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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

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

Equity return volatility in Africa's stock markets : a dynamic panel approach

Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-22

This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using … volatility, the least squares dummy variable bias correction (LSDVC) model is employed. The study finds that volatility of …

Persistent link: https://www.econbiz.de/10014501248

Asset Prices, Real Exchange Rate and Current Account Fluctuations : Some Structural VAR Evidence for Thailand

Jiranyakul, Komain - 2017

This paper is motivated by the controversial issue in the literature pertaining to the impact of real exchange rate, housing prices and stock prices on current account fluctuations. Thailand's quarterly data are used to examine the impacts of shocks to asset prices and real exchange rate on the...

Persistent link: https://www.econbiz.de/10012967437

Asset Prices and Real Exchange Rates with Deep Habits

Heyerdahl-Larsen, Christian - 2014

reproduces the cross-sectional evidence on currency risk premiums when sorting on interest rates, interest rate volatility …, innovations to global exchange rate volatility, and value. Hence, the model provides an equilibrium interpretation of these …

Persistent link: https://www.econbiz.de/10013070719

International Stock Return Differentials and Real Exchange Rate Changes

Malliaropulos, Dimitris - 2022

This article investigates the link between international stock return differentials relative to the US and deviations from relative Purchasing Power Parity. Assuming that the real exchange rate and the relative stock price between two countries contain both permanent and temporary components, we...

Persistent link: https://www.econbiz.de/10013491880

Dynamic Relationships between Dubai Oil Price, Shanghai and KOSPI Stock Markets

Yim, Byung-Jin - 2017

Recognizing the importance of the relationship between stock market and oil prices, this paper examines the long-term price relationships between the Dubai oil price and stock market returns for two large oil-consuming countries in Asia, namely China and Korea, by estimating the Shanghai Stock...

Persistent link: https://www.econbiz.de/10012960642

The Bitcoin VIX and its Variance Risk Premium

Alexander, Carol - 2020

construct a term structure of bitcoin implied volatility indices using a variance swap fair-value formula that is employed by … million option prices, we construct the bitcoin implied volatility indices with maturities from one week to three months … also examine the relationship between bitcoin's 30-day realised variance, volatility index and variance risk premium with …

Persistent link: https://www.econbiz.de/10012849306

Price Discovery, High-Frequency Trading and Jumps in Bitcoin Markets

Alexander, Carol - 2020

A later version of this paper has been published in the Journal of Financial Stability (Volume 50, October 2020, Article Number 100776).When trading volumes are high, bitcoin futures on the Chicago Mercantile Exchange (CME) and -- until recently -- the Chicago Board Options Exchange (CBOE) lead...

Persistent link: https://www.econbiz.de/10012849349

Monetary Policy and Market Volatility

Dossani, Asad - 2020

An unanticipated tightening of monetary policy increases option implied volatility in equity and bond markets. At the … same time, realized volatility declines over the period corresponding to the increase in option implied volatility. The … result is a decrease in the volatility swap return, defined as a forward contract on the realized volatility of an underlying …

Persistent link: https://www.econbiz.de/10012850660