Stock Returns and Exchange Rate Nexus in Ghana: A Bayesian Quantile Regression Approach

2015 ◽  
Vol 84 (1) ◽  
pp. 149-179 ◽  
Author(s):  
Gideon Boako ◽  
Maurice Omane-Adjepong ◽  
Joseph Magnus Frimpong
Keyword(s):  
Exchange Rate ◽  
Quantile Regression ◽  
Stock Returns ◽  
Bayesian Quantile Regression ◽  
Regression Approach

scholarly journals Exchange Rate, Gold Price, and Stock Market Nexus: A Quantile Regression Approach

Risks ◽  
2020 ◽  
Vol 8 (3) ◽  
pp. 86
Author(s):  
Rizwan Ali ◽  
Inayat Ullah Mangla ◽  
Ramiz Ur Rehman ◽  
Wuzhao Xue ◽  
Muhammad Akram Naseem ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Emerging Market ◽  
Empirical Relationship ◽  
Gold Price ◽  
Stock Market Performance ◽  
Regression Approach ◽  
The Exchange Rate

In this study, we examine an empirical relationship between stock market volatility with the exchange rate and gold prices of an emerging market, “Pakistan”, employing daily and monthly data (PSX-100 Index) covering from 2001: Q3 to 2018: Q2. The study explains the average stock returns by applying MGARCH. Further, it investigates that the volatility in the exchange rate (Rs/US $) and gold prices remain equally strong in bearish and bullish conditions of the stock market by using a quantile regression approach (2001–2018). Additionally, the sample period is divided into two split samples that cover (2001–2007) and (2008–2018) respectively, based on global financial crises and applied similar analysis. The overall results show the negative impact of the exchange rate and gold price volatility on the stock market performance daily (monthly), supporting the argument that the stock market considers the exchange rate and gold price fluctuations as an adverse indicator and reacts negatively.

Dependence between oil price changes and sectoral stock returns in Pakistan: Evidence from a quantile regression approach

2021 ◽  
pp. 0958305X2199798
Author(s):  
Mushtaq Hussain Khan ◽  
Junaid Ahmed ◽  
Mazhar Mughal
Keyword(s):  
Quantile Regression ◽  
Crude Oil ◽  
Stock Returns ◽  
Structural Breaks ◽  
Stock Exchange ◽  
Detailed Examination ◽  
Oil Price ◽  
Crude Oil Prices ◽  
Regression Approach ◽  
Relationship Change

This study explores the dependence between changes in world crude oil prices and the performance of the Pakistan Stock Exchange, at the aggregate as well as sectoral levels for the period from July 1997 to December 2016. Quantile regression approach is employed for a detailed examination of the structure and degree of dependence for three sub-periods corresponding to normal, rising, and falling oil price periods. We found that the dependence between changes in crude oil price and the sectoral stock returns is heterogeneous across industries and it exists in both bullish and bearish market trends. The dependence at the upper and lower quantiles is found to be a common feature across industries. Moreover, the dependence and direction of the relationship change at times of structural breaks. The findings highlight an external channel through which fluctuations in stock returns may impede the liquidity of the stock market of an oil-importing country such as Pakistan, thereby affecting the domestic economy.

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