A long-run relationship between stock price index and exchange rate: A structural nonparametric cointegrating regression approach

Τσαγκανός, Αθανάσιος; Siriopoulos, Costas

doi:10.1016/j.intfin.2013.01.008

Cited by 76 publications

(53 citation statements)

References 17 publications

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“…Thus far the existing studies for the causality between stock prices and exchange rates have mainly concentrated on developed and developing economies in the Americas, Europe and Asia regions (e.g. Ajayi, Friedman, & Mehdian, 1998;Ajayi & Mougouė, 1996;Caporale, Hunter, & Menla Ali, 2014;Hatemi-J & Irandoust, 2002;Hatemi-J & Roca, 2005;Lean et al, 2011;Tsagkanos & Siriopoulos, 2013). Not much attention has been given to Middle-East economies (e.g.…”

Section: Review Of Past Literaturementioning

confidence: 99%

A note on the interaction between stock prices and exchange rates in Middle-East economies

Parsva

Tang

2017

Economic Research-Ekonomska Istraživanja

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Ample studies have been conducted to analyse the interaction between stock prices and exchange rates in developed and developing countries. However, studies on Middle-East economies are limited. Moreover, many existing studies test for Granger causality in a bi-variate setting which in turn leads to conflicting causality results. The goal of this study is to investigate the causal interaction between stock prices and exchange rates empirically in Iran, Kuwait, Oman and Saudi Arabia from January 2004 to December 2011. Among four Middle-East economies, we find that stock prices and exchange rates have bi-directional causality in Iran, Oman and Saudi Arabia, but the variables do not interact in Kuwait. Additionally, the recursive causality tests reveal that these relationships are stable over the analysis period. Therefore, stock prices and exchange rates affect each other at least in Iran, Oman and Saudi Arabia.

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Section: Review Of Past Literaturementioning

confidence: 99%

A note on the interaction between stock prices and exchange rates in Middle-East economies

Parsva

Tang

2017

Economic Research-Ekonomska Istraživanja

View full text Add to dashboard Cite

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“…The volatility in exchange rate has direct impact on firms' competitiveness and profitability where exporters are expected to benefit from depreciation of local currency and vice versa for importers (Tsagkanos & Siriopoulos, 2013). Generally, currency depreciation is a popular monetary tool among the central banks as it can be implemented easily.…”

Section: Exchange Ratementioning

confidence: 99%

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

Murthy¹,

Anthony²,

Vighnesvaran³

2016

IJBM

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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.

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“…Only Hammoudeh et al [27] analyzed the impact of four energy prices on the European Union CO 2 emission allowance prices by the quantile regression. Quantile regression has been widely employed in empirical studies [28][29][30][31][32][33][34][35][36][37][38]. Many scholars used the quantile regression approach to investigate the dynamics of changes in different wage distribution [28][29][30] and dynamic relationship between exchange rate and stock price [31][32][33].…”

Section: Introductionmentioning

confidence: 99%

Impacts on CO2 Emission Allowance Prices in China: A Quantile Regression Analysis of the Shanghai Emission Trading Scheme

Zhang

2016

Sustainability

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A pilot regional carbon emission trading scheme (ETS) has been implemented in China for more than two years. An investigation into the impacts of different factors on carbon dioxide (CO 2 ) emission allowance prices provides guidance for price-making in 2017 when the nation-wide ETS of China will be established. This paper adopts a quantile regression approach to estimate the impacts of different factors in Shanghai emission trading scheme (SH-ETS), namely, economic growth, energy prices and temperature. The empirical analysis shows that: (i) the economic growth in Shanghai leads to a drop in the carbon allowance prices; (ii) the oil price has a slightly positive effect on the allowance prices regardless of the ordinary least squares (OLS) or quantile regression method; (iii) a long-run negative relationship exists between the coal price and the Shanghai emission allowances (SHEA) prices, but a positive interaction under different quantiles, especially the 25%-50% quantiles; (iv) temperature has a significantly positive effect at the 20%-30% quantiles and a conspicuous negative impact at the right tail of the allowances prices.

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A long-run relationship between stock price index and exchange rate: A structural nonparametric cointegrating regression approach

Cited by 76 publications

References 17 publications

A note on the interaction between stock prices and exchange rates in Middle-East economies

A note on the interaction between stock prices and exchange rates in Middle-East economies

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

Impacts on CO2 Emission Allowance Prices in China: A Quantile Regression Analysis of the Shanghai Emission Trading Scheme

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