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Private Information, Stock Markets, and Exchange Rates
Gyntelberg, Jacob - 2013
Explaining exchange rates has long been an important but vexing issue in international economics and finance. In recent years, a number of studies have shown that investors' private information plays a central role in determining exchange rates. We demonstrate in this paper that the private...
Persistent link: https://www.econbiz.de/10013095767
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Stock market uncertainty and uncovered equity parity deviation : evidence from Asia
Jung, Jiyong; Jung, Kuk Mo - In: Journal of Asian economics 73 (2021), pp. 1-22
Persistent link: https://www.econbiz.de/10012802664
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Do Stock Markets Have Predictive Content for Exchange Rate Movements?
Chen, Shiu‐Sheng - 2019
This paper examines short-horizon exchange rate predictability and investigates whether stock returns contain information for forecasting daily exchange rate movements. Inspired by the uncovered equity parity condition, we show that stock return differentials have in-sample and out-of-sample...
Persistent link: https://www.econbiz.de/10012900301
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Oil, gold, US dollar and stock market interdependencies : a global analytical insight
Arfaoui, Mongi; Ben Rejeb, Aymen - In: European journal of management and business economics : … 26 (2017) 3, pp. 278-293
Persistent link: https://www.econbiz.de/10011823435
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Stock market co-movement and exchange rate flexibility : experience of the Republic of Korea
Pak, Yŏng-chŏl; Park, Hail - 2014
This paper argues that for countries where equity investments dominate cross-border capital flows, the proper framework for analyzing the role of a flexible exchange rate system as a buffer against external shocks is the uncovered stock return parity condition, rather than the uncovered interest...
Persistent link: https://www.econbiz.de/10010351519
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Nexus between Crude Oil Price, Exchange Rate and Stock Market : Evidence from Oil Exporting and Importing Economies
Am, Muhammad Ashiq - 2017
countries are also done. An attempt is made here to study specifically the impact of crude oil price volatility on stock prices …
Persistent link: https://www.econbiz.de/10012963642
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Volatility Spillovers between Foreign-Exchange and Stock Markets
Morales-Zumaquero, Amalia - 2017
transitory components of the conditional variance exhibit several well-known peaks in volatilities; (ii) the long-run volatility … relationships are stronger than the short-run linkages volatility with a reinforcement during the post-global financial crisis …-run volatility, except for in the period after the Global Financial Crisis, where the foreign-exchange markets are the main long …
Persistent link: https://www.econbiz.de/10012965716
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Analysis of the Effects of the US Stock Market Returns and Exchange Rate Changes on Emerging Market Economies' Stock Market Volatilities
Kayral, Ihsan Erdem - 2017
In this paper, the effects of the US stock market returns, exchange rate changes and volatilities on stock market volatilities in 10 emerging market economies between 2000-2013 (also two sub-periods covering the time between 2000-2007, and between 2008-2013) have been analysed with separate 30...
Persistent link: https://www.econbiz.de/10012950808
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Stock Market Co-Movement and Exchange Rate Flexibility : Experience of the Republic of Korea
Park, Yung Chul - 2017
This paper argues that for countries where equity investments dominate cross-border capital flows, the proper framework for analyzing the role of a flexible exchange rate system as a buffer against external shocks is the uncovered stock return parity condition, rather than the uncovered interest...
Persistent link: https://www.econbiz.de/10012973237
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Exchange rates and the global transmission of equity market shocks
Ojea-Ferreiro, Javier; Reboredo, Juan Carlos - 2021
We assess the role played by exchange rates in buffering or amplifying the propagation of shocks across international equity markets. Using copula functions we model the joint dependence between exchange rates and two global equity markets and, from a copula framework, we obtain the conditional...
Persistent link: https://www.econbiz.de/10012549999