Interactions between stock prices and exchange rates: An application of multivariate VAR-GARCH model

Manasseh, Charles O.; Chukwu, Ndubuisi; Abada, Felicia C.; Ogbuabor, Jonathan E.; Lawal, Adedoyin Isola; Alio, Felix C.

doi:10.1080/23322039.2019.1681573

Cited by 10 publications

(4 citation statements)

References 20 publications

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“…Finding particular reasons for nonconstant volatility in the exchange rates data would need a standalone analysis. Here, we only note that this is not a new phenomenon; it has been studied in many papers (e.g., Feng et al, 2021;Kido, 2016;Manasseh et al, 2019;You & Liu, 2020;Zhou et al, 2020).…”

Section: Datamentioning

confidence: 98%

Time series clustering based on time-varying Hurst exponent

Babiš

Stehlíková

2021

Adv Meth Stat

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We consider the problem of clustering time series which are assumed to possess the long term memory. We propose an approach based on combining the results obtained by applying different methods for estimating time-varying Hurst exponent and apply it to Euro exchange rates. Firstly, we fit AR-GARCH models to every time series to reduce bias of rescaled range analysis method. We only consider model with residuals, in which no autocorrelation and ARCH effect is present; among them we choose the model with the lowest value of the Bayesian information criterion. Afterwards, we estimate the Hurst exponent from the residuals by means of the rolling window approach using four different estimation methods. Vectors of Hurst exponents are clustered for each of the four cases and the clusters are compared in order to obtain the final clustering.

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Section: Datamentioning

confidence: 98%

Time series clustering based on time-varying Hurst exponent

Babiš

Stehlíková

2021

Adv Meth Stat

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“…Despite being confirmed of a significant bidirectional relation between the FEM and stock markets (Manasseh et al 2019 andThampanya et al 2020), some studies have not shown a significant relationship with bank facilities (Mbutor, 2010). Chkili and Nguyen (2013) considered a non-linear relation for the stock market and the FEM.…”

Section: The Relationship Between the Fem And The Fismentioning

confidence: 99%

Financial intermediaries and speculation in the foreign exchange market: the role of monetary policy in Iran’s economy

Sadeghi

Marzban

Samadi

et al. 2022

Economic Structures

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Given the high fluctuations of the general price level, the importance of investment, and accessing sufficient financial resources, we examine the effects of monetary policy on the nominal (Inflation) and real (Investment) sectors of a developing economy, like Iran, through the channel of the relationship between bank deposits, stock market, and speculation in the foreign exchange market (FEM). For this purpose, due to regime switching in Iran’s economy, the non-linear relation between the variables has been investigated by applying Markov switching models and annual data of 1988–2018. The results show that the financial intermediaries (FIs) have not had a complementary relationship in both bear and bull market and high and low banks deposits regimes. Both FIs have negatively impacted speculation in the FEM in high and low exchange rates difference regimes. The difference between official and unofficial exchange rates negatively impacted the FIs in bear market and low banks deposits regimes; on the contrary, a positive effect in a bull market and high bank deposits. The effects of both FIs on investment have been positive in high and low investment regimes and negative on inflation rates in high and very high inflation regimes. In comparison, the impact of speculation in the FEM has been negative on investment and positive on inflation. Therefore, in the event of the lack of limitations regarding using interest rate (IR) and the policy of exchange rate unification, the central bank would be able to affect the nominal and real sectors of the economy suitably through the channels of the FIs and the FEM.

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“…(2015) , Uwubanmwen and Omorokunwa (2015) , Lawal et al. (2016) , Iheanacho (2016) , Mroua and Trabelsi (2019) , and Manasseh et al. (2019) .…”

Section: Empirical Literaturementioning

confidence: 99%

“…Many studies have focused on the linkages stock prices have with local factors, including political factors like election announcements as contained in Osamwonyi andOmorounwa (2017), Osual et al (2018); macroeconomic factors as in Ali et al (2015), Uwubanmwen and Omorokunwa (2015), Lawal et al (2016), Iheanacho (2016), Mroua andTrabelsi (2019), andManasseh et al (2019). Anaraki (2010) examined the relationship between the US Fed policies, financial crisis and the European equity market.…”

Section: Empirical Literaturementioning

confidence: 99%

Dynamic links between the Nigerian equity market and those of selected regional and developed countries

Obadiaru

Obasaju

Omankhanlen

et al. 2020

Heliyon

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The dynamic and growing interdependent nature of equity markets across the world has elicited the interest of investors and researchers alike. This study examines the dynamic interactions between the Nigerian stock market and selected regional and global equity markets spanning eight years, from 2011 to 2018, using daily index data. The generalised impulse response function was used alongside the Toda and Yamamoto Granger causality test to investigate the short-run dynamic linkages, while the normalized Johansen vector error correction estimates served to assess the long-run linkages given the existence of cointegration. Findings from the study revealed that the UK and the Ghanaian stock markets exert significant long-run impact on the Nigerian stock market, while vagaries from the US tend to exert more influence on the Nigerian stock market in the short-run. The study recommends that more regional efforts are needed to enhance the integration of stock markets in West Africa. The findings have implications for national and regional policymakers as well as portfolio investors.

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Interactions between stock prices and exchange rates: An application of multivariate VAR-GARCH model

Cited by 10 publications

References 20 publications

Time series clustering based on time-varying Hurst exponent

Time series clustering based on time-varying Hurst exponent

Financial intermediaries and speculation in the foreign exchange market: the role of monetary policy in Iran’s economy

Dynamic links between the Nigerian equity market and those of selected regional and developed countries

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