Volatility spillovers between real exchange rate returns and real stock price returns in Malaysia

2018 ◽  
Vol 24 (1) ◽  
pp. 131-149 ◽  
Author(s):  
Hock Tsen Wong
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Stock Price ◽  
Volatility Spillovers

REAL EXCHANGE RATE RETURNS AND REAL STOCK PRICE RETURNS IN THE STOCK MARKET OF MALAYSIA

2016 ◽  
Vol 64 (05) ◽  
pp. 1319-1349
Author(s):  
HOCK TSEN WONG
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Real Exchange Rate ◽  
Granger Causality ◽  
Unit Root ◽  
Stock Price ◽  
Unit Root Test ◽  
The United States ◽  
Test Statistics ◽  
Time Invariant

This study examines the relationships between real exchange rate returns and real stock price returns in the stock market of Malaysia. The Kwiatkowski, Phillips, Schmidt and Shin (KPSS) and Dickey and Fuller (DF) unit root test statistics show that all the variables examined are found to be stationary in the first differences. The constant conditional correlation (CCC)-multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model shows that real exchange rate return of Malaysian ringgit against the United States dollar (RM/USD) and real stock price return of Kuala Lumpur Composite Index (KLCI) are found to be negative and significantly correlated. However, there is insignificant correlation between real exchange rate return of Malaysian ringgit against Japanese Yen (RM/¥) and real stock price return of KLCI. Moreover, the CCC-MGARCH models show that real exchange rate returns and real stock price returns of some stocks are found to be significantly correlated. The KPSS unit root test statistics show that the time invariant conditional variances of real exchange rate returns and real stock price returns are mostly found to be stationary in the levels. There is no evidence of Granger causality between the time invariant conditional variances of real exchange rate returns and real stock price return of KLCI but some evidence of Granger causality between the time invariant conditional variances of real exchange rate returns and real stock price returns. There is a link between the exchange rate market and the stock market in Malaysia but not every real stock price return is significantly linked with real exchange rate return.

Structural shocks in monetary policy, exchange rates, and stock prices using SVAR in Iran

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mahdi Salehi ◽  
Mehdi Behname ◽  
Mohammad Sadegh Adibian
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Real Exchange Rate ◽  
Stock Prices ◽  
Stock Price ◽  
Price Index ◽  
Negative Impact ◽  
Structural Shocks ◽  
Content Type ◽  
The Real

Purpose This paper aims to examine the interrelationships of monetary policy's structural shocks, the real exchange rate and stock prices. Design/methodology/approach According to quarterly data, variables such as gross domestic product, consumer price index, the real exchange rate, stock price and monetary policy indices in the structural vector autoregressions model are estimated. These variables' volatility is attributed to other variables’ structural shocks separately, and analysis of variance tables for all variables is presented. Findings The results show that structural shock on the exchange rate does not affect the stock price, but the monetary policy's structural shock positively impacts the real exchange rate. Moreover, the real exchange rate and monetary policy's structural shocks have a negative impact on the stock price index. However, no significant effect is found pertain to the real exchange rate structural shock, statistically. Originality/value To the best of the authors’ knowledge, the current study model is relatively novel in developing countries, and the study sought strength to develop knowledge on the subject of the study.

ANALISIS PENGARUH INFLASI, KURS DAN IHSG TERHADAP RETURN REKSA DANA SAHAM PT NIKKO SECURITIES INDONESIA PERIODE 2014-2017

2019 ◽  
Vol 2 (2) ◽  
pp. 103
Author(s):  
Muhammad Rois Rois ◽  
Manarotul Fatati Fatati ◽  
Winda Ihda Magfiroh
Keyword(s):  
Regression Analysis ◽  
Exchange Rate ◽  
Linear Regression ◽  
Multiple Linear Regression ◽  
Stock Price ◽  
Price Index ◽  
Linear Regression Analysis ◽  
Multiple Linear Regression Analysis ◽  
Equity Fund ◽  
Stock Price Index

This study aims to determine the effect of Inflation, Exchange Rate and Composite Stock Price Index (IHSG) to Return of PT Nikko Securities Indonesia Stock Fund period 2014-2017. The study used secondary data obtained through documentation in the form of PT Nikko Securities Indonesia Monthly Net Asset (NAB) report. Data analysis is used with quantitative analysis, multiple linear regression analysis using eviews 9. Population and sample in this research are PT Nikko Securities Indonesia. The result of multiple linear regression analysis was the coefficient of determination (R2) showed the result of 0.123819 or 12%. This means that the Inflation, Exchange Rate and Composite Stock Price Index (IHSG) variables can influence the return of PT Nikko Securities Indonesia's equity fund of 12% and 88% is influenced by other variables. Based on the result of the research, the variables of inflation and exchange rate have a negative and significant effect toward the return of PT Nikko Securities Indonesia's equity fund. While the variable of Composite Stock Price Index (IHSG) has a negative but not significant effect toward Return of Equity Fund of PT Nikko Securities Indonesia

ANALISIS PENGARUH ERUBAHAN TINGKAT SUKU BUNGA SBI DAN PERUBAHAN KURS US$ TERHADAP HARGA PASAR SAHAM SEMEN GRESIK, TBK PERIODE JANUARI 2002 – DESEMBER 2006

2017 ◽  
Vol 4 (1) ◽  
Author(s):  
Oktafalia Marisa ◽  
Maya Syafriana
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Cash Flow ◽  
Stock Price ◽  
External Factors ◽  
Investment Climate ◽  
Internal Factors ◽  
Price Fluctuation ◽  
Two Factors ◽  
Investment Behaviour

<p class="Pendahuluan">Investment climate has begun to rise since a few years ago. Stock price fluctuations keep stable and move to the positive position. Stock price fluctuation affected by two factors, internal factors and external factors. Internal factors consist of company’s cash flow, dividend and investment behaviour. External factors consist of monetary policy, exchange rate, interest volatility, globalization, companies’ competition, and technology. This research, try to find out the effects of SBI rate and exchanged rate (USD/Rp) to PT. Semen Gresik’s stock price.</p><p class="Pendahuluan"> </p><p class="Pendahuluan">Keywords : Investment, stock price, SBI’s rate, and Exchanged rate.</p>

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