Portfolio Balance Approach to Asymmetries, Structural Breaks and Financial Crisis: Testing a Model for Nigeria

Adekoya, Oluwasegun B.

doi:10.33429/cjas.11120.4/5

Cited by 4 publications

(1 citation statement)

References 30 publications

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“…The portfolio balance approach (Frankel, 1983) which is an extended version of the monetary exchange rate model; addresses the deficiencies of the monetary approach (Adekoya, 2020;Bahmani-Oskooee & Sohrabian, 1992). This is a more realistic approach explaining that any alteration in the macroeconomic variables of an economy would exert an impact directly on the supply and demand conditions of domestic and foreign bonds (Aydemir & Demirhan, 2009).…”

Section: Portfolio Balance Approachmentioning

confidence: 99%

The Effect of Foreign Exchange Rates on the Stock Market Performance in Sri Lanka

Gooneratne

Silva

2022

J. Mgt. Matters

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All the nations around the world are interrelated and interdependent through economic, cultural, social, and, technological means. The foreign exchange market and the stock market are the driving forces of global interdependency. Thus, the study aims to analyze the nature of the relationship between foreign exchange rates and the stock market performance in the Sri Lankan context. The study adopted a quantitative research approach where publicly available secondary data from the Central Bank of Sri Lanka and the Colombo Stock Exchange were used for the analysis. All Share Price index was used as the dependent variable and the monthly average exchange rates; USD/LKR, GBP/LKR, EUR/LKR, JPY/LKR, and INR/LKR were used as the independent variables. The study gathered data for 19 years from Jan'2000 -Jan'2019, where the data set was tested for unit root, and given the non-stationary nature of data; the Johansen co-integration rank test was applied. The study findings depict a non-significant relationship between the exchange rates and the stock market performance in the Sri Lankan context emphasizing the absence of a long-term relationship. This is of paramount importance for both local and foreign investors given the decisions on foreign exchange risk hedging and the portfolio performance depend on this relationship. To the best of our knowledge, this is one of the early studies in Sri Lanka to identify the association between exchange rates and stock returns over a period of 19 years.

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Section: Portfolio Balance Approachmentioning

confidence: 99%

The Effect of Foreign Exchange Rates on the Stock Market Performance in Sri Lanka

Gooneratne

Silva

2022

J. Mgt. Matters

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The Interplay of Privacy and Transparency in Fostering Integrity in a CBDC

Atako

2020

SSRN Journal

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Volatility spillovers across Bitcoin, stock, and exchange rates markets

Umoru,

Ugbaka,

Uyang

et al. 2024

CBSR

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Globalization of the world economy has ensured flexible exchange rate mechanisms are executed thereby creating interdependence between and within the stock, digital currency and foreign exchange markets. Unfortunately, in emerging African countries, few studies conducted on volatility spillovers failed to adequately establish the significance and pattern of volatility spillover effects between returns on Bitcoin, stock markets and exchange rates. Hence, the need for this study using the diagonal-BEKK approach. While Botswana had an inverse pattern of spillovers, Tunisia had a positive pattern. Bitcoin and stock prices both had volatility spillover effects between each other in South Africa. South Africa and Namibia were the only countries with significant volatility spillovers between stock prices and exchange rates. In countries like Kenya that had significant cross-volatility from the stock market to the exchange rate, news about the stock market stimulated reactions from investors that impacted volatility within the market. This volatility creates a multiplier effect on other economic circles of influence, depending on whether reactions are favourable to the market or unfavourable. When volatility in the Kenyan stock market rises, exchange rates in the next period experience less volatility, against the common theory that investors’ actions that cause volatility in the stock market cause withdrawal of investments.

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Portfolio Balance Approach to Asymmetries, Structural Breaks and Financial Crisis: Testing a Model for Nigeria

Cited by 4 publications

References 30 publications

The Effect of Foreign Exchange Rates on the Stock Market Performance in Sri Lanka

The Effect of Foreign Exchange Rates on the Stock Market Performance in Sri Lanka

The Interplay of Privacy and Transparency in Fostering Integrity in a CBDC

Volatility spillovers across Bitcoin, stock, and exchange rates markets

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