Volatility spillovers between real exchange rate returns and real stock price returns in <scp>Malaysia</scp>

Wong, Hock Tsen

doi:10.1002/ijfe.1653

Cited by 19 publications

(12 citation statements)

References 39 publications

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“…However, under different thresholds, the relationship between variables is usually nonlinear (Tian et al 2020). Several recent studies have pointed out that the symmetry assumption may underestimate the impact of exchange rates on stock prices (Effiong and Bassey 2019;Wong 2019;Salisu et al 2020). Ismail and Isa (2009) concluded that a nonlinear model is more appropriate.…”

Section: The Effects Of Exchange Rates 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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Section: The Effects Of Exchange Rates 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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show abstract

“…Exchange rate and stock price are said to be closely linked (Wong, 2018). Multinational firms are involved in international transactions, and their profits are strongly influenced by real exchange rates.…”

Section: The Impact Of Real Exchange Ratesmentioning

confidence: 99%

The impact of real exchange rates on real stock prices

Wong

2022

JEFAS

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PurposeThe study examines the impact of real exchange rates and asymmetric real exchange rates on real stock prices in Malaysia, the Philippines, Singapore, Korea, Japan, the United Kingdom (UK), Germany, Hong Kong and Indonesia.Design/methodology/approachThis study uses the asymmetric autoregressive distributed lag (ARDL) approach and non-linear autoregressive distributed lag (NARDL) approach.FindingsThe asymmetric ARDL approach shows more economic variables are found to be statistically significant than the ARDL approach. The asymmetric real exchange rate is mostly found to have a significant impact on the real stock price. Moreover, real output and real interest rates are found to have a significant impact on the real stock price. The Asian financial crisis (1997–1998) and the global financial crisis (2008–2009) are found to have a significant impact on the real stock price in some economies.Research limitations/implicationsEconomic variables are important in the determination of stock prices.Originality/valueIt is important to examine the impact of asymmetric real exchange rate on the real stock price as the depreciation of real exchange rate could have different impacts than the appreciation of real exchange rate on the real stock price. The previous studies in the literature mostly found the significant impact of nominal exchange rate on the nominal stock price.

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“…Frankel (1983) and Branson (1981) proposed the portfolio balance theory to deliver a much more comprehensive result. Moreover, Wong (2018) found that there is a significant relationship between competitiveness exchange rate and stock market in Malaysia by examining the spillover permanent component volatility and transitory component volatility between real exchange rate return and real stock prices, which in turn leads to stronger permanent component volatility spillover rather than In contrast, Bahmani-Oskooee and Saha (2016) demonstrated a significant positive correlation between exchange rate and the stock market, concentrating on export-oriented firms in Brazil, Canada, Chile, Indonesia, Japan, Korea, Malaysia, and Mexico by applying the NARDL estimates. In addition, recent study by Vadivel (2021) found a negative relationship between exchange rate and stock market price for India and South Africa.…”

Section: Literature Reviewmentioning

confidence: 99%

How far does the stock market performance influence Malaysia’s consumers purchasing power?

2022

KJSS

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This study examined the asymmetric effect of stock market index performance on the external competitiveness of purchasing power for Malaysia covering the period of 1996-2019 utilizing the Ender and Siklos (2001) and the threshold vector error correction model (TVECM) approaches. The empirical findings confirmed an existing of asymmetric effect between stock market index and the external competitiveness purchasing power in Malaysia cases. There is evidence of negative relationship between both series with a bidirectional asymmetric causality relationship. Therefore, policymakers should give more attention of stock market performance to strengthen the current and future monetary policies related to consumer's purchasing power agenda in Malaysia and consider the current global economic uncertainty caused by the COVID-19 pandemic worldwide.

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Volatility spillovers between real exchange rate returns and real stock price returns in Malaysia

Cited by 19 publications

References 39 publications

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

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

The impact of real exchange rates on real stock prices

How far does the stock market performance influence Malaysia’s consumers purchasing power?

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