• The Journal of Asian Finance, Economics and Business
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• v.7 no.12
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• pp.95-107
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• 2020

The study investigates the asymmetric effect of exchange rate changes on stock prices in Vietnam. We use the nonlinear autoregressive-distributed lag (ARDL) analysis for monthly data from 2001:01 to 2018:05, based on VN-Index stock price collected from Ho Chi Minh Stock Exchange (HOSE); the nominal exchange rate is separated into currency depreciation and appreciation through a partial sum decomposition process. Asymmetry is estimated both in the long-run relationship and the short-run error correction mechanism. The research results show that the effect of exchange rate changes on stock prices is asymmetrical, both in the short run and in long run. Accordingly, the stock prices react to different levels to depreciation and appreciation. However, the currency appreciation affects a stronger transmission of stock prices when compared to the long-run currency depreciation. In the absence of asymmetry, the exchange rate only has a short-run impact on stock prices. This implies a symmetrical assumption that underestimates the impact of exchange rate changes on stock prices in Vietnam. This study points to an important implication for regulators in Vietnam. They should consider the relationship between exchange rate changes and stock prices in both the long run and the short run to manage the stock and foreign exchange market.

• International Area Studies Review
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• v.20 no.3
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• pp.123-144
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• 2016

This paper investigates the linkages between returns both in foreign exchange and stock markets, and uncertainties in two markets using daily data for the period of 16 July 2004 to 30 June 2014 in Nepalese economy. Four hypotheses are tested about how uncertainty influences the stock index and exchange rates. From the empirical results, a bivariate EGARCH-M model is the best to explain the volatility in the two markets. There is a negative relationship from the exchange rates return to stock price return. Empirical results do provide strong empirical confirmation that negative effect of stock index uncertainty and positive effect of exchange rates uncertainty on average stock index. GARCH-in-mean variables in AR modeling are significant and shows that there is positive effect of exchange rates uncertainty and negative effect of stock index uncertainty on average exchange rates. Stock index shocks have longer lived effects on uncertainty in the stock market than exchange rates shock have on uncertainly in the foreign exchange market. The effect of the last period's shock, volatility is more sensitive to its own lagged values.

• The Journal of Asian Finance, Economics and Business
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• v.1 no.1
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• pp.5-14
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• 2014

This paper empirically examines the short-run and long-run causal relationship between stock market prices and exchange rates in Chinese stock markets using monthly data from January 2002 to December 2012 retrieved from the National Bureau of Statistics of the People's Republic of China. Unit root, cointegration tests, vector error correction estimates, block exogeneity Wald tests, impulse responses, variance decomposition techniques and structural break tests are employed. This study found 1) long-run causality from exchange rates to stock prices in Chinese stock markets and 2) short-run causality from Japanese yen and Korean won exchange rates to stock prices in the Shanghai Stock Exchange strongly prevails while in the Shenzhen Stock Exchange weakly prevails. The impact of the global financial crisis from 2007 to 2009 on Chinese stock markets was insignificant.

• International Area Studies Review
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• v.21 no.1
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• pp.181-200
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• 2017

This study investigates the impact of exchange rate and exchange rate volatility on the stock prices of eight industries from 2006 to 2015. The first and second exchange rate exposure of these eight industries is estimated with respect to four different exchange rates, namely the US dollar, Japanese yen, European currency unit, and British pound. In exchange rate exposure, stock prices in foods-beverages, paper-wood, electricity-gas, and banks industries are negatively related to exchange rate, whereas stock prices in electrical-electronic equp. and transport-equp. industries are positively related to exchange rate as expected. However stock price in machinery industry is negatively related to exchange rate, which is opposite to the expectation. Negative relationship is found between stock price in chemicals industry and exchange rate. In exchange rate volatility exposure, stock price in paper-wood industry is found to be negatively related to exchange rate volatility. Stock price in banks industry is also negatively related to exchange rate volatility. This result is opposite as expected, because banks are supposed to get more revenue by issuing derivatives related to foreign exchange when exchange rate volatility increases.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.10
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• pp.543-553
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• 2020

This paper examines the effect of COVID-19 pandemic on the Philippine stock exchange, peso-dollar rate and retail price of diesel using robust least squares regression and vector autoregression (VAR). The robust least squares regression using MM-estimation method concluded that COVID-19 daily infection has negative and statistically significant effect on the Philippine stock exchange index, peso-dollar exchange rate and retail pump price of diesel. This is consistent with the results of correlation diagnostics. As for the VAR model, the lag values of the independent variable disclose significance in explaining the Philippine stock exchange index, peso-dollar exchange rate and retail pump price of diesel. Moreover, in the short run, the impulse response function confirmed relative effect of COVID-19 daily infections and the variance decomposition divulge that COVID-19 daily infections have accounted for only minor portion in explaining fluctuations of the Philippine stock exchange index, peso-dollar exchange and retail pump price of diesel. In the long term, the influence levels off. The Granger causality test suggests that COVID-19 daily infections cause changes in the Philippine stock exchange index and peso-dollar exchange rate in the short run. However, COVID-19 infection has no causal link with retail pump price of diesel.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.1
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• pp.1-6
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• 2021

This research examines the stock market index determinants and the prediction using the FFT curve fitting of the Jakarta Stock Exchange (JKSE) Composite Index during the COVID-19 pandemic. This paper has used daily data of Jakarta Stock Exchange (JKSE) Composite Index, interest rate, and exchange rate from 15 October 2019 to 15 September 2020, and a total of 224 observations, retrieved from Indonesia Stock Exchange (IDX), Indonesia Statistics Central Bureau and Observation & Research of Taxation. The study covers descriptive statistics, multicollinearity test, hypothesis tests, determination test, and prediction using FFT curve fitting. The results unveil four fresh and robust evidence. Partially, the interest rate has affected positively and significantly the stock market index. Partially, the exchange rate has affected negatively and significantly the stock market index. The F-test result, interest rate, and exchange rate have significantly affected the stock market index (JKSE) simultaneously. Furthermore, the FFT curve fitting has predicted that the stock market fluctuates and increases over time. The results have shown a strong influence of the independent variables and the dependent variable. The value of Adjusted R-Square is 0.719, which means that the independent variables have simultaneously impacted the dependent variable for 71.9%; other factors have influenced the remaining 28.1%.

• Journal of Distribution Science
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• v.10 no.7
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• pp.13-22
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• 2012

The effect of the September 2008 global financial crisis weighed heavily on stock markets around the world. The purpose of this study is to empirically investigate the impact of the crisis on Amman Stock Exchange. Event study methodology has been adopted on a period of 24 months, from January 2008 to December 2009. Monthly average abnormal returns across a sample of 52 industrial and services companies have been tested separately. The results reveal that Amman Stock Exchange experienced significant negative abnormal returns in the fourth quarter of the year 2008. However, there were no significant abnormal returns observed thereafter. This means that Amman Stock Exchange managed to overcome its adverse consequences. Since the event study tests for market efficiency, as well, the results show that Amman Stock Exchange reaction is consistent with the semi-strong form of the efficient market hypothesis.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.5
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• pp.1-9
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• 2022

The study examines stock prices (LOGKSE) and exchange rate (LOGPK)-Pakistani Rupee vis-à-vis US Dollar- interactions in Pakistan. This study employs a multivariate VAR-GARCH model using monthly data from January 2012 to October 2020. The results of the Johansen cointegration test show that there is no relationship between Foreign Exchange Market and Stock Market in the long run. In the short-run, stock exchange returns are affected slightly negatively by the changes in the foreign exchange market, but the foreign exchange market does not seem to be affected by the ups and downs of the stock exchange. The VAR model and Granger Causality show that both markets are strongly influenced by their own lagged values rather than by the lagged values of one another and show weak or no correlation between the two markets. Volatility persistence is observed in both the stock and foreign exchange markets, implying that shocks and past period volatility are major drivers of future volatility in both markets. Thus greater uncertainties today will induce panic and consequently generate higher volatility in the future period. This phenomenon has been observed many times on Pakistan Stock Exchange especially. The results have important implications for local international investors in portfolio diversification decisions and risk hedging strategies.

• The Journal of Asian Finance, Economics and Business
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• v.2 no.3
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• pp.17-22
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• 2015

This paper examines the effect of impulsiveness of euro on Indian stock market. In order to examine the problem, we select rupee-euro exchange rates and S&P CNX NIFTY and BSE30 SENSEX to represent stock price. We select euro as it considered as second most widely used currency at the international level after dollar. The data are collected a daily basis over a period of 3-Apr-2007 to 30-Mar-2012. The statistical and time series properties of each and every variable have examined using the conventional unit root such as ADF and PP test. Adopting a generalized autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) model, the study suggests a negative relationship between exchange rate and stock prices in India. Even though India is a major trade partner of European Union, the study couldn't find any significant statistical effect of fluctuations in Euro-rupee exchange rates on stock prices. The study also reveals that shocks to exchange rate have symmetric effect on stock prices and exchange rate fluctuations have permanent effects on stock price volatility in India.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.10
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• pp.629-639
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• 2020

The current study explains how corruption, terrorism, political stability and oil price has an effect on on the Iraq stock exchange utilizing corruption perception index as a proxy of corruption, global terrorism index as proxy for terrorism, political stability and oil price with ISX60 index as proxy of stock market for the period (2005-2019) using Ordinary Least Square method. The results show that the level of corruption, terrorism activities and political stability coefficient is significantly positive with Iraq stock exchange. In contrast, the oil price coefficient is significantly negative with Iraq stock exchange, which means that lower levels of corruption, less terrorism activities and more stability in political system have strong influence on stock market development in Iraq. The study concludes that the explanatory variables are important for Iraq stock exchange. Hence, the study suggests the policy makers to develop stock market by implementing policies and strategies to overcome high level of corruption, terrorism activities especially after ISIS/ISIL announcement has been made public. There is a need for transparency and creating stable political environment through good governance practices in order to attract more foreign investment and promote economic development. Factors like terrorism and corruption make economic and political systems unstable and has an adverse effect on on Iraq's stock exchange performance.