Business Cycle Fluctuations, Foreign Direct Investment, and Real Effective Exchange Rate Nexus Among Asian Countries

Malik, Summaira; Abbas, Ali; Shabbir, Malik Shahzad; Ramos‐Meza, Carlos Samuel

doi:10.1007/s13132-023-01316-7

Cited by 11 publications

(1 citation statement)

References 68 publications

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“…Akgiray (1989) mean models which are used to forecast the US monthly stock index volatility. West and Cho (1995); Malik et al, 2023 report the superiority of the GARCH model when used to forecast dollar exchange rate volatility. Pagan and Schwert (1990) used GARCH, EGARCH, Markov switching, and three nonparametric models in forecasting US stock returns.…”

Section: Econometric Modelmentioning

confidence: 99%

The Dynamic Relationship among Domestic Stock Returns Volatility, Oil Prices, Exchange Rate and Macroeconomic Factors of Investment

Shabbir

Said

PELİT

et al. 2023

IJEEP

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This study investigates the impact of oil price variations, exchange rates, macroeconomic factors and domestic stock volatility in South Asian countries. This study employs a general autoregressive heteroskedastic (GARCH) model using quarterly data from 2001 to 2021. The results reveal that there is a significant relationship between the domestic stock of credit and macroeconomic factors. We find surprising results for the set of the countries; there is a negative impact of asset portfolio investment in the domestic stock for Afghanistan, Bangladesh, India and Pakistan and a positive effect for the remaining countries. There is a positive impact on the economic growth in the majority of countries with the exception of Afghanistan and Bangladesh. Inflation seems to increase while there is an increase in the credit in the economy except for Bangladesh, Bhutan and Nepal. Exchange rate has a negative impact on the domestic stock except for India and Nepal. Further, there is a positive effect on the interest rate spread in Bangladesh, India and Pakistan. Finally, oil prices have a significant impact on exchange rates within the countries’ investments.

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