Relationship Between Stock Market Returns and Exchangerates in Emerging Stock Markets

Abstract

Abstract-This paper aims to study the relationship between stock market returns and exchange rates in emerging stock markets including Malaysia, Singapore, Thailand, Indonesia and Philippines. The data is taken from January 2003 to December 2012 using weekly closing indices and separated in two periods; before (2003-2007) and second, after (2008-2012) the financial crisis of 2008. Johansen-Juselius (JJ). Granger causality tests show that unidirectional causality exists between the stock market returns and exchange rates for Thailand before the financial crisis, whilst, for Indonesia and Singapore, the unidirectional causality between the two variables is detected in the period after the financial crisis. Error Correction Model (ECM) indicates the existence of long run causality between the two variables for Philippines. This study also finds that most of the emerging stock markets are informationally inefficient.

Covid-19 dan Volatilitas Harga Saham Melalui Peran Mediasi Harga Emas

“…Hasil ini berseberangan dengan pernyataan Baek et al (2020) yang menerangkan bahwa setiap informasi mengenai Covid-19 memberikan dampak pada perilaku investor. Tidak adanya pengaruh jumlah yang sembuh dari Covid-19 juga menunjukkan bahwa pasar modal belum efisien dan belum dapat mencerminkan ketersediaan setiap informasi (Arshad & Yahya, 2017). Saran dari adanya penelitian ini adalah bagi investor hendaknya memperhatikan terlebih dahulu perkembangan jumlah kasus positif dan jumlah yang meninggal akibat Covid-19, serta harga emas yang berlaku, karena dapat dengan cepat direspon pasar.…”