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Disentangling the role of the exchange rate in oil-related scenarios for the European stock market
Ojea Ferreiro, Javier - 2019
Until now, stock market responses to a distress scenario for oil prices have been analysed considering prices in domestic currency. This assumption implies merging the commodity risk with the exchange rate risk when oil and stocks are traded in different currencies. This article proposes...
Persistent link: https://www.econbiz.de/10012034482
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Disentangling the role of the exchange rate in oil-related scenarios for the European stock market
Ojea Ferreiro, Javier - 2019
Until now, stock market responses to a distress scenario for oil prices have been analysed considering prices in domestic currency. This assumption implies merging the commodity risk with the exchange rate risk when oil and stocks are traded in different currencies. This article proposes...
Persistent link: https://www.econbiz.de/10012142140
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On the relationship between oil price, exchange rate and stock market performance in South Africa : further evidence from time-varying and regime switching approaches
Sanusi, Kazeem Abimbola; Mingiri, Kapingura Forget - In: Cogent economics & finance 10 (2022) 1, pp. 1-18
volatility on other economic fundamentals. …
Persistent link: https://www.econbiz.de/10013415387
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Dynamic effect of exchange rate gap shocks on stock market deepening : evidence from Nigeria
Arikewuyo, Kareem Abidemi - In: CBN journal of applied statistics 14 (2023) 1, pp. 93-119
The study examines the exchange rate gap shock-stock market deepening nexus in Nigeria using the structural VAR-X (SVAR-X) technique for the period 1986Q1 to 2018Q4. Findings reveal that exchange rate gap shock has a negative but statistically not significant effect on stock market deepening in...
Persistent link: https://www.econbiz.de/10015393740
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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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Shorting the Dollar When Global Stock Markets Roar : The Equity Hedging Channel of Exchange Rate Determination
Ben Zeev, Nadav; Nathan, Daniel - 2023
We document a new channel of exchange rate determination by examining the impact of global equity market shocks on the collective hedging of foreign exchange (FX) risk by large institutional investors (IIs). Using novel daily data on FX forward flows of Israeli IIs, we investigate the causality...
Persistent link: https://www.econbiz.de/10014258238
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Examination of Long Term Effect of Exchange Rate on Indian Stock Market
Raman, R.; Srindhi - 2015
This study investigates the long run relation among Stock Returns and four major Foreign Exchanges in India over a period of 14 ½ year period starting from January, 2000 to June, 2014. On applying the techniques of Unit – root test, Multiple Break Point test, Johansen’s Cointegration and...
Persistent link: https://www.econbiz.de/10014131327
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Symmetries or asymmetries : how MSCI index advanced European markets' exchange rates respond to macro-economic fundamentals
Tabash, Mosab I.; AsadUllah, Muhammad; Siddiq, Quratulain; … - In: Economies : open access journal 12 (2024) 12, pp. 1-16
The purpose of this study is to find symmetries and asymmetries in the exchange rate and macroeconomic fundamentals of advanced European markets, namely Denmark, the Euro Area, and United Kingdom, for the period of 2011 to 2022 via application of the NARDL technique. The findings reveal that...
Persistent link: https://www.econbiz.de/10015202458
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Oil Price Shocks and Stock Market Volatility : Evidence from European Data
Degiannakis, Stavros; Filis, George; Kizys, Renatas - 2022
The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three … measures of volatility, i.e. the conditional, the realised and the implied volatility. The findings suggest that supply …-side shocks and oil specific demand shocks do not affect volatility, whereas, oil price changes due to aggregate demand shocks …
Persistent link: https://www.econbiz.de/10013403135
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Conventions in the foreign exchange market : do they really explain exchange rate dynamics?
Filippo, Gabriele di - 2010
Persistent link: https://www.econbiz.de/10003940344