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

Parsva, Parham; Tang, Chor Foon

doi:10.1080/1331677x.2017.1311222

Cited by 9 publications

(6 citation statements)

References 32 publications

(33 reference statements)

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“…Results indicate that stock markets respond to an impulse in their local currencies (except for stock markets in Jordan and Oman where the response were negligible as compared to other markets). The results are in accordance with Parsva and Tang () who find evidence of causality among foreign exchange rates and stock markets in a group of GCC countries, and also in line with Parsva and Lean () who affirm the interdependence of stock markets and foreign exchange rates for a group of MENA countries.…”

Section: Methodology Empirical Analysis and Resultssupporting

confidence: 91%

Mena Stock Markets Integration: Pre and Post Global Financial Crisis

Al-Mohamad

Mishra

2018

Australian Economic Papers

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This paper examines the short-and long-run linkages in pre and post global financial crisis among Middle East and North Africa (MENA) stock markets, between MENA and Chinese stock markets and also between MENA and developed (United States and United Kingdom) stock markets. Results indicate that both long-run co-integration relationships and short-run causal linkages among MENA stock markets increased in post-crisis than that in pre-crisis sub-period. The degree of integration between MENA and Chinese stock markets increased in post-crisis than pre-crisis. We also find that the degree of integration between MENA and developed (United States and United Kingdom) stock markets increased in post-crisis than that in pre-crisis. The presence of increased linkages among MENA markets, and between MENA and Chinese stock markets and also between MENA and developed (United States and United Kingdom) markets has important implications for portfolio investors and policy makers.

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Section: Methodology Empirical Analysis and Resultssupporting

confidence: 91%

Mena Stock Markets Integration: Pre and Post Global Financial Crisis

Al-Mohamad

Mishra

2018

Australian Economic Papers

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“…While Parsva and Tang (2017) found a biderectional causality between exchange rates and stock prices in three of the four Middle East countries namely Iran, Oman and Saudi Arabia during January 2004 and December 2011, Quadir (2012) found that although there was a positive relationship between macroeconomic variables i.e treasury bill interest rate and production industrial sector on stock returns in Dhaka Exchange Rate during January 2000 to February 2007, but he concluded no significance among the variables studied. Patel (2012) states that in the long run there is a relationship between macroeconomic variables and stock indices in India from January 1991 to December 2011.…”

Section: Literature Reviewmentioning

confidence: 98%

Long Run Cointegration in Asean-4 Stock Market: What We Learned?

Soegiarto

Reza

Nurqamarani

2019

ABR

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ASEAN-4 is an emerging market that experienced promising developed financial sector in recent years. The interaction between stock prices and macroeconomic variables has been extensively researched by researchers. By using secondary monthly ASEAN-4 data from January 2009 to December 2017 and using the ARDL estimation, it was found that exchange rates and GDP had a long-term positive effect on stock prices. While inflation, current account, and GDP have no effect on stock price formation. It is also found that there are co-integration in the short and long term in four ASEAN-4 countries. To strengthen the results of co-integration, using "one to one" interactions concluded that inflation, current accounts and interest rates have a very small contribution to the share price in ASEAN-4.

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“…Albeit conflicting estimates, a wide range of studies has examined the association between exchange rate and stock market performance (Jebran and Iqbal 2016;Parsva and Tang 2017;Gokmenoglu et al 2021). Nonetheless, there is a dearth of literature in the context of clean energy firms.…”

Section: Exchange Rate and Energy Stocksmentioning

confidence: 99%

The asymmetric effect of temperature, exchange rate, metals, and investor sentiments on solar stock price performance in China: evidence from QARDL approach

Yahya

Razzaq

2022

Environ Sci Pollut Res

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The study investigates the asymmetric effect of temperature, exchange rate, metals (rare metals and electrical conductors), and investor sentiments on solar stock price performance in China. The novel econometric techniques, i.e., QARDL (quantile autoregressive distributive lag) approach and Granger causality-in-quantiles to analyze the results. In both short-and long-run estimations, the findings suggest that rare metals (cadmium, germanium, indium, and selenium) and electrical conductors (silver, aluminum, and copper) have significant and positive linkage with solar energy stocks at different quantiles based on bullish, bearish, and normal market conditions. On the other hand, negative effects are found for temperature, RMB exchange rate, and investor sentiments in both the short-and long-run. In the short run, the effect of exchange rate varies across different quantiles but it confines to only lower quantiles (bearish market condition) in the longer run. Solar stocks are more prone to investor sentiments under higher quantiles (bullish market conditions). Lastly, we find that temperature is not merely a behavioral anomaly for the solar energy market as it spreads across middle quantiles (normal market conditions) in the longer run. The findings of Granger causality in quantiles further confirm the results of QARDL.

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

Cited by 9 publications

References 32 publications

Mena Stock Markets Integration: Pre and Post Global Financial Crisis

Mena Stock Markets Integration: Pre and Post Global Financial Crisis

Long Run Cointegration in Asean-4 Stock Market: What We Learned?

The asymmetric effect of temperature, exchange rate, metals, and investor sentiments on solar stock price performance in China: evidence from QARDL approach

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