The Impact of Exchange Rate Volatility on Stock Index:  Evidence from Pakistan Stock Exchange (PSX)

Bagh, Tanveer; Azad, Tahir; Razzaq, Sadaf; Liaqat, Idrees; Khan, Muhammad Asif

doi:10.6007/ijarafms/v7-i3/3150

Cited by 16 publications

(18 citation statements)

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“…In various studies convertibility rate and share market have unidirectional association and from the changes of prices level to the changes in convertibility rate such relation runs (Bagh et al, 2017;Jamil & Ullah, 2013;Suriani et al, 2015). While, in some studies the connection regarding the stock prices and convertibility rate is found to be as dual and bidirectional in the short run (Jain & Biswal, 2016;Khan, 2019;Khatri et al, 2017).…”

Section: Literature Reviewmentioning

confidence: 99%

“…There are various studies in which the association among the dollar's convertibility rate and change in indices in share prices has been focused on. It has been observed that the flow-oriented convertibility rate model and oriented convertibility rate model are two types of model in which the convertibility rate and stock index's relationship is presented (Bagh et al, 2017;Mitra, 2017;Sarrafi & Mehregan, 2018). This is indubitable that share market is the market that fluctuates on continuous basis.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Therefore, against that of foreign currency, the domestic currency's the convertibility rate encourages, and negative relation is shown by it as suggested Portfolio Balance approach. While, it is advocated by the traditional approach, the market of exchange and the market of stock have positive relationship, and from convertibility rate to share market the causality runs (Bagh, Azad, Razzaq, Liaqat, & Khan, 2017). It has been inferred that there is optimist relation between the convertibility rates and share market when the competitiveness of domestic form increases and domestic currency depreciates.…”

Section: Introductionmentioning

confidence: 99%

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Impact of Changes in Exchange Rate on Stock Market: An Empirical Evidence from Indonesia

Amado

Choon

2020

International Journal of Applied Economics, Finance and Account

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The study examines the impact of changes in exchange rate on stock market the case of Indonesia. The quantitative approach is used to find out the connection among the two quantifiable variables fluctuations of the exchange rate and share market. The exchange rate of Indonesia is presented through the real effective rate of exchange while for share market; the time series of share market returns has been gathered. The study uses the ARDL model in order to determine whether the time series of fluctuations in the rate of exchange predict share market. The findings of the current study suggest that in the context of Indonesia, the longterm relationship between rate of exchange fluctuations and share market has been established.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Impact of Changes in Exchange Rate on Stock Market: An Empirical Evidence from Indonesia

Amado

Choon

2020

International Journal of Applied Economics, Finance and Account

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“…Bagh, Azad, Razzak, Liaqat, and Knan ( 2017) conducted their research to analyze the influence of exchange rate volatility on PSX (Pakistan Stock Exchange). An explanatory study was carried over to measure the macroeconomic variables (Bagh et al, 2017). The exchange rates (ER) were measured as the independent factor while stock index was the main variable for the research.…”

Section: Literature Reviewmentioning

confidence: 99%

Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX)

Çanakçi¹,

Derindağ²

2020

Anadolu Üniversitesi Sosyal Bilimler Dergisi

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This study examines the effects of daily US dollar returns on the short-term spill of TEA (Turkish Exporters Assembly) export index (TIMEX) returns. The uniqueness of this empirical paper is investigating the influence of indices of that are specifically designed for exporting companies. First, we concluded that there is no asymmetric spread using the modified general autoregressive conditional heteroscedasticity (GARCH) (1,1)-M model. Then, the existence of asymmetric spread was investigated with GJR-GARCH (1,1)-M model and we obtained strong evidence that there is an asymmetric spread from dollar returns to TEA export index returns.

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“…Pertukaran mata uang telah didefinisikan oleh banyak peneliti dalam studi masa lalu. Menurut Abbas (2010) melalui(Bagh, Azad, Razzaq, Liaqat, & Khan, 2017) nilai tukar mata uang mengacu kepada nilai mata uang suatu negara terhadap negara lain.Sudah sering diperdebatkan bahwasanya terdapat keterkaitan antara nilai tukar dan Indeks saham, terutama dalam konteks mobilitas dan lintas batas dana investasi. Terdapat dua teori yang mendukung keberadaan hubungan yang signifikan antara nilai tukar dan IHSG.…”

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Analisis Kausalitas Antara Ihsg, Indeks Dow Jones Industrial Average Dan Nilai Tukar Rupiah/Us$

Natsir

Yusbardini

Bangun

2019

JMIEB

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Penelitian ini bertujuan untuk menginvestigasi hubungan kausalitas antara IHSG, nilai tukar rupiah/US$ dan Indeks Global yang diwakili oleh Indeks Dow Jones Industrial Average. Penelitian mengambil sampel nilai-nilai variabel yang diteliti dengan periode data bulanan dalam periode Juli 2005-Desember 2018. Alat analisis menggunakan uji Engle-Granger untuk menginvestigasi hubungan kausalitas. Hasil Uji kausalitas Granger memperlihatkan terdapat hubungan dua arah atau saling mempengaruhi antara IHSG dengan nilai rupiah/US$. Selain itu ditemukan pula bahwa pergerakan Indeks Dow Jones Industrial secara signifikan mempengaruhi kepada pergerakan IHSG dan nilai tukar rupiah/US$, tetapi sebaliknya pergerakan yang terjadi pada IHSG dan nilai tukar tidak mampu mempengaruhi gerakan indeks Dow Jones Industrial. Hasil Uji kointegrasi Johansen memperlihatkan bahwa semua variabel penelitian mempunyai hubungan keseimbangan jangka panjang yang signifikan. This study aims to investigate the causality relationship between the CSPI, the exchange rate of rupiah / US $ and the Global Index represented by the Dow Jones Industrial Average. The study sampled variable values studied with monthly data periods in the period July 2005-December 2018. The analysis tool uses the Engle-Granger test to investigate causality relationships. Granger causality test results show there is a two-way relationship or influence each other between the CSPI with the value of rupiah / US $. In addition it was also found that the movement of the Dow Jones Industrial Index significantly affected the movement of the JCI and the exchange rate of the rupiah / US $, but conversely the movements that occurred on the JCI and the exchange rate were unable to influence the movement of the Dow Jones Industrial index. Johansen's cointegration test results show that all research variables have a significant long-term balance relationship.

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The Impact of Exchange Rate Volatility on Stock Index: Evidence from Pakistan Stock Exchange (PSX)

Cited by 16 publications

References 0 publications

Impact of Changes in Exchange Rate on Stock Market: An Empirical Evidence from Indonesia

Impact of Changes in Exchange Rate on Stock Market: An Empirical Evidence from Indonesia

Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX)

Analisis Kausalitas Antara Ihsg, Indeks Dow Jones Industrial Average Dan Nilai Tukar Rupiah/Us$

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