Asymmetric volatility spillovers between stock market and real activity: Evidence from the UK and the US

Giannellis, Nikolaos; Kanas, Angelos; Papadopoulos, Athanasios P.

doi:10.2298/pan1004429g

Cited by 16 publications

(11 citation statements)

References 26 publications

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“…Penelitian Marston (2001) yang mengemukakan bahwa pergerakan nilai tukar memiliki dampak yang kecil terhadap nilai perusahaan. Pada tingkat makro sejumlah penelitian mengatakan bahwa terdapat pengaruh signifikan antara nilai tukar dengan pasar saham dan nilai perusahaan (Alagidede et al, 2010; Giannellis et al,2010;Tabak, 2006;Yau and Nieh, 2009).…”

Section: Pendahuluanunclassified

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Faktor Â€“faktor Yang Mempengaruhi Nilai Perusahaan Bumn Di Bursa Efek Indonesia Tahun 2011-2015

Putra

Agustiningsih

Purwanto

2017

JMD

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This study aims to examine the factors that affect the value of state enterprises in the Indonesia Stock Exchange Year 2011-2015. State companies have an important role in the Indonesian economy. State companies also serve to generate revenue for the Indonesian government to fund the Indonesian State Budget. Factors affecting the value of state firms tested in this research are Cash Holding, Leverage, Exchange Rate, Net Working Capital, ROA, Size, and Firm Age. In addition, this study also uses control variables to test the effect of independent variables on the dependent variable of firm value. The control variables used in this study are International Trade, Growth Opportunity, GDP per capita, and Total Asset Turnover Ratio. This study uses a sample of state companies listed on the IDX 2011-2015. This research uses multiple regression analysis to test the influence of independent variable and control variable to Dependent variable. The results show that Cash Holding, Leverage, Exchange Rate, Net Working Capital, ROA, Size, Firm Age, International Trade, Growth Opportunity, GDP per capita, and Total Asset Turnover Ratio simultaneously have significant effect on firm value measured by tobin-q. The t test shows that firm size partially has a significant negative effect on firm value while other variables show insignificant results.

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Section: Pendahuluanunclassified

“…Pada tingkat makro sejumlah penelitian mengatakan bahwa terdapat pengaruh signifikan antara nilai tukar dengan pasar saham. Alagidede et al, 2010; Giannellis et al,2010;Tabak, 2006;Yau dan Nieh, 2009…”

Section: Exchange Rateunclassified

Faktor Â€“faktor Yang Mempengaruhi Nilai Perusahaan Bumn Di Bursa Efek Indonesia Tahun 2011-2015

Putra

Agustiningsih

Purwanto

2017

JMD

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“…The fluctuation of factor over a period of time may be an indication of the volatility existence and the deviation of an expected return of the estimated value, is often described as Volatility. Financial volatility is a measure of deviation of price of a financial instrument or security over period, financial volatility is much of concern as it is one indication of the level of risk in the market or portfolio over a period of time (Giannellis et al, 2010). Volatility spillover also known as contagion, usually results from the normal interdependence among market economies.…”

Section: Introductionmentioning

confidence: 99%

Volatility Spillover Effects Between Stock Prices and Exchange Rates in Emerging Economies: Evidence from Turkey

Mwambuli

Zhang

Kisava

2016

BER

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Volatility spillover effects between stock prices and exchange rates in emerging countries are a critical focus in the financial economics research arena. This paper focused to investigate the volatility spillover effects between stock prices and exchange rates of Istanbul stock exchange (ISE) by employing an exponential generalized autoregressive condition heteroskedasticity (EGARCH) model. The period of study covered 11 years (i.e. 2005 to 2015) inclusive a period of the global financial crises (i.e. from 2005 to 2009) which resulted out from subprime mortgage in United States of America (USA).Our results suggest an existence of short run relationship between stock prices and exchange rates in Istanbul stock exchange (ISE).This empirical evidence suggest that there is symmetric volatility spillover between stock prices and exchange rates of Istanbul stock exchange (ISE) for full sample employed as a result good and bad news has got a balanced effect to the market. The findings of the significant volatility spillover effects between exchange rates and stock prices suggest that, the markets are informationally efficient and one market exchange rate has significant predictive power of equal weight to another in case of two markets. Our study recommends investors and multinational firm managers to consider the general behaviour of the financial market before making decision whether to invest in or not since there is existence of relationship and volatility spillover between stock prices and exchange rates meanwhile economic policy makers both in Turkey and outside Turkey should consider these findings in their policy as one of the determinant to economic growth, as macroeconomic variable should be stable like exchange rates. Furthermore, this study may be extended after including of other variables which were not considered in this study like interest rate, inflation and agency theory.

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“…A number of studies focused on the comparison between the Asian, namely, Japan, Hong Kong, Saudi Arabia, China, or ASEAN-5 countries and the U.S. and the U.K. stock markets and generally found evidence of volatility spillover linkages especially in the post-crisis periods (Kim, 2005;In, 2007;Alsubaie & Najand, 2009;Moon & Yu, 2010;Arifin & Syahruddin, 2011;Gebka, 2012;Haixia & Shiping, 2013;Zheng & Zuo, 2013). There is also overwhelming evidence corroborating the significance of volatility spillovers of European stock markets in the light of oil prices (Giannellis, Kanas, & Papadopoulos, 2010;Arouri, Jouini, & Nguyen, 2011Antonakakis, 2012;Tamakoshi & Hamori, 2013;Reboredo, 2014). More comprehensive studies carried out extensive volatility spillover comparisons among different countries (Serra, 2011;Korkmaz, Çevik, & Atukuren, 2012;Krause & Tse, 2013;Nazlioglu, Erdem, & Soytas, 2013;Salisu & Mobolaji, 2013;Valadkhani, Harvie, & Karunanayake, 2013).…”

Section: Introductionmentioning

confidence: 99%

Volatility Spillovers between World Oil Market and Sectors of BIST

Sattary¹,

Temurlenk²,

Bilgiç³

et al. 2014

ASS

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Nowadays, enormous increase of production and service sectors leads to increase in demand for energy consumption. Therefore, energy and oil consumption in a variety of countries are considerably effected by energy and oil prices. International oil prices are crucial for both oil exporting countries and capital market investors as a means of volatility spillovers. This paper aims to analyze whether volatility spillovers exist between world oil market and several sector indices operating in Borsa Istanbul (BIST) 100 including energy, non-metal mineral products, and transportation using bivariate GARCH (1, 1) model. Estimation results suggest that except for non-metal mineral products sector, there are interactions between oil returns and the underlying sectors in terms of both shocks and conditional variance.

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Asymmetric volatility spillovers between stock market and real activity: Evidence from the UK and the US

Cited by 16 publications

References 26 publications

Faktor Â€“faktor Yang Mempengaruhi Nilai Perusahaan Bumn Di Bursa Efek Indonesia Tahun 2011-2015

Faktor Â€“faktor Yang Mempengaruhi Nilai Perusahaan Bumn Di Bursa Efek Indonesia Tahun 2011-2015

Volatility Spillover Effects Between Stock Prices and Exchange Rates in Emerging Economies: Evidence from Turkey

Volatility Spillovers between World Oil Market and Sectors of BIST

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