Causality Analysis of Volatility in Exchange Rate and Stock Market Prices: A Case Study of Pakistan

Khan, Rana Ejaz Ali; Ali, Rafaquat

doi:10.18488/journal.aefr/2015.5.5/102.5.805.815

Cited by 25 publications

(24 citation statements)

References 19 publications

(14 reference statements)

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“…The results of the study showed that there was no long-run relationship between the exchange rate and the stock market prices. A recent study conducted in Pakistan by Khan & Ali (2015) on the relationship between exchange rate and the stock market prices using the Granger causality test showed a bidirectional relationship between exchange rate and stock market prices.…”

Section: Literature Reviewmentioning

confidence: 98%

The Long-Run and Short-Run Relationship between the Exchange Rates and Stock Market Prices

Mwaanga¹,

Njebele²

2017

JFRM

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The aim of this study was to investigate the relationship between the exchange rate and the stock market price in Zambia using the time series monthly data from2004 to 2016. To measure the stock market prices, we used LuSE overall index (LuSE Index) and the exchange rate was measured using the Zambia's Real Effective Exchange Rate (REER). In order to establish the relationship between the exchange rate and the stock market price, we employed the Vector Autoregression (VAR) based cointegration test methodology and Auto Regression distribution lag (ARDL) bound tests. The Johansson cointegration test results revealed the existence of the cointegration long run. However the Auto Regression distribution lag bound tests show that its impact is statistically insignificant. The Vector Error Correction Model (VECM) revealed that there is no short-run relationship between the exchange rate and stock market prices. The findings of this study have implications for academicians, policy makers and investors.

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Section: Literature Reviewmentioning

confidence: 98%

The Long-Run and Short-Run Relationship between the Exchange Rates and Stock Market Prices

Mwaanga¹,

Njebele²

2017

JFRM

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“…Meanwhile, [21] examines the causality effect between the volatilities of exchange rate and stock market prices in Pakistan by using monthly time series data of Karachi Stock Exchange prices (KSE-100 Index). The results show a bidirectional relationship between the exchange rate volatility and the stock market prices in Pakistan.…”

Section: Literature Reviewmentioning

confidence: 99%

The dynamic relationship between selected ASEAN stock markets and their macroeconomic variables

Ismail

Rose

Rosmanjawati

2018

J. Fundam and Appl Sci.

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“…61.4 (Qayyum & Kamal, 2007;Qayyum & Khan 2014;Din et al, 2010;Ghouse & Khan, 2017;Jebran & Iqbal, 2016;Bhat & Shah 2015;Dar et al, 2013;Aslam, 2104;Ali, 2015). On the other hand, many researchers explored causal linkages between these variables in case of Pakistan see for example (Zubair, 2013;Khan & Ali, 2015;Zia & Rahman, 2011).…”

Section: Introductionmentioning

confidence: 99%

Tracing Return and Volatility Spillover Effect between Exchange Rate and Pakistan Stock Exchange Index

Habeeb

Ghouse²,

Ashraf

2021

J.quant.methods

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The volatility spillover is broadly measured as the transmission of variability from one financial market to other markets. This study explores the spillover effect between the newly emerged index of the Pakistan stock exchange (PSX) and exchange rate by using the newly proposed alternative methodology by Ghouse et al. (2019) and GARCH model. Furthermore, the index under study is more concise in its composition than other readily used indices. The study finds shreds of evidence for the bidirectional spillover effect between PSX and exchange rate, which will be helpful for central policy makers and markets players in designing effective policy frameworks. Keywords: ARDL; GARCH; spillover effect

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Causality Analysis of Volatility in Exchange Rate and Stock Market Prices: A Case Study of Pakistan

Cited by 25 publications

References 19 publications

The Long-Run and Short-Run Relationship between the Exchange Rates and Stock Market Prices

The Long-Run and Short-Run Relationship between the Exchange Rates and Stock Market Prices

The dynamic relationship between selected ASEAN stock markets and their macroeconomic variables

Tracing Return and Volatility Spillover Effect between Exchange Rate and Pakistan Stock Exchange Index

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