The asymmetric impact of interest and exchange rate on the stock market index: evidence from MENA region

Moussa, Faten; Delhoumi, Ezzeddine

doi:10.1108/ijoem-01-2020-0089

Cited by 8 publications

(7 citation statements)

References 29 publications

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“…This means that in the long run, an appreciation in the exchange rate will have a positive impact on stock market returns. This result is consistent with the results generated by Mechri et al (2018), Moussa and Delhoumi (2021) and Maysami et al (2004). On the other hand, regarding Indonesia, the results support a significant negative long-run impact.…”

Section: Resultssupporting

confidence: 91%

“…This result is consistent with the results generated by Mechri et al . (2018), Moussa and Delhoumi (2021) and Maysami et al . (2004).…”

Section: Resultsmentioning

confidence: 93%

“…In their study, Moussa and Delhoumi (2021) examined how exchange rates impact the main stock market index of five countries in the MENA region. The results of their study confirmed the existence of cointegration between stock returns and exchange rates.…”

Section: Literature Reviewmentioning

confidence: 99%

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The impact of exchange rates on stock market performance of the Emerging 7

El-Diftar

2023

JCMS

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Purpose The purpose of this research is to study the relationship between exchange rate fluctuations and stock market returns of the seven highest economic performing emerging countries (E7).Design/methodology/approach The study is conducted using the daily data for exchange rates and stock market returns in each of the E7 countries from January 1, 2019, to January 1, 2022. The study employs the ordinary least squares, autoregressive distributed lag error correction regression and generalized autoregressive conditional heteroskedasticity (GARCH (1,1)) regression models to fully investigate the impact of exchange rate on stock markets. For further investigation, the GARCH (1,1) model is run twice for each country with and without the inclusion of exchange rate to determine its effect on the volatility of stock returns.Findings The findings support the presence of cointegration relationship between the variables for all countries. The results reveal significant positive long-run relationship between exchange rates and stock market returns in all countries except for Indonesia, which evidenced a significant negative impact. The results of the GARCH (1,1) add that the inclusion of exchange rate in the model accounts for a slight change in the volatility of stock returns.Originality/value The research provides empirical evidence that appreciating currencies are perceived positively by investors leading to better performing capital markets. The outcomes of this study may assist policy makers in understanding to what degree changes in exchange rates can influence capital markets, as well as narrow the gap in literature regarding which theory is more relevant in explaining how exchange rate fluctuations impact market values.

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Section: Resultssupporting

confidence: 91%

“…This result is consistent with the results generated by Mechri et al . (2018), Moussa and Delhoumi (2021) and Maysami et al . (2004).…”

Section: Resultsmentioning

confidence: 93%

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The impact of exchange rates on stock market performance of the Emerging 7

El-Diftar

2023

JCMS

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“…Additionally, the stock market is critical to a country's economy, and its interconnected movements are a leading indicator of economic crises such as recessions and depressions (Queku et al, 2020). According to Moussa and Delhoumi (2021), stock markets mediate between listed firms and investors in developed and emerging markets. Malaysia's stock exchange is one of the largest in Southeast Asia, with 998 listed companies offering a varied range of investment options to both domestic and foreign investors (Bursa Malaysia, 2020).…”

Section: Introductionmentioning

confidence: 99%

The Relationship between Money Supply, Exchange Rates and Oil Prices with KLCI's Price

Saad¹,

Bakri²,

Ibrahim³

et al. 2022

IJARBSS

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“…Lemeshko and Rejnus (2015) find openness to foreign trade and investments, development and stability of financial and capital markets, governance structure as also government debt to be especially important for developing markets in terms of mutual fund performance. Recent research finds that macroeconomic and global factors affect different stock markets differently (Bahloul and Amor, 2021; Duong et al , 2021; Moussa and Delhoumi, 2021) and that stock illiquidity is associated with economic policy uncertainty (Zhang et al , 2021). We use economic growth and market openness as two economic factors which can affect mutual fund development and performance.…”

Section: Introductionmentioning

confidence: 99%

Impact of economic and market factors on the market liquidity timing ability of mutual fund managers in Turkey

Yalcin

Dube

2021

IJOEM

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PurposeThe authors examine whether Turkish fund managers employ liquidity timing along with market return timing, and if additional economic and market factors could affect their timing abilities, to help explain the contradictory results in literature vis-a-vis market timing ability.Design/methodology/approachThe authors apply panel data analyses, with interaction terms and incorporating structural breaks, to monthly data for 96 out of 131 Turkish variable mutual funds which have available data for the sample period of 2011–2018. The authors employ the Amihud (2002) illiquidity measure to study market liquidity timing ability along with how additional economic and market factors affect this ability.FindingsThe authors find liquidity timing to be the performance enhancing method employed by Turkish variable fund managers in conjunction with market timing and that evidence for market timing may depend on whether structural breaks, that may be present in returns, are incorporated in the analysis. The authors also find that economic, technology and market-related factors affect timing abilities of fund managers.Research limitations/implicationsConclusions are for Turkey, for the sample period studied, and for the control factors selected based on literature.Practical implicationsIt is important to understand the role of market liquidity in making investment decisions and the paper contributes toward an understanding of how managers design their timing strategies in order to enhance portfolio performance, as well as the impact of additional factors on their ability to time market returns and liquidity. This is also important for evaluating fund managers' performance in terms of contribution to portfolio value.Originality/valueTo the authors knowledge this is the first study on Turkish markets to employ liquidity timing in the context of panel data analyses using interaction terms, as well as structural breaks, to distinguish the extent of liquidity timing from return timing, while incorporating the effect of additional factors on timing ability.

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The asymmetric impact of interest and exchange rate on the stock market index: evidence from MENA region

Cited by 8 publications

References 29 publications

The impact of exchange rates on stock market performance of the Emerging 7

The impact of exchange rates on stock market performance of the Emerging 7

The Relationship between Money Supply, Exchange Rates and Oil Prices with KLCI's Price

Impact of economic and market factors on the market liquidity timing ability of mutual fund managers in Turkey

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