The forward‐looking ability of the real exchange rate and its misalignment to forecast the economic performance and the stock market return

World Economy ◽  
2020 ◽  
Vol 43 (10) ◽  
pp. 2723-2741 ◽  
Author(s):  
Douglas Kai Tim Wong
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Real Exchange Rate ◽  
Economic Performance ◽  
The Real ◽  
Market Return ◽  
Stock Market Return ◽  
Forward Looking

scholarly journals Factors Affecting Kuala Lumpur Composite Index (KLCI) Stock Market Return in Malaysia

2016 ◽  
Vol 12 (1) ◽  
pp. 122 ◽  
Author(s):  
Uma Murthy ◽  
Paul Anthony ◽  
Rubana Vighnesvaran
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Money Supply ◽  
Composite Index ◽  
Oil Price ◽  
Series Data ◽  
Kuala Lumpur ◽  
Market Return ◽  
Stock Market Return

This paper studies the relationship between Kuala Lumpur Composite Index Stock Market Return with four macroeconomic determinants, namely interest rate, exchange rate, money supply and oil price from January 1997 to December 2015 on a monthly basis with a total of 228 observations. However, most of the studies are carried out in developed countries and large economic nations instead of in emerging markets such as Malaysia. Thus, this study aims to extend the existing studies to include the impact of several macroeconomics determinants namely interest rate, exchange rate, money supply and oil price on KLCI stock market return. This paper employed Multiple Linear Regression to examine the statistical relationship and to test the hypotheses. The data was analyzed using Statistical Package for Social Science, SPSS. For diagnostic checking, there is existence of autocorrelation problem which is typically found in time-series data.  Results indicated that there is negative relationship between exchange rate and stock market return and positive relationship between money supply and stock market return. Interest rate and oil price are found to have insignificant relationship with stock market return.

scholarly journals Macroeconomic Variables and Stock Market Returns in Sri Lanka

2017 ◽  
Vol 9 (2) ◽  
pp. 206
Author(s):  
Saseela Balagobei
Keyword(s):  
Exchange Rate ◽  
Sri Lanka ◽  
Stock Market ◽  
Inflation Rate ◽  
Stock Exchange ◽  
Market Returns ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
Market Return ◽  
Stock Market Return

The stock market is one of the most energetic sectors that play an important role in contributing to the wealth of the economy. It plays a crucial role in the economic growth and development of an economy which would benefit industries, trade and commerce as a whole. The aim of this study is to investigate the impact of macroeconomic variables on stock market returns in Sri Lanka. Dependent variable of this study is stock market return measured by All Share Price Index (ASPI) and All Share Total Return Index (ASTRI) and independent variables are macroeconomic variables, such as Interest Rate (IR), Inflation Rate (INF), Exchange Rate (ER), Factory Industry Production Index (FIPI) and money supply (MS).  The study targets all the companies listed and active in Colombo Stock Exchange (CSE) from 2006 to 2015. For analysis, secondary data was collected from annual reports of Central bank of Sri Lanka, Colombo Stock Exchange, Securities and Exchange Commission and Department of Census and Statistics. The results of the study reveal that the stock market returns is influenced by macroeconomic variables except money supply in Sri Lanka. Interest rate and factory industry production have negative influence on stock market return in Colombo Stock exchange while inflation rate and exchange rate have positive influence on stock market return. The findings of the study may be useful to public and economy especially stock market investors to focus the macroeconomic variables for making their effective decisions in order to enhance their stock market returns.

scholarly journals Nexus Between COVID-19 Infections, Exchange Rates, Stock Market Return, and Temperature in G7 Countries: Novel Insights From Partial and Multiple Wavelet Coherence

2021 ◽  
Vol 9 ◽  
Author(s):  
Sanjeet Singh ◽  
Pooja Bansal ◽  
Nav Bhardwaj ◽  
Anirudh Agrawal
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Exchange Rates ◽  
Wavelet Coherence ◽  
Market Returns ◽  
G7 Countries ◽  
Stock Market Returns ◽  
Market Return ◽  
Stock Market Return ◽  
Novel Coronavirus

This study attempts to analyze the time-varying pattern between the exchange rates, stock market return, temperature, and number of confirmed COVID-19 cases in G7 countries caused by the COVID-19 pandemic. We have implemented our analysis using wavelet coherence and partial wavelet coherence (PWC) on independent variables from January 4, 2021 to July 31, 2021. This paper contributes to the earlier work on the same subject by employing wavelet coherence to analyze the effect of the sudden upsurge of the COVID-19 pandemic on exchange rates, stock market returns, and temperature to sustain and improve previous results regarding correlation analysis between the above-mentioned variables. We arrived at the following results: 1) temperature levels and confirmed COVID-19 cases are cyclical indicating daily temperatures have a material bearing on propagating the novel coronavirus in G7 nations; 2) noteworthy correlations at truncated frequencies show that a material long-term impact has been observed on exchange rates and stock market returns of G7 and confirmed COVID-19 cases; 3) accounting for impact of temperature and equity market returns, a more robust co-movement is observed between the exchange rate returns of the respective nations and the surge in COVID-19 cases; and 4) accounting for the influence of temperature and exchange rate returns and the increase in the confirmed number of coronavirus-infected cases and equity returns, co-movements are more pronounced. Besides academic contributions, this paper offers insight for policymakers and investment managers alike in their attempt to navigate the impediments created by the coronavirus in their already arduous task of shaping the economy and predicting stock market patterns.

scholarly journals Real exchange rate misalignment and economic performance in Namibia

2013 ◽  
Vol 10 (3) ◽  
pp. 440-455
Author(s):  
Joel Hinaunye Eita ◽  
Andre C. Jordaan
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Economic Performance ◽  
Negative Impact ◽  
Exchange Rate Policy ◽  
Promotion Strategy ◽  
The Real ◽  
Exchange Rate Misalignment ◽  
And Performance ◽  
Trade Promotion

This paper estimates the real exchange rate misalignment and investigates its impact on economic performance and competitiveness of Namibia for the period 1970 to 2011 using cointegrated vector autoregression methods. The results show that there were periods of overvaluation and undervaluation of the real exchange rate. The analysis reveals that misalignment has a negative impact on the competitiveness and performance of the economy. Maintaining the real exchange rate out of equilibrium reduces economic performance and competitiveness. This suggests that policy makers should monitor the real exchange rate regularly and make the exchange rate policy part of trade promotion strategy

Effects of Exchange Rate, Interest Rate, and Inflation on Stock Market Returns Volatility in Nigeria

2019 ◽  
Vol 5 (6) ◽  
pp. 38-47 ◽  
Author(s):  
Izunobi Anthony Okechukwu ◽  
Nzotta Samuel Mbadike ◽  
Ugwuanyim Geoffrey ◽  
Benedict Anayochukwu Ozurumba
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Negative Relationship ◽  
Series Data ◽  
Market Returns ◽  
Stock Market Returns ◽  
Market Return ◽  
Stock Market Return ◽  
The Impact

This study employed GARCH (1.1) techniques to evaluate the existence of high stock market returns volatility, and the impact of the exchange rate, interest rate and inflation on stock market returns in Nigeria, using monthly series data from 1995 – 2014. Excessive volatility hinders the stock market from playing its role of Mobilizing, financial resources from surplus units to deficit units and may cause a financial crisis. The research finding shows that interest rate has a negative relationship with stock market returns, while the inflation rate and exchange rate have a positive relationship with stock market returns. The conclusion therefore is, there is high and persistent volatility in the Nigerian stock market returns. Exchange rate, interest rate, and inflation significantly impact stock market return volatility in Nigeria. The study recommends that regulatory authorities should take proactive steps to minimize stock market return in order to restore confidence in the market.

The Determinants of Gold Price in Malaysia

2021 ◽  
Vol 4 (2) ◽  
pp. g18-25
Author(s):  
Kah Hui Ting
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Inflation Rate ◽  
Consumer Price Index ◽  
Multiple Linear Regression Model ◽  
Gold Price ◽  
Causality Test ◽  
Market Return ◽  
Stock Market Return ◽  
Lm Test

The purpose of this paper is to look into the linkage between inflation rate, exchange rate, stock market return with price of gold. The sample collected for this empirical study covered 30 years of data from 1991 to 2020. The secondary data was collected annually and total 30 observations are taken for each variable. Multiple Linear Regression model is developed to find out the linkage between variables chosen with gold prices. The independent variables included Inflation rate (Consumer Price Index), exchange rate (Malaysia to USD), stock market return (FTSE Bursa Malaysia Kuala Lumpur Composite Index) and dependent variable is Price of Gold. Besides that, several tests are used including Unit Root Test (Augmented Dickey-Fuller Test), Jarque-Bera Normality Test, Breusch-Godfrey Serial Correlation LM Test, Heteroscedasticity-White Test, Ramsey Regression Equation Specification Error (RESET) Test and Granger Causality Test. The time series analysis used as the methodology by using Eview 11 to proceed all the test. The result showed that inflation rate and exchange rate have strong positive link to gold price while stock market return does not have significant relationship with gold price. In summary, this research can provide reference for other investors.

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