scholarly journals Toda and Yamamoto Causality Test between US $ Exchange Rates and Stock Market Prices in Sri Lanka

2018 ◽  
pp. 1-9
Author(s):  
Mohamed Ismail Mohamed Riyath
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Price Index ◽  
Share Price ◽  
Sri Lankan ◽  
Causality Test ◽  
Integration Test ◽  
Short Run ◽  
Us Dollar ◽  
Toda And Yamamoto

 co‑integration test, and the short‑run dynamic causal relationship is tested using Granger’s causality and Toda and Yamamoto [1] causality test. Place and Duration of Study: The study use daily data from the 02nd of October 1998 to 07th of September 2018.  Results: The results show that there is no long-term equilibrium relationship between All Share Price Index and US Dollar-Sri Lankan Rupees exchange rate. According to Granger’s causality and Toda-Yamamoto causality tests, the results indicate that there is a unidirectional causality running from All Share Price Index and US Dollar-Sri Lankan Rupees exchange rate in the short run. Conclusion: The study concludes that stock market causes on Exchange rate in Sri Lankan economy in the short run, but not vice versa. Contribution: This study is useful for macroeconomic policymakers and financial managers to have a better understanding of the movements between among the variables. The better understanding of short-term movements of these two variables helps to make the more informed investment and financing decisions.

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 The Relationship between Gold Prices and Exchange Value of US Dollar in India

2015 ◽  
Vol 5 (1) ◽  
pp. 17-25 ◽  
Author(s):  
Girish Karunakaran Nair ◽  
Nidhi Choudhary ◽  
Harsh Purohit
Keyword(s):  
Exchange Rate ◽  
Currency Markets ◽  
Causality Test ◽  
Exchange Value ◽  
Integration Test ◽  
Recession Analysis ◽  
Us Dollar ◽  
The Impact ◽  
The Relationship

The inverse relationship between the value of U.S. dollar and that of gold is one of the most talked about relationships in currency markets. The present study is an attempt to understand the impact of recession of 2008 on relationship between exchange rate of US dollar in INR and gold prices in India. The study uses Johansen Co- Integration test to check the long term association between exchange rate of US dollar in INR and gold prices in India and it further uses the Granger Causality Test to check the lead lag relationship between the variables. A separate pre, during and post recession analysis of the variables is done to understand the impact of recession on this relationship. The study highlights how this relationship has changed since the global turmoil.

scholarly journals Evaluation of the Impact of Macroeconomic Variables on Stock Market Performance in Nigeria

2019 ◽  
Vol 5 (2) ◽  
pp. 34 ◽  
Author(s):  
Cordelia Onyinyechi Omodero ◽  
Sunday Mlanga
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Price Index ◽  
Market Performance ◽  
Share Price ◽  
Series Data ◽  
Macroeconomic Variables ◽  
Stock Market Performance ◽  
The Impact

Stock market is an essential part of a nation’s economy and requires adequate evaluation of all factors that militate against its performance. This study investigates the role of macroeconomic variables in determining the stock market performance in Nigeria using annual time series data covering a period from 2009 to 2018. These data have been sourced from the World Bank Development Indicators, International Monetary Fund and CBN Statistical Bulletin. The results from the regression analysis indicate that exchange rate and interest rate do not have significant impact on share price index while inflation rate exerts a significant negative influence on share price index. On the contrary and in line with the concept of GDP and stock market performance, GDP significantly and positively impacts on share price index. The study among others suggests that the growth of the economy should be maintained to keep stock market flourishing while macroeconomic variables such as inflation, interest rate and exchange rate should be appropriately regulated by the relevant authorities to curtail all negative influences on stock market performance.

Dynamic linkages among international crude oil, exchange rate and Norwegian stock market: evidence from ARDL bound testing approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Shelly Singhal ◽  
Sangita Choudhary ◽  
Pratap Chandra Biswal
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Crude Oil ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Oil Price ◽  
Causality Test ◽  
Content Type ◽  
Long Run ◽  
Integration Test

Purpose The purpose of this paper is to examine the long-run association and short-run causality among oil price, exchange rate and stock market in Norwegian context. Design/methodology/approach This work uses auto regressive distributed lag (ARDL) bound co-integration test to examine the long-run association among international crude oil, exchange rate and Norwegian stock market. Further to test the causality, Toda–Yamamoto Granger causality test is used. Daily data ranging from 1 January, 2011 to 31 December, 2018 is used in this study. Findings Findings of this study suggest the existence of long-run equilibrium relationship among oil price, exchange rate and Norwegian stock market when oil price is taken as dependent variable. Further, this study observes the bi-directional causality between Norwegian stock market and exchange rate and unidirectional causality between oil and Norwegian stock market (from oil to stock market). Originality/value To the best of the authors’ knowledge, this the first study in context of Norway to explore the long-run association and causal relationships among international crude oil price, exchange rate and stock market index. Particularly, association of exchange rate and stock market largely remains unexplored for Norwegian economy. Further, majority of studies conducted in Norwegian setup have considered the period up to year 2010 and association of these variables is found to be time varying. Finally, this study uses ARDL bound co-integration test and Toda–Yamamoto Granger causality test. These methodologies have been used in literature in context of other countries like India and Mexico but not yet applied to study the Norwegian case.

scholarly journals Cointegration and Causality between Stock Prices and Exchange Rate: Empirical Evidence from India

2017 ◽  
Vol 8 (1) ◽  
pp. 39 ◽  
Author(s):  
D. Bhuvaneshwari ◽  
K. Ramya
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Prices ◽  
Pearson Correlation ◽  
Causality Test ◽  
Market Prices ◽  
Dynamic Relationship ◽  
Long Run ◽  
Pearson Correlation Test ◽  
Short Run

Predicting the exchange rate fluctuations and volatility is possibly one of the very toughest exercises in economics as it affects the market movement. The dynamic relationship between stock prices and exchange rate have drawn the attention of many economists for both theoretical and empirical reasons and plays an important role in influencing the development of a country’s economy (Nieh & Lee, 2001). Therefore, the present study is focusing on stock market prices and exchange rate, which in theory, is expected that one affects the other. The US Dollar (USD)-Indian Rupee (INR) exchange rates and stock market prices of India from January 2006 to December 2015 are considered as sample data for this study. In this research, Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root tests are applied to test stationarity of data and the data was found stationary at first difference. Karl Pearson correlation test was used to find the correlating relationship between the variables and it is found that both the variables are significantly correlated. Johansen’s cointegration test is applied to determine the long-run equilibrium relationship between the study variables and identified that the variables are not cointegrated. Granger causality test is employed to determine the causality and short-run relationship between the variables and the result revealed bidirectional causality between variables.

scholarly journals Exchange Rates and Monetary Fundamentals: What Do We Learn from Linear and Nonlinear Regressions?

2014 ◽  
Vol 2014 ◽  
pp. 1-14 ◽  
Author(s):  
Guangfeng Zhang
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Correction Model ◽  
Exchange Rate Dynamics ◽  
Long Run ◽  
Exchange Rate Movements ◽  
Short Run ◽  
Us Dollar ◽  
Linear And Nonlinear ◽  
Japanese Yen

This paper revisits the association between exchange rates and monetary fundamentals with the focus on both linear and nonlinear approaches. With the monthly data of Euro/US dollar and Japanese yen/US dollar, our linear analysis demonstrates the monetary model is a long-run description of exchange rate movements, and our nonlinear modelling suggests the error correction model describes the short-run adjustment of deviations of exchange rates, and monetary fundamentals are capable of explaining exchange rate dynamics under an unrestricted framework.

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 COINTEGRATING RELATION BETWEEN EXCHANGE RATE AND GOLD PRICE

2017 ◽  
Vol 5 (10) ◽  
pp. 263-269
Author(s):  
Ranjusha ◽  
Devasia ◽  
Nandakumar
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Unit Root Test ◽  
Gold Price ◽  
Series Data ◽  
Annual Data ◽  
Causality Test ◽  
Long Run ◽  
Integration Test ◽  
The Relationship

The very purpose of this paper is to analyse the relationship between gold price and Rupee – Dollar exchange rate in India. The study utilises the annual data of exchange Rate (ER) and Gold Price (GP) from 1970 to 2015 to determine the relationship. Different econometric tools like Unit root test, Johansen co integration test, Vector error correction model, Granger causality test are used for detecting the long run relation, if any between the mentioned variables. The result shows that there exists a long run cointegrating relation between the variables. That is we can stabilise the Gold Price movement by controlling the exchange rate fluctuations. Likewise it also shows that Exchange rate doesn’t Granger cause to Gold price and vice versa. It means that the time series data of one vasriable cannot be used to predict another.

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.

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