Stock Prices and Exchange Rates in Australia: Are Commodity Prices the Missing Link?

Groenewold, Nicolaas; Paterson, James E H

doi:10.1111/1467-8454.12014

Cited by 19 publications

(16 citation statements)

References 34 publications

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“…Chkili et al (2012) used univariate and multivariate GARCH-type models and found bilateral relationships between stock and foreign exchange markets in France and Germany. Groenwold and Paterson (2013) found a weak correlation between stock prices and exchange rates, but a strong relationship between exchange rates and commodity prices. According to the authors, assuming that commodity prices are influencing stock prices, there will often be a sway between stock prices and exchange rates.…”

Section: Literature Reviewmentioning

confidence: 95%

The Dynamic Linkages Between Stock Market and Foreign Exchange Market: Evidence From an Emerging Market

Zaiane

Jrad

2020

IJEFI

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The paper investigates the dynamic linkages between exchange rate (against US dollar) and the stock market (local currency) of Tunisia from January 2004 to April 2017. In particular, the paper tries to answer if there are any correlations between these variables and how they move in high volatile periods. By using a VEC model and applying the techniques of Granger Causality test, we conclude the existence of a unidirectional relationship between the two variables (from stock prices to exchange rate). Due to persistent long memory and the presence of the asymmetric effect in both markets, we estimate the dynamic correlations between these variables using DCC-FIAPARCH model. Results reveal that volatility shocks create abrupt changes in the dynamic correlations. However, this effect is only short term and do not sustain between consecutive high volatility regimes. Thus, policymakers and investors do not need to be concerned about long run contagion effects. Accordingly, financial managers can obtain more insights in the management of their international portfolio affected by these two variables. This should be particularly important to domestic as well as international investors for hedging and diversifying their portfolio mainly by predicting the path of the exchange rate.

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Section: Literature Reviewmentioning

confidence: 95%

The Dynamic Linkages Between Stock Market and Foreign Exchange Market: Evidence From an Emerging Market

Zaiane

Jrad

2020

IJEFI

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“…However, when the oil price is considered, exchange rates are positively related to stock prices in Egypt and Oman. Groenewold and Paterson (2013) in a study on Australia from 1979 to 2010 revealed that the relationship between exchange rates and stock prices is weak when omitting global commodity prices. Nevertheless, once global commodity prices are added, all three variables are cointegrated in the long run.…”

Section: The Effects Of Global Commodity Prices On Stock Pricesmentioning

confidence: 99%

Do the RMB exchange rate and global commodity prices have asymmetric or symmetric effects on China’s stock prices?

Long

Zhang

et al. 2021

Financ Innov

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With the rapid expansion of the RMB exchange rate’s floating range, the effects of the RMB exchange rate and global commodity price changes on China’s stock prices are likely to increase. This study uses both auto regressive distributed lag (ARDL) and nonlinear ARDL (NARDL) approaches to explore the symmetric and asymmetric effects of the RMB exchange rate and global commodity prices on China’s stock prices. Our findings show that without considering the critical variable of global commodity prices, there is no cointegration relationship between the RMB exchange rate and China’s stock prices, and the coefficient of the RMB exchange rate is not statistically significant. However, when we introduce global commodity prices into the NARDL model, the result shows that the RMB exchange rate has a negative effect on China’s stock prices, that there indeed exists a long-run cointegration relationship among the RMB exchange rate, global commodity prices, and stock prices in the NARDL model, and that global commodity price changes have an asymmetric effect on China’s stock prices in the long run. Specifically, China’s stock prices are more sensitive to increases than decreases in global commodity prices. Thus, increases in global commodity prices cause China’s stock prices to decline sharply. In contrast, the same magnitude of decline in global commodity prices induces a smaller increase in China’s stock prices.

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“…The study was depended on the data from Jan 1995 to Jan 2010 and no relationship was found (Zia & Rahman , 2011). Despite the strong impact of the exchange rates on the stock indices, Groenewold and Paterson (2011) claim that there is a clear gap in our knowledge about the effects of exchange rate on stock prices.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Their study proved that a strong relationship exists between the determined variables. Furthermore, it is mentioned that a change in one variable can change the direction of the other one (Groenewold & Paterson , 2011). Parsva and Lean (2011) According to their data which have been taken from Jan 2007 to Jul 2009 it has been investigated that the exchange rates have a positive influence over the BIST-100 index and the results were supported by the GC test (Savaş & Can, 2011).…”

Section: Literature Reviewmentioning

confidence: 99%

The Impact of Exchange Rate on Stock Market Indices

Ameen

Kamışlı

Temizel

2020

bmij

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The relationship between exchange rate and stock indices has risen many eyebrows so far. These two fundamental financial markets have a significant role in international business all around the globe. Furthermore, exchange rate is one of the most important indicators that rules in the decision-making process in all firms. In order to understand the relationship between the two variables this paper tried to investigate the relationship between exchange rate of USD/TL and BIST-100 index in Turkish stock market. The data have been collected from January 2009 to March 2020 based on monthly data. VAR model is applied in the study to exam the connections between the variables. The findings reveal that there is only a one-way causality between the variables. Nevertheless, the impulse response results show a negative impact from the shocks of each variable to another.

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Stock Prices and Exchange Rates in Australia: Are Commodity Prices the Missing Link?

Cited by 19 publications

References 34 publications

The Dynamic Linkages Between Stock Market and Foreign Exchange Market: Evidence From an Emerging Market

The Dynamic Linkages Between Stock Market and Foreign Exchange Market: Evidence From an Emerging Market

Do the RMB exchange rate and global commodity prices have asymmetric or symmetric effects on China’s stock prices?

The Impact of Exchange Rate on Stock Market Indices

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