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The impact of real exchange rates on real stock prices
Wong, Hock Tsen - In: Journal of economics, finance & administrative science 27 (2022) 54, pp. 262-276
Purpose - The study examines the impact of real exchange rates and asymmetric real exchange rates on real stock prices in Malaysia, the Philippines, Singapore, Korea, Japan, the United Kingdom (UK), Germany, Hong Kong and Indonesia. Design/methodology/approach - This study uses the asymmetric...
Persistent link: https://www.econbiz.de/10014339120
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Global connectivity between commodity prices and national stock markets : a time-varying MIDAS analysis
Enilov, Martin; Fazio, Giorgio; Ghoshray, Atanu - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 2607-2619
Persistent link: https://www.econbiz.de/10014327564
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On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes
Berger, Theo; Uddin, Mohammed Gazi Salah - In: Energy economics 56 (2016), pp. 374-383
Persistent link: https://www.econbiz.de/10011664267
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Commodity prices and forecastability of international stock returns over a century : sentiments versus fundamentals with focus on South Africa
Salisu, Afees A.; Gupta, Rangan - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 9, pp. 2620-2636
Persistent link: https://www.econbiz.de/10013354984
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Causality between stock prices and exchange rates in Turkey : empirical evidence from the ARDL bounds test and a combined cointegration approach
Türsoy, Turgut - In: International Journal of Financial Studies : open … 5 (2017) 1, pp. 1-10
This paper investigates the interaction between stock prices and real exchange rates by applying monthly data from Turkey for the period between January 2001 and September 2016. This study uses the autoregressive distributed lag (ARDL) model and the Error Correction Model (ECM) in order to...
Persistent link: https://www.econbiz.de/10011649295
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Does the Financial Channel of Exchange Rates Offset the Trade Channel?
Kearns, Jonathan - 2016
While the trade channel indicates that an exchange rate depreciation will stimulate domestic economic activity, the financial channel can have the opposite effect. When banks and non-banks have foreign currency liabilities, an exchange rate depreciation has valuation effects that can lead to a...
Persistent link: https://www.econbiz.de/10012977169
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The stock and commodity market relation : is it the same for emerging and developed markets?
Guhathakurta, Kousik; Shikhar, Prabandh - In: The empirical economics letters : a monthly … 15 (2016) 6, pp. 543-553
Persistent link: https://www.econbiz.de/10011655777
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Investigating abnormal volatility transmission patterns between emerging and developed stock markets : a case study
Spulbăr, Cristi; Trivedi, Jatin; Birau, Ramona - In: Journal of business economics and management 21 (2020) 6, pp. 1561-1592
The main aim of this paper is to investigate volatility spillover effects, the impact of past volatility on present … emerging stock markets capture the volatility patterns of developed stock markets located in the same region. The empirical … volatility clustering, interdependence, correlations, financial integration and leptokurtosis. Symmetric and asymmetric GARCH …
Persistent link: https://www.econbiz.de/10012505328
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Volatility spillover between Germany, France, and CEE stock markets
Chirilă, Viorica; Chirilă, Ciprian - In: Journal of business economics and management 23 (2022) 6, pp. 1280-1298
financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover … proposed by Antonakakis and Gabauer (2017) is used to estimate the evolution in time of volatility spillover. The empirical … results obtained for the period January 2001 - September 2021 highlight the increase in volatility spillover between the …
Persistent link: https://www.econbiz.de/10013500945
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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