• The Journal of Asian Finance, Economics and Business
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• 제7권9호
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• pp.31-37
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• 2020

The purpose of this research study is to examine the stock market's response to terrorist attacks. The study uses data of terrorist attacks in different parts of the country (Pakistan) from June 1, 2014 to May 31, 2017. The event window procedure applies to a 16-day window in which 5 days before and 10 days after the attack. In addition, several event windows have been built to test the response of the Pakistan Stock Exchange. KSE-100 index is taken as proxy of response. The total terrorist attacks are classified into four categories: attacks on law enforcement agencies, attacks on civilians, attacks on special places and attacks on politicians, government employees and bureaucrats. The standard market model is used to estimate the abnormal return of the Pakistan Stock Exchange, which takes 252 business days each year. Furthermore, BMP test is used to check statistical significance of cumulative abnormal rate of return (CAAR). The results of this study reveal that total number of terrorist attacks and attacks on law enforcement agencies show long-term effects on Pakistan stock exchange. However, attacks on civilians, attacks on special places and attacks on politicians, government employees and bureaucrats have little effect on the Pakistan Stock Exchange.

• The Journal of Asian Finance, Economics and Business
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• 제8권4호
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• pp.601-611
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• 2021

There are many asset prices which are interlinked and have a bearing on the stock market index. Studies have shown that the interrelationship among these asset prices vary and are inconsistent. The ultimate aim of this study is to examine the dynamic relationship between gold price, oil price, exchange rate and stock index. Monthly time series data has been utilized by the researcher to examine the interrelationship between four variables. The relationship among stock exchange rate index, oil price and gold price have been undertaken using regression and granger causality test. The results indicate that the exchange rate and oil price have an indirect influence on NIFTY; whereas gold price had a direct impact on NIFTY. It is evident from the results that volatility in the price of gold is mainly dependent on the exchange rate and vice versa. All the variables affect NIFTY in some way or the other. However, gold has a direct and vital relationship. From the study findings, it can be concluded that macroeconomic variables like commodity prices and foreign exchange rate, gold and oil, have a strong relationship on the return on securities at the national stock exchange of India.

• East Asian Economic Review
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• 제19권1호
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• pp.3-38
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• 2015

Fama's (1984) volatility relations show that the risk premium in foreign exchange markets is more volatile than, and is negatively correlated with the expected rate of depreciation. This paper studies these relations from the perspective of goods markets frictions. Using a sticky-price general equilibrium model, we show that near-random walk behaviors of both exchange rates and consumption, in response to monetary shocks, can be derived endogenously. Based on this approach, the paper provides quantitative results on Fama's volatility relations.

• 한국경영과학회지
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• 제29권1호
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• pp.31-41
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• 2004

This study analyzes the structure of the variations In the domestic bank earnings and examines their dynamic features by estimating the short-run response and the long-run adjustment Process after the changes in financial market variables. A system of the equations for the bank stock price index and KOSPI is formulated to utilize the whole information in the market and simultaneously estimated to identify the relationships between the market variables and the bank earnings. Since the bank stock price is found to be responsive to changes in none of the market variables in the short run, while being relatively responsive to dollar exchange rate and business state, It implies that a good economic conditions and a stable foreign exchange rate should be maintained to Improve the level of the stock price In the long run. In addition, the dynamic structure of the responses of the bank stock price index and KOSPI to the initial changes in the market variable are compared and anlayzed. The response of the bank stock price appears to take much longer in adjusting to the long-run eouilibrium level than that of KOSPI. As a result, the cumulative response of the bank stock price index over time is found much bigger than that of HOSPI.

• 경제분석
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• 제25권3호
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• pp.70-99
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• 2019

본 연구는 주가지수, 원달러 환율, 국채수익률 및 신용스프레드로 구성된 Stochastic volatility-in-mean VAR 모형을 이용하여 금융시장 불확실성이 금융시장에 미치는 효과를 분석하였다. 첫째, 불확실성 증가충격의 효과는 경기후퇴적(recessionary)이며, 특히 주가 하락효과와 원달러 환율 상승효과가 강력한 것으로 나타났다. 둘째, 금융시장 스트레스에 따른 국면전환(regime shift) 효과에 대한 분석에서는 금융시장 위기 기간 중 불확실성의 효과가 평상시에 비해 더욱 강력해진다는 결과를 얻었다. 마지막으로 금융시장 불확실성 증가는 금융부문을 넘어 실물부문까지 영향을 미치는 실질효과 가능성에 대한 증거가 제시되었다.

• 대한안전경영과학회:학술대회논문집
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• 대한안전경영과학회 2002년도 추계학술대회
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• pp.321-339
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• 2002

The result of variance decomposition through yield of Treasury of 30 year maturity of USA, S&P 500 index, stock price of KEPCO has 76.12% of impulse of KEPCO stock price at short-term horizon, but they have 51.40% at long-term horizon. After one year, they occupy 13.65%, and 33.25%. So their effects are increased. By the way, S&P 500 index and yield of Treasury of 30 year maturity of USA have relatively more effect for forecast of stock price oi KEPCO at short-term & long-term. The yield of Treasury of 30 year maturity of USA more than S&P 500 index have more effect for stock price of KEPCO. It is why. That foreign investors through fall of stock price of USA invest for emerging market is less than movement for emerging market of hedge funds through effect of fall of yield of Treasury of 30 year maturity of USA, according to relative effects for stock price of Korea companies. The result of variance decomposition through won/dollar foreign exchange rate, yield of corporate bond of 3 year maturity, Korea Stock Price index(KOSPI), stock price of KEPCO has 81.33% of impulse of KEPCO stock price at short-term horizon, but they have 41.73% at long-term horizon. After one year, they occupy 23.57% and 34.70%. So their effects are increased. By the way, KOSPI and won/dollar foreign exchange rate have relatively more effect for forecast of stock price of KEPCO at short-term & long-term. The won/dollar foreign exchange rate more than KOSPI have more effect for stock price of KEPCO. It is why. The recovery of economic condition through improvement of company revenue causes of rising of KOSPI. But, if persistence of low interest rate continues, fall of won/dollar foreign exchange rate will be more aggravated. And it will give positive effect for stock price of KEPCO. This gives more positive effect at two main reason. Firstly, through fall of won/dollar foreign exchange rate and rising of credit rating of Korea will be followed. Therefore, foreign investors will invest more funds to Korea. Secondly, inflow of foreign investment funds through profit of won/dollar foreign exchange rate and stock investment will be occurred. If appreciation of won against dollar is forecasted, foreign investors will buy won. Through this won, investors will do investment. Won/dollar foreign exchange rate is affected through external factors of yen/dollar foreign exchange rate, etc. Therefore, the exclusion of instable factors for foreign investors through rising of credit rating of Korea is necessary things.

• 아태비즈니스연구
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• 제11권1호
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• pp.61-75
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• 2020

Purpose - The purpose of this study was to examine the efficiency of the foreign exchange markets in Korea, Japan and China. Design/methodology/approach - This study collected 1327 observations each of the daily closing exchange rates of the three currencies against the US dollar for the sample period from January 1, 2015 to January 31, 2020, based on the tests for autocorrelation, unit root tests and GARCH-M(1,1) model estimation. Findings - We have found that the autocorrelation test indicates the lack of autocorrelation and unit root test confirms the existence of unit roots in all times series of the three currencies, respectively. The GARCH-M(1,1) test results, however, suggest that the exchange rates do not follow a random walk process. In conclusion, the recent spot foreign exchange markets in Korea, Japan and China are believed to be informationally inefficient. Research implications or Originality - These findings have practical implications for both individual and institutional investors to be able to obtain excess returns on their investments in the foreign exchange markets in three countries by using appropriate risk management, portfolio strategy, technical analysis, etc. This study provides the first empirical examination on the foreign exchange market efficiency in the three biggest economies in Asia including China, which has been excluded from research due to its exchange rate regime.

• Communications for Statistical Applications and Methods
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• 제9권1호
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• pp.141-154
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• 2002

Foreign investors'shares and their influences on the Korean stock market have never been larger and greater before since the market was completely open to foreign investors in 1992 Quantitatively and qualitatively as well, as a result, changes in the patterns of foreign investments have caused enormous effects on the interactions of major macroeconomic indices of the Korean economy. This paper is intended to investigate the causal relations of the four variables, foreigners'buy-sell ratios, stock returns, ￦/＄ exchange rates and $\yen$/＄ exchange rates, over the two time periods of the pre-IMF (1996.1.1-1997.8.15) and the post-IMF (1997.8.16-2000.6.15) based on the daily data of the variables. Granger Causality Test, Forecast Error Variance Decomposition(FEVD) using VAR model and Impulse Response Function were implemented for the empirical analysis.

• 산경연구논집
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• 제10권2호
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• pp.65-75
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• 2019

Purpose - Along with Chinese exchange rate's reform advancement, the issue of exchange rate of RMB has increasingly become the heated focus in the world. In July 2005, China carried out the reform of the exchange rate system, and this behavior has aroused the attention of the world. However, the dispute on whether the theory of purchasing power parity holds or not in China still exists. As such, this paper will attempt to explore whether the purchasing power parity is significant in China. Research design, data, and methodology - The monthly data from July 2005 to December 2017 will be employed to analyze the nominal exchange rate of RMB against the US dollar and the nominal exchange rate of RMB against the euro. Based on these datum, an empirical analysis will be conducted under the unit root test and the cointegration test to exploit the significance of purchasing power parity in China. Results - The findings of this paper reveal that an increase in China's consumer price index will lead to an increase in the RMB exchange rate, which will lead to the depreciation of RMB. Concomitantly, an increase in the consumer price index in the US and Europe will result in a decrease in the RMB exchange rate, which will lead to an appreciation of RMB. In general, in terms of the US, if US consumer price index increases by 1%, China's nominal exchange rate against US dollar will decrease by 0.905%; if China's consumer price index increases by 1%, China's nominal exchange rate against US dollar will increase by 0.648%. In terms of Europe, if Europe consumer price index increases by 1%, China's nominal exchange rate against euro will decrease by 0.277%; If China's consumer price index increases by 1%, China's nominal exchange rate against euro will increase by 0.235%. Conclusions - Generally speaking, the empirical evidences this paper provided show that the purchasing power parity theory has a certain explanatory ability for the decision of RMB exchange rate. As such, the purchasing power parity cannot hold completely, and China's government should continue to deepen the reform of the exchange rate system to improve China's exchange rate market.

• 재무관리연구
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• 제20권1호
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• pp.305-329
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• 2003

본 연구는 1987년 1월 5일부터 2001년 12월 28일까지의 일별 및 월별 자료를 가지고 미국 달러화와 일본 엔화가 기업의 주식수익률에 미치는 영향 및 비대칭성을 분석하였다. 일별 자료에 대해서는 오차항의 이분산을 고려해 자기회귀와 GARCH 계열 모형을 사용하였으며, 월별 자료에 대해서는 자기회귀모형을 사용했다. 전체기간 및 하위기간에 대한 분석결과는 일별 자료가 월별 자료에 비해 환노출을 발견하는 데 보다 탁월하다는 것을 보여주고 있다. 또한 EGARCH(1, 1)와 GJR-GARCH(1, 1)로 일별 자료를 분석하는 것이 보다 높은 설명력을 갖는 것으로 나타났다. 한편, 노출된 기업의 대부분에서 음의 환노출이 발견되고 있다. 이는 우리나라 기업의 주식수익률은 환율인상에 대해서는 부정적 영향을, 환율인하에 대해서는 긍정적 영향을 받는 것으로 해석할 수 있다. 비대칭성에 대한 분석 결과는 우리나라 기업은 대부분 비대칭적 환노출에 직면하고 있으며, 실물옵션이론보다는 시장중시가격이론이 보다 설득력이 있다는 결론을 제시해주고 있다. 또한 월별 자료가 일별 자료에 비해 비대칭 분석을 정확히 할 수 있는 것도 발견되었다.