Examination of Stock Market Returns Viz-a-Viz Utility Price and Exchange Rate Movements: Evidences from India after Credit Crisis

2014 ◽  
Author(s):  
Avik Sinha
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Credit Crisis ◽  
Market Returns ◽  
Stock Market Returns ◽  
Exchange Rate Movements

scholarly journals Effects of Exchange Rate and Inflation Rate on Stock Market Returns Volatility in India.

2020 ◽  
Author(s):  
Nenavath Sre ◽  
Suresh Naik
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Error Correction ◽  
Inflation Rate ◽  
Market Returns ◽  
Stock Market Returns ◽  
Positive Effects ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run

Abstract The paper investigates the effect of exchange and inflation rate on stock market returns in India. The study uses monthly, quarterly and annual inflation and exchange rate data obtained from the RBI and market returns computed from the Indian share market index from January, 2000 to June, 2020.The paper uses the autoregressive distributed lag (ARDL) co-integration technique and the error correction parametization of the ARDL model for investigating the effect on Indian Stock markets. The GARCH and its corresponding Error Correction Model (ECM) were used to explore the long- and short-run relationship between the India Stock market returns, inflation, and exchange rate. The paper shows that there exists a long term relationship but there is no short-run relationship between Indian market returns and inflation. But, there is periodicity of inflation monthly considerable long run and short-run relationship between them existed. The outcome also illustrates a significant short-run relationship between NSE market returns and exchange rate. The variables were tested for short run and it was significantly shown the positive effects on the stock market returns and making it a desirable attribute of which investors can take advantage of. This is due to the establishment of long-run effect of inflation and exchange rate on stock market returns.

Effects of the COVID-19 pandemic on stock market returns and volatilities: evidence from selected emerging economies

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Bijoy Rakshit ◽  
Yadawananda Neog
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Emerging Economies ◽  
Market Performance ◽  
Exchange Rate Volatility ◽  
Oil Price ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
Stock Market Performance

Purpose The purpose of this paper is to investigate the effects of exchange rate volatility, oil price return and COVID-19 cases on the stock market returns and volatility for selected emerging market economies. Additionally, this study compares the market performance in the emerging economies during the COVID-19 pandemic with the pre-COVID and global financial crisis (GFC) period. Design/methodology/approach The authors apply the arbitrage pricing theory to model the risk-return relationship between the risk-based factors (exchange rate volatility and COVID-19 cases) and stock market returns. By applying the exponential generalized autoregressive conditional heteroskedasticity model, the study captures the asymmetric volatility spillover from the stock markets to foreign exchange markets and vice versa. Findings Findings reveal that exchange rate volatility exerts a negative and significant effect on the market returns in Brazil (BOVESPA), Chile (S&P CLX IPSA), India (SENSEX), Mexico (S&P BMV IPC) and Russia (MOEX) during the coronavirus pandemic. Regarding the effect of oil price returns, the authors find a positive relationship between oil price and stock market returns across all the economies in the study. The market returns of Russia, India, Brazil and Peru appeared more volatile during the pandemic than the GFC period. Practical implications As the exchange rate volatility is causing higher risk and uncertainty in the stock market’s performance, the central bank’s effort to maintain a stabilizing effect on the exchange rate sale can be proven crucial for the economies under consideration. Emphasized should also be given to boost investors’ confidence in the stock market, and for this, the government policy actions in reducing the transmission of the disease are the need of the hour. Originality/value While a large volume of literature on stock market performance in times of COVID-19 has emerged from developed economies, this study adds to the literature by exploring the emerging economies’ stock market performance during the COVID-19 pandemic. Unlike previous literature, this study examines the volatility spillover between stock and exchange rate markets in the worst affected emerging economies during the crisis.

scholarly journals Impacts of Macroeconomic Variables on the Stock Market Returns of South Asian Region

2020 ◽  
pp. 24-34 ◽  
Keyword(s):  
Growth Rate ◽  
Exchange Rate ◽  
Stock Market ◽  
Inflation Rate ◽  
Foreign Currency ◽  
Currency Reserve ◽  
Gdp Growth ◽  
Market Returns ◽  
Stock Market Returns ◽  
Gdp Growth Rate

This paper is intended to find out whether macroeconomic variables may impact on the stock market as well as whether such impact has any country specific pattern. The stock market return was taken as the dependent variable and real interest rate, inflation rate, GDP growth rate, foreign currency reserve growth rate, fiscal deficit, FDI to GDP ratio, exchange rate were taken as independent variables. Data-set was covered from 1993 to 2019 for five South Asian countries which were Bangladesh, India, Pakistan, Sri Lanka, and Nepal. The pattern of the stock market, as well as macro conditions of these countries, was observed and it was found that some relationships exist between the stock market returns and these chosen independent variables. Unit root test, Heteroscedasticty test, autocorrelation test, Hausman test is conducted to authenticate and clarified data to investigate relationship nature. Granger Casualty test indicated that there exist cause and effect relationship between GDP growth rate, exchange rate, and stock market returns. Finally, the regression test reveals that the inflation rate and foreign currency reserve growth rate have a significant impact on the stock market returns. It was expected to have the unique nature of different countries having versatile impact on dependent, so additionally fixed effects model and random effects model were run and it was found that the random effects model is statistically appropriate through conducting the Hausman test. The test reveals that GDP growth rate, foreign currency reserve growth rate, and fiscal deficit positively impact the stock market returns and these also support the literature review. Interest rates, inflation rate, FDI to GDP ratio, and exchange rate have negatively impacted the stock market return where only interest rate, inflation rate & exchange rate.

scholarly journals Stock market returns and exchange rate movements in a multiple currency economy: the case of Zimbabwe

2015 ◽  
Vol 8 (3) ◽  
Author(s):  
Mabutho Sibanda
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Foreign Currency ◽  
The United States ◽  
Stock Market Returns ◽  
Vector Autoregressive ◽  
United States Dollar ◽  
International Portfolio Diversification ◽  
Exchange Rate Movements ◽  
New Evidence

This study seeks to provide new evidence on the stock market and exchange rate relationship in Zimbabwe, a country that does not have its own sovereign currency. The bivariate vector autoregressive approach is used to establish the relationship between the stock market and exchange rates. The results show that no relationship exists between the stock market and the proxy exchange rate. The findings contradict the expectation that exchange rate movements would influence domestic stock market prices. This finding is especially interesting given the fact that Zimbabwe uses a basket of currencies for transacting purposes, albeit with the United States dollar as a major currency for reporting and stock market pricing purposes. The findings provide new evidence of a disconnect between the stock market and exchange rate movements. This has implications for international portfolio diversification and the use of foreign currency as an asset class in an economy using a multiple currency system.

scholarly journals Impact of Macroeconomic Variables on Karachi Stock Market Returns

2018 ◽  
Vol 10 (2) ◽  
pp. 28 ◽  
Author(s):  
Javed Pervaiz ◽  
Junaid Masih ◽  
Teng Jian-Zhou
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Secondary Data ◽  
Research Process ◽  
Market Returns ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
Index Value ◽  
The Impact

The study investigated The study examines the impact of selected macroeconomic variables (inflation, exchange rate, interest rate) on Karachi stock market returns. Mainly secondary data used in the research process. The study consists of data for the period of 10 years and 5 months starting from January 2007 till May 2017. For this purpose, monthly data of KSE-100 index has been observed for the period January 2007 to May 2017. The market returns have been calculated through the opening and closing index value of each month. The inflation, interest rate, and exchange rate has been taken as independent variables. Hypotheses have been tested to find out whether there exists a significant relationship between the Stock market return and macroeconomic variables or not. To test this hypothesis, Regression analysis used and results are calculated through Stata software.

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 The The Impact of the Exchange Rate Volatility on Stock Markets Dynamics in Tunisia and Turkey: An Artificial Neural Network Analysis

2021 ◽  
pp. 1-21
Author(s):  
Nesrine Mechri ◽  
Christian De Peretti ◽  
Salah BEN HAMAD
Keyword(s):  
Neural Network ◽  
Artificial Neural Network ◽  
Exchange Rate ◽  
Stock Market ◽  
Multiple Regression ◽  
Stock Markets ◽  
Exchange Rate Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Impact

The present research provides an overview of links between exchange rate volatility and the dynamics of stock market returns in order to identify the influence of several macroeconomic variables on the volatility of stock markets, useful for political decision makers as well as investors to better control the portfolio risk level. More precisely, this research aims to identify the impact of exchange rate volatility on the fluctuations of stock market returns, considering two countries that belong to the Middle East and North Africa (MENA) zone: Tunisia and Turkey. Previous works in the literature used very specified and short periods of study, many important variables were neglected, and most of the earlier research was concentrated on the developed countries. In this research, we integrate several control variables of stock market returns that have not been simultaneously studied before. In addition, we spread out our research period up to 15 years including many events and dynamics. Generalized Autoregressive Conditional Heteroskedasticity (GARCH) and multiple regression models are first employed. Then, an Artificial Neural Network (ANN) is used and compared with the results of the multiple regression. Hence, the results show that for both Tunisia and Turkey, exchange rate volatility has a significant effect on stock market fluctuations.

Sign in / Sign up

Export Citation Format

Share Document