An Analysis of Stock Returns and Exchange Rates: Evidence from IT Industry in India

2016 ◽  
Author(s):  
Nataraja N.S ◽  
Sunil Kumar ◽  
Nagaraja Rao Chilale
Keyword(s):  
Exchange Rates ◽  
Stock Returns ◽  
It Industry

scholarly journals PENGARUH KURS, GROSS DOMESTIC PRODUCT DAN SOLVABILITAS TERHADAP RETURN SAHAM INVESTOR PADA PERUSAHAAN PERTAMBANGAN

2019 ◽  
Vol 8 (10) ◽  
pp. 6262
Author(s):  
Martina Carissa Dewi ◽  
Luh Gede Sri Artini
Keyword(s):  
Exchange Rate ◽  
Gross Domestic Product ◽  
Exchange Rates ◽  
Stock Returns ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Domestic Product ◽  
Mining Company ◽  
Macroeconomic Factors ◽  
Regression Test

The level of return obtained by investors is influenced by microeconomic and macroeconomic factors. This study aims to obtain empirical evidence regarding the effect of exchange rates, Gross Domestic Product and solvency on stock returns. This research was conducted at the mining company in the coal sub-sector on the Indonesia Stock Exchange. All the coal mining sub-sector companies listed on the Stock Exchange for the period 2014-2017 used as the population. The method of determining the sample used is using a saturated sampling technique. Multiple linear regression test used as the data analysis on this research. Based on the results of the analysis of this study it was found that the exchange rate and GDP had a negative and significant effect on stock returns. The solvency proxied by DER has a positive and significant effect on stock returns. Keywords: Exchange Rate, Gross Domestic Product, Solvability and Return.

scholarly journals The Stock Market and Exchange Rates in Five South Asian Countries

2017 ◽  
Vol 18 (1) ◽  
pp. 102 ◽  
Author(s):  
Firmansyah Firmansyah ◽  
Shanty Oktavilia
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Stock Market ◽  
Exchange Rates ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Return ◽  
The Philippines ◽  
Short Run ◽  
The Exchange Rate

The composite price index and return of stocks are the important indicators, both as a measure of the company's portfolio performance, as well as an indicator of macroeconomic health and the aggregate investment. In addition, the stock prices are also influenced by macroeconomic variables and one of the most important is the exchange rates. The objective of this study is to determine the behavior of exchange rate affects the stock returns in Southeast Asia, pre and post of the 2008 world financial crisis. By employing the daily stock market return in Indonesia, Malaysia, the Philippines, Thailand, and Singapore more than seventeen years from 1 September 1999 to 31 March 2017, this study utilizes Engle-Granger error correction model and cointegration approach to investigate and compare the long and short run of the structural effect of the exchange rates on stock returns. To differentiate the behavior of variables between pre and post occurrence of 2008 world financial crisis, the estimation of the model is divided into two periods. This study finds that the exchange rate growth influence the stock returns in the long and short run, and proves that the cointegration between the two variables exist in all countries. The study has the implication that the exchange rate, which the one of the fundamental measures of a country's macroeconomic health, is an important determinant of influencing stock return, even its effects are responded by the stock return in one day.

scholarly journals Pengaruh Nilai Tukar terhadap Return Saham dengan Profitabilitas sebagai Variabel Intervening

2020 ◽  
Vol 30 (5) ◽  
pp. 1283
Author(s):  
Made Dewi Gita Puspita Lestari ◽  
I Gusti Ngurah Agung Suaryana
Keyword(s):  
Exchange Rates ◽  
Stock Returns ◽  
Sampling Method ◽  
Stock Exchange ◽  
Participant Observation ◽  
Analysis Techniques ◽  
Observation Methods ◽  
Negative Effect ◽  
Positive Effect ◽  
Collection Methods

The research aims to examine the effect of exchange rates on stock returns through profitability. The study was conducted on mining companies listed on the Stock Exchange which numbered 49 companies. Samples were determined by a purposive sampling method totaling 7 companies that were studied for 3 years of observation using quarterly reports, so there are 84 observation datas. Data collection methods and data analysis techniques used are non-participant observation methods and path analysis. The results showed that the exchange rate had a significant negative effect on stock returns and profitability. Profitability has a significant positive effect on stock returns, and exchange rates have indirect influence on stock returns through profitability. Keywords: Stock Returns; Exchange Rates; Profitability.

scholarly journals Pertumbuhan Arus Kas, Pertumbuhan Laba, Inflasi, Suku Bunga, Nilai Kurs dan Return Saham pada Badan Usaha Milik Negara di Bursa Efek Indonesia

2014 ◽  
Vol 1 (02) ◽  
pp. 171-186
Author(s):  
Moh. Abror ◽  
Dadang Sadeli
Keyword(s):  
Linear Regression ◽  
Exchange Rates ◽  
Interest Rates ◽  
Multiple Linear Regression ◽  
Stock Returns ◽  
Sampling Method ◽  
Linear Regression Analysis ◽  
Multiple Linear Regression Model ◽  
Earning Growth ◽  
Purposive Sampling

ABSTRACT The study aims to analyze the effect of cashflow growth, earning growth, inflation, interest rates and exchange rates to stock return BUMN. The sample selection is done by using purposive sampling method. Acquired a total sample of 15 companies of 19 state-owned companies listed in Indonesia Stock Exchange during the period 2009 - 2012. This study used multiple linear regression analysis techniques to examine the effect of the independent variable on the dependent variable. Based on the results of the study, there were no variables that deviated of the classical assumption, it indicates that the available data are qualified to use a multiple linear regression model. The results showed that the growth in cash flow, earnings growth, interest rates and exchange rates had no significant effect on stock returns. The study able to show that the interest rate significant positive effect on stock returns. ABSTRAK Penelitian bertujuan untuk menganalisis pengaruh pertumbuhan arus kas, pertumbuhan laba, inflasi, suku bunga dan nilai kurs terhadap return saham BUMN. Pemilihan sampel dilakukan dengan menggunakan purposive sampling method. Diperoleh jumlah sampel sebanyak 15 perusahaan dari 19 perusahaan BUMN yang terdaftar di Bursa Efek Indonesia selama periode 2009 – 2012. Penelitian ini menggunakan teknik analisa regresi linear berganda untuk menguji pengaruh variable independen terhadap variable dependen. Berdasarkan hasil penelitian, tidak ditemukan variabel yang menyimpang dari asumsi klasik, hal ini menunjukkan bahwa data yang tersedia telah memenuhi syarat untuk menggunakan model persamaan regresi linier berganda. Hasil penelitian menunjukkan bahwa pertumbuhan arus kas, pertumbuhan laba, suku bunga dan nilai kurs tidak berpengaruh signifikan terhadap return saham. Penelitian berhasil membuktikan bahwa suku bunga berpengaruh positif signifikan terhadap return saham BUMN. JEL Classification: G14, G30

Analisis Dampak Kurs Mata Uang Inflasi dan Pertumbuhan Ekonomi terhadap Return Saham: Studi pada Ferusahaan Multinasional di Bursa Efek Jakarta

2006 ◽  
Vol 1 (2) ◽  
pp. 167
Author(s):  
Chalasina Violend Tiven ◽  
Elok Pakaryaningsih
Keyword(s):  
Gross Domestic Product ◽  
Exchange Rates ◽  
Stock Returns ◽  
Multinational Corporations ◽  
Stock Price ◽  
Foreign Currency ◽  
Abnormal Returns ◽  
Domestic Product ◽  
Currency Exchange ◽  
Negative Effect

The main objective of this study is to provide empirical evidence of the effect of macro economic factors on stock return. Moreover, this study is focused on multinational corporations due to their specific characteristics which are constantly reluctant to macro economic fuctors, especially foreign currency changes. This reluctantly, therefore triggered stock price changes.The sample is taken using non-probability random sampling in year 2000-2044 and resulted on 3 5 companies which are consistent with sample criteria. Subsequently, the data were analyzed using pooled least squares regression.The independent variables for the model are inflation, gross domestic product and currency exchange rates, whilst the dependent variqble for the model is daily abnormal returns which ore occumulated during a year (CAR). The resultof this study shows positive ffict of inflation on stock returns and negative effect of domestic product on stock returns. On the contrary, exchange rates failed to demonstrate its effect on stock returns.Key words: inflation, gross domestic product, exchange rotes and stock returns

Long-Run Inflation and Exchange Rates Hedge of Stocks in Brazil and Mexico

2006 ◽  
Vol 6 (3) ◽  
pp. 1850093 ◽  
Author(s):  
Edgar Ortiz ◽  
Alejandra Cabello ◽  
Raúl de Jesús
Keyword(s):  
Stock Market ◽  
Exchange Rates ◽  
Stock Returns ◽  
Latin American ◽  
Developed Countries ◽  
Point Of View ◽  
Long Run ◽  
Stock Market Performance ◽  
Fisher Model

A substantial body of evidence documents the relationship between macroeconomic variables and stock returns and risk from developed countries. The evidence for emerging markets is limited, particularly identifying risk premia compensations for inflation and exchange rates. This paper attempts to quantify the short and long term relationship between inflation and exchange rates with over all stock market performance for the case of the two largest Latin American capital markets, Mexico and Brazil. Extending the Fisher model, the aim is to determine whether or not these markets have failed to keep pace with movements in those two variables (the most unstable and economic growth hampering variables in these economies during the last three decades), and therefore to what extent the stock market succeeds or fails to test as inflation hedges. The empirical evidence is presented assuming positioning of a local investor in their own market, and from the point of view of a U.S. investor in each of these markets. Two unit root tests are also presented to stress long term relationships between stock returns, inflation, and foreign exchange.

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