Impact of exchange rate volatility on stock market
Show full item record. Effect of exchange rate volatility on the Ghana Stock Exchange Login. JavaScript is disabled for your browser. Some features of this site may not work without it. K ; Adjasi, C.
The impact of exchange rate volatility on capital flows in BRICS economies
Show full item record. Effect of exchange rate volatility on the Ghana Stock Exchange Login. JavaScript is disabled for your browser. Some features of this site may not work without it. K ; Adjasi, C. Date: Abstract: The study looked at the relationship between Stock Markets and Foreign Exchange market, and determined whether movements in exchange rates have an effect on stock market in Ghana. It was found that there is negative relationship between exchange rate volatility and stock market returns — a depreciation in the local currency leads to an increase in stock market returns in the long run.
Where as in the short run it reduces stock market returns. It was also revealed that an increase decrease in trade deficit and expectation in future rise in trade deficit will decrease increase stock market volatility. In addition, the consumer price index has a strong relationship with stock market volatility.
This means that an increase in consumer price will lead to a rise in stock market volatility. Finally, there is the presence of leverage effect and volatility shocks in stock returns on the Ghana Stock Exchange. Login Register. Designed by ACU. Contact Us Send Feedback.
ABSTRACT:This paper investigates empirically the effect of volatility of the exchange rate of the U.S. dollar vis-à- vis the euro on U.S. stock market volatility while. The exchange rate Volatility is considered to be the most important and persuasive variable that affects the performance of stock index. The stock market plays.
This study intends to analyse the impact of exchange rate risk on equity returns and bond yields as well as the volatility spillover between the foreign exchange, equity and bond markets in the BRICS economies. The findings of the paper show that exchange rate volatility has a positive impact on ten-year bond yields in all BRICS countries except in South Africa, where the volatility of exchange rate has a negative impact. In addition, volatility to exchange rate positively influences equity returns in Brazil, India and South Africa, while the influence on Chinese and Russian equity returns is negative. These findings show that equity returns increase with the increase in exchange rate volatility in Brazil, India and South Africa, and decrease in China and Russia. Furthermore, the results on volatility spillovers between the equity returns, bond yields and foreign exchange markets show that the transmissions are from capital markets to foreign exchange market in South Africa, while the volatility to currency markets influence capital markets in Russia.
The impact of exchange rate and oil prices fluctuation on the stock market has been a subject of hot debate among researchers. EGARCH estimation techniques were employed to examine if either the volatility in exchange rate, oil price volatility or both experts on stock market volatility in Nigeria.
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Effect of exchange rate volatility on the Ghana Stock Exchange
In this study, Panel Vector Autoregression PVAR models are used to determine the impacts of exchange rate volatility on industrial production growth rate, consumer price inflation, short-term interest rates and stock returns for 10 OECD countries. The variance decompositions VDCs found that exchange rate volatility can be a secondary factor for the variations in immediate interest rates, implying that Uncovered Interest Rate Parity UIP condition should be analyzed by the inclusion of other macroeconomic variables. Impulse response functions IRFs expose that volatility in exchange rates can have a positive impact on the liquidity conditions in money market and an increase in real economic activity because investors have to move their money away from currency markets to money markets. The relatively lower impact of exchange rate volatility may arise from the zero bound problem, thus it is emphasized that the examination of impacts on exchange rate volatility on macroeconomics variables should be made both considering conventional and unconventional monetary policy. Although impulse response functions IRFs did not detect the significant impact of exchange rate volatility on inflation, VDCs obtained supporting results to exchange rate pass-through ERPT.
The Effect of Exchange Rate Volatility on Stock Return in Taiwan Around Abenomics
Full references including those not matched with items on IDEAS More about this item Keywords Panel smooth transition regression model ; Exchange rate ; Abenomics ; Financial ratios ; Stock returns ; Automotive and integrated circuits industries. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:asi:aeafrjp See general information about how to correct material in RePEc. For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chan Hoi Yan. If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about. If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form.
Robert A.
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