A Markov switching SVAR analysis on the relationship between exchange rate changes and stock returns in China

Cuestas, Juan Carlos; Tang, Bo

doi:10.1108/ijoem-06-2019-0463

Cited by 12 publications

(7 citation statements)

References 57 publications

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“…It is worth mentioning that the impact is negative in the long term as its range is between 0.12 and 0.46, where the R square which interprets the explanatory of the model is the range between 06 to 15%. These results harmonize with Baranidharan & Alex (n.d.), Cuestas & Tang (2021), Khan (2019), Perera (2016), Putra &Robiyanto (2019), andYang ( 2017). Finally, in the long term, the insurance sector is the most affected whereas the banks' sector is the least affected.…”

Section: Discussionmentioning

confidence: 99%

“…Changes in exchange rate were significant, and negative linkages influenced low on Johannesburg Stock Exchange (JSE).The presence of long run co-integration was the reason for the absence of causal effect during the study period (Baranidharan & Alex, n.d.). In Chinese financial market although the conventional structural VAR (SVAR) approach fails to examine the contemporaneous effects, the Markov switching SVAR model captures the volatile structure of the Chinese financial market and the result was that no significant interconnections exist between stock returns and exchange rates changes (Cuestas & Tang, 2021).…”

Section: A Studies That Reveal Positive Impactmentioning

confidence: 99%

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The Impact of Exchange Rate Fluctuations on the Market’s Index at Emerging Market: Evidence from Palestine

Alashi

2022

EJBMR

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In this study, the researcher investigates the influences of exchange rate and stock market index in Palestine exchange. Least Square Testing approach has been used on daily data ranging from January 2012 to December 2021. The researcher investigates the impact in the long term from 2012 to 2021 and in the short term in one year, 2021. Findings of the study suggest that USD exchange rate negatively affects the stock index of Palestine exchange in both the long and short term.

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Section: Discussionmentioning

confidence: 99%

Section: A Studies That Reveal Positive Impactmentioning

confidence: 99%

The Impact of Exchange Rate Fluctuations on the Market’s Index at Emerging Market: Evidence from Palestine

Alashi

2022

EJBMR

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“…Menurut (Hapsoro, Wicaksono and Primaretka, 2020) secara parsial Return on Equity berpengaruh positif dan signifikan terhadap Return saham. Menurut (Cuestas and Tang, 2020) Nilai tukar secara statistic dignifikan terhadap Return Saham. Menurut (Intariani, Putu and Suryantini, 2020)likuiditas berpengaruh positif tetapi tidak signifikan terhadap return saham bank, Profitabilitas dan ukuran perusahaan berpengaruh positif dan signifikan terhadap return saham bank.…”

Section: Pendahuluanunclassified

The Effect of Loan To Deposit Ratio, Net Profit Margin, And Return On Equity, On Stock Returns And Exchange Rates As Moderating Variables In The Banking Sub-Sector On The Southeast Asian Stock Exchange

Sunaryo

Adiyanto

Sa’diyah

2022

JKK

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This study aims to determine the effect of Loan to Deposit Ratio, Net Profit Margin and Return on Equty on stock returns with Exchange Rate as a moderating variable. This research uses the object of the banking sub-sector companies in Southeast Asia for the period 2012-2019. The data collected is secondary data with the documentation method in the form of the company's annual report. The analytical tool used to test the hypothesis is IBM SPPS V21. The sampling method used in this study used the Purposive Sampling Technique and obtained 10 companies with a sample of 80 sample data. The analytical techniques used are descriptive statistical analysis, classical assumption test, moderated regression analysis (MRA), multiple linear regression, partial test (t test), and simultaneous test (f test). The results of this study partially conclude that Loan To Deposit Ratio (LDR) has no significant effect on Stock Return, Net Profit Margin (NPM) has no significant effect on Stock Return, and Return On Equity (ROE) has no significant effect on Stock Return. The results of the study simultaneously showed that the Fcount value was 2.891 and Ftable 2.85, meaning that Fcount > Ftable or a significance value of 0.048 <0.05. Thus, Loan To Deposit Ratio (LDR), Net Profit Margin (NPM), and Return On Equity (ROE) simultaneously have a significant effect on Stock Return. The results of the Moderated Regression analysis (MRA) research show that the exchange rate does not moderate the Loan To Deposit Ratio (LDR) on stock returns, and the exchange rate does not moderate the net profit margin (NPM) on stock returns, the exchange rate does not moderate the return on equity (ROE). to Stock Return.

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“…A Central Bank with a mandate to protect the country against imported inflation could attempt to deploy monetary policy to counteract against an expected weakening of domestic currencies in response to declines in the local geopolitical situation. Such stabilisation policies would be crucial as a volatile foreign exchange market could have spillover effects to other financial markets (Cuestas and Tang, 2020).…”

Section: Practical Implicationsmentioning

confidence: 99%

The long-run effects of geopolitical risk on foreign exchange markets: evidence from some ASEAN countries

Hui¹

2021

IJOEM

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PurposeThe purpose of this paper is to analyse the long-run relationship between geopolitical risk and exchange rates in four ASEAN countries.Design/methodology/approachWe augment theoretical nominal exchange rate models available in the literature with the geopolitical risk index developed by Caldara and Iacoviello (2019), and then estimate these models using the ARDL approach to Cointegration.FindingsOur analysis uncovers evidence of Cointegration in the exchange rate models when the MYR-USD, IDR-USD, THB-USD and PHP-USD exchange rates are used as dependent variable. Next, geopolitical risk is a significant long-run driver for these exchange rates. Third, in all countries higher geopolitical risk leads to a depreciation of domestic currency.Research limitations/implicationsThere are implications for entrepreneurs, central banks, portfolio managers and arbitrageurs who actively trade in financial markets. Financial market players can benefit from a better understanding of how geopolitical events affect the portfolio of financial assets across various countries, while entrepreneurs can work out hedging strategies.Originality/valueThis is a contribution to the study of interlinkages between political risk and foreign exchange markets. It is the first study to adopt the geopolitical risk index of Caldara and Iacoviello (2019) to the study the foreign exchange markets of ASEAN countries.

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A Markov switching SVAR analysis on the relationship between exchange rate changes and stock returns in China

Cited by 12 publications

References 57 publications

The Impact of Exchange Rate Fluctuations on the Market’s Index at Emerging Market: Evidence from Palestine

The Impact of Exchange Rate Fluctuations on the Market’s Index at Emerging Market: Evidence from Palestine

The Effect of Loan To Deposit Ratio, Net Profit Margin, And Return On Equity, On Stock Returns And Exchange Rates As Moderating Variables In The Banking Sub-Sector On The Southeast Asian Stock Exchange

The long-run effects of geopolitical risk on foreign exchange markets: evidence from some ASEAN countries

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