technique ◽

Return On Equity ◽

Index Stock ◽

Program Version

The research objective is to analyze the effect of Return on Equity (ROE), Earning per Share (EPS), Inflation, and Exchange Rates on the Jakarta Islamic Index stock price, 2015-2018. This research is a quantitative study, using secondary data published on the Indonesia Stock Exchange. There are 45 companies listed on the JII index which are made population. The sampling technique used purposive sampling, and there were 17 companies sampled, based on the criteria. Data analysis used multiple linear regression, with the SPSS program version 20. The results of the study, the variable Return on Equity (ROE) and Earning per Share (EPS) partially had a positive and significant effect on stock prices, while the Inflation variable and the exchange rate partially has no effect on stock prices. Simultaneously, Return on Equity (ROE), Earning per Share (EPS), Inflation, and Exchange Rate affect stock prices.

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Exploring Relationship Between the Stock Price of Taiwan and the Exchange Rate: An Autoregressive Distributed Lag Model with a Quantile Regression

International Journal of Economics and Finance ◽

10.5539/ijef.v8n1p72 ◽

2015 ◽

Vol 8 (1) ◽

pp. 72 ◽

Cited By ~ 1

Author(s):

Tzu-Kuang Hsu

Keyword(s):

Exchange Rate ◽

Quantile Regression ◽

Exchange Rates ◽

Stock Prices ◽

Stock Price ◽

Distributed Lag ◽

Distributed Lag Model ◽

Autoregressive Distributed Lag ◽

Long Run ◽

Lag Model

<p>This paper adopts an innovative method through combining an autoregressive distributed lag model and a quantile regression to examine the long-run equilibrium and short-run causal relationship between the stock price of Taiwan and the NTD/USD exchange rate from January 1980 to December 2014. The results indicate that there is long-run level equilibrium relationship between the stock price of Taiwan and the NTD/USD exchange rates at lower distribution of stock prices, and at higher and lower distribution of exchange rates. The causality results show that there is unidirectional causality running from Taiwan stock price to the NTD/USD exchange rate at higher distribution of exchange rates. The result shows that there is evidence in favor of the portfolio hypothesis.</p>

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Oil price, exchange rate and stock price in Nigeria: Fresh insights based on quantile ARDL model

ECONOMICS AND POLICY OF ENERGY AND THE ENVIRONMENT ◽

10.3280/efe2021-001004 ◽

2021 ◽

pp. 59-79

Author(s):

Emmanuel Uche ◽

Lionel Effiom

Keyword(s):

Exchange Rate ◽

Exchange Rates ◽

Stock Prices ◽

Stock Price ◽

Spillover Effects ◽

Oil Price ◽

Ardl Model ◽

Conditional Mean ◽

Pass Through ◽

The Impact

The pass-through of oil price to various macroeconomic aggregates, including the exchange rates and stock prices have been vigorously studied in the past albeit varying submissions. More so, these studies considered the relationship only within the conditional mean. To pro-vide fresh insights about the heterogeneous impacts, this study re-examines the dynamic pass-through of international oil prices to exchange rates and stock prices in Nigeria using the Quantile ARDL model. The quantile ARDL accounts for locational asymmetries among varia-bles. Findings indicate that the spillover effects of oil price shocks on both the exchange rate and stock prices in Nigeria are heterogeneous and differ significantly across the quantile dis-tributions of the foreign exchange and stock markets. The impact increases over time with greater impacts recorded at quantiles below the median. On this background, specific policies targeting the peculiar effects at each quantile of exchange rate and stock prices will ensure op-timal performance leading to higher returns to investors and market practitioners.

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Exploiting the Information of Stock Market to Forecast Exchange Rate Movements

10.51240/jibe.2010.1.4 ◽

2010 ◽

Vol 11 (1) ◽

pp. 69-87

Author(s):

Manish Kumar

Keyword(s):

Exchange Rate ◽

Exchange Rates ◽

Stock Prices ◽

Arima Model ◽

Absolute Error ◽

Stock Index ◽

Long Run ◽

Daily Data ◽

Out Of Sample ◽

Exchange Rate Movements

The present study examines dynamic relation between stock index and exchange rate by using the daily data for India. The empirical evidence suggests that there is no long-run relationship; however, there is bidirectional causality between stock index and exchange rates. The findings of the causality tests strongly support portfolio or macroeconomic approach on the relationship between exchange rates and stock prices. An attempt is also made to forecast daily returns of INR/USD exchange rates by exploiting the information of causal relationship between exchange rates and stock index using Vector -of-sample performance is benchmarked against the traditional ARIMA model. The potential of the two models is rigorously evaluated by employing a cross-validation scheme and statistical metrics like mean absolute error, root mean square error and directional accuracy. Out-of-sample performance shows that VAR model is robust, and consistently produces superior predictions than ARIMA model.

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The Dynamics of Exchange Rate and Stock Return Before and After the Fed Policy Normalization: Evidence from Fragile Five Countries

International Journal of Business Studies ◽

10.32924/ijbs.v3i2.63 ◽

2019 ◽

Vol 3 (2) ◽

pp. 54-63

Author(s):

Arsya Javidiar ◽

Irwan Adi Ekaputra

Keyword(s):

Exchange Rate ◽

Exchange Rates ◽

Stock Price ◽

Stock Return ◽

Multivariate Garch ◽

Causality Test ◽

Dynamic Correlation ◽

Daily Data ◽

Before And After ◽

Fed Funds Rate

Abstract: This research aims to examine the correlation between exchange rate and stock price return in each fragile five countries; Indonesia, Brazil, India, Turkey and South Africa. Using daily data, we investigate and then divide it into two periods; before Fed funds rate normalization (2013-2015) and after normalization (2016-2018), to find out whether the Fed funds rate hike caused a difference in the correlation between the two variables in each fragile five country. The methods used for this analysis are granger causality test and Vector Autoregression (VAR) using Eviews 9 program. Further investigation by analyzing the Dynamic Conditional Correlation-Multivariate GARCH (DCC MGARCH) method using Stata 15 program, which aims to find out the dynamic correlation between stock markets and also between currencies in fragile five countries. Granger test results found a difference in the relationship between variable exchange rates and stock price returns in Indonesia, India, and Turkey after the Fed normalization. Additionally, we learn that exchange rate lead stock price return in these three countries. Furthermore, the results of the DCC MGARCH test show that there is a significant positive dynamic correlation on the stock price index returns between markets. Moreover, we found similar results in testing positive and significant dynamic correlations between the exchange rates of each country. Key words: fragile five, exchange rate, stock return, VAR, DCC MGARCH

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Pengaruh Tingkat Suku Bunga, Inflasi Dan Nilai Kurs Terhadap Harga Saham Perusahaan Perhotelan Yang Terdaftar Di Bursa Efek Indonesia Per Triwulannya Periode 2016-2018

Journal of Economic Bussines and Accounting (COSTING) ◽

10.31539/costing.v4i2.2046 ◽

2021 ◽

Vol 4 (2) ◽

pp. 871-877

Author(s):

Rahmat Dewa Bagas Nugraha ◽

H.M Nursito

Keyword(s):

Exchange Rate ◽

Interest Rate ◽

Exchange Rates ◽

Interest Rates ◽

Quantitative Study ◽

Stock Prices ◽

Stock Exchange ◽

Secondary Data ◽

Ratio Analysis ◽

The Interest Rate

This study aims to determine and analyze the factors that affect stock prices through appropriate ratio analysis. As for the ratio of interest rates, inflation and exchange rates. Researchers want to know and analyze the effect partially or simultaneously between interest rates, inflation, and exchange rates on stock prices. This research is a quantitative study using secondary data. The object of this research is hotel companies listed on the Indonesia Stock Exchange for the period 2016-2018. The sample used in this study were 3 hotel with certain characteristics. The results of research simultaneously using the F test show that there is no influence between interest rates, inflation and exchange rates on stock prices because the calculated value is smaller than the table. Partially with the t test it can be concluded that there is no influence between interest rates on stock prices because the tcount value in the interest rate variable is smaller than the t table. Likewise, the t calculation of inflation and the exchange rate is smaller than the t table, so that there is no partial effect of the two variables on stock prices. Keywords: Stock Prices, Interest Rates, Inflation and Exchange Rates

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Analisis Pengaruh Nilai Tukar Rupiah, Inflasi Dan Indeks Dow Jones Terhadap Indeks Harga Saham Gabungan (IHSG) Di Bursa Efek Indonesia (BEI)

KINDAI ◽

10.35972/kindai.v17i1.590 ◽

2021 ◽

Vol 16 (3) ◽

pp. 542-562

Author(s):

Delila Putri Syarina

Keyword(s):

Exchange Rate ◽

Exchange Rates ◽

Stock Price ◽

Quantitative Method ◽

Price Index ◽

Stock Exchange ◽

Sampling Techniques ◽

Jones Index ◽

Stock Price Index

Abstract: This study aims to study both partially and simultaneously, large, Analysis, Analysis, Value, Exchange, Inflation, and the Dow Jones Index Against the Composite Stock Price Index (CSPI) on the Indonesia Stock Exchange (BEI) and the dominant dominant variable on the Price Index Joint Stock (CSPI)).The method used in this study is a quantitative method and with a population of 10 (ten) years, samples were taken with census sampling techniques of 10 (ten) years per year-end period, research instruments using classical data assumptions - data used using regression linear multiple.The results of this study indicate that (1) Rupiah Exchange Rates, Inflation and the Dow Jones Index influence simultaneously on the Composite Stock Price Index (CSPI) on the Indonesia Stock Exchange (2) the Dow Jones Index is partially related to the Composite Stock Price Index (CSPI) in The Indonesian Stock Exchange, while the Rupiah Exchange Rate and Inflation are not partially on the Composite Stock Price Index (CSPI) on the Indonesia Stock Exchange (3) The dominant dominant variable on the Composite Stock Price Index (CSPI) on the Indonesia Stock Exchange is the Dow Jones Index..Keywords : Rupiah Exchange Rate, Inflation, Dow Jones Index and Composite Stock Price Index (CSPI) Abstrak: Penelitian ini bertujuan untuk mengetahui baik secara parsial dan simultan seberapa besar Analisis Pengaruh Nilai Tukar Rupiah, Inflasi Dan Indeks Dow Jones Terhadap Indeks Harga Saham Gabungan (IHSG) Di Bursa Efek Indonesia (BEI) serta variabel yang berpengaruh dominan terhadap Indeks Harga Saham Gabungan (IHSG). Metode yang digunakan dalam penelitian ini adalah metode kuantitatif dan dengan populasi sebanyak 10 (sepuluh) tahun, diambil sampel dengan teknik sampling sensus sebanyak 10 (sepuluh) tahun per periode akhir tahun, instrument penelitian uji asumsi klasik data – data diuji dengan menggunakan regresi linear berganda. Hasil penelitian ini menunjukkan bahwa (1) Nilai Tukar Rupiah, Inflasi dan Indeks Dow Jones berpengaruh secara simultan terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia (2) Indeks Dow Jones berpengaruh secara parsial terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia, sedangkan Nilai Tukar Rupiah dan Inflasi tidak berpengaruh secara parsial terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia (3) Variabel yang berpengaruh dominan terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia adalah Indeks Dow Jones. . Kata kunci : Nilai Tukar Rupiah, Inflasi, Indeks Dow Jones dan Indeks Harga Saham Gabungan (IHSG).

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