Exchange rate volatility and stock market returns

returns. Keywords: Volatility, Inflation, Interest rate, stock market volatility. market volatility as one of the problems facing the Nairobi securities Exchange. Figure 1 shows the cumulative returns from the strategy that predicts stock market returns using momentum returns. The total return over 28 years is around 350%, and this is composed of 300% originating from local market equity returns and 50% due to currency returns.

This study utilizes daily time series data for All Share Price Index (ASPI) returns of Colombo. Stock Exchange (CSE) and exchange rates over a period of six years  market, and to compare the return on specific investments (Assaf, 2014). It is often argued that a valuable coordination exists among exchange rates and stock   30 Sep 2019 The response of Industry stock returns to market, exchange rate and interest rate risks. Managerial Finance, 33(9), 693–709. Google Scholar |  dependence between equity returns and exchange rate returns. The increasing interdepend- ency has also increased the volatility transmission betweens stock  The volatility spillover effect is observed in one direction: from the exchange rate to stock market. of stock market on changes in the exchange rate of all countries, shock the variance of the financial asset price gradually returns to. Thus, we can comment that adding exchange rate or stock returns of India in the. GARCH model provides significant knowledge about the behaviour of the DSE  Increasing volatility of stock prices causes more risk in stock exchange markets. Thereby, volatility affects the investment behavior to a great extent. If the returns 

correlation (DCC) to analyze the relationship of exchange rate volatility and Thailand’s stock market returns. The av-erage estimation value of the DCC coefficient for these two markets equals to –0.1650, this result indicates that the exchange rate volatility negatively affects the Thailand’s stock market.

and stock market returns by the VAR model, suggesting that exchange rate volatility can affect the performance of a firm or an industrial sector. Thus, an appropriate exchange rate can stabilize the stock market, especially during the financial crisis. when major drivers of financial volatility are controlled for, increased exchange rate volatility exerts a positive and statistically significant effect on the volatility of stock returns. Monetary policymakers need to take this effect into in WEBS returns. Moreover, exchange rate volatility has lagged positive impacts on the volatility of WEBS. They point out that the second moment exchange rate information is important to diversifications in the stock market. The exchange rate risk is priced in returns and the exchange rate volatility is important to investors. The empirical The stock market can be a highly volatile place, with wide-ranging annual, quarterly, even daily swings of the Dow Jones Industrial Average. Although this volatility can present significant investment risk, when correctly harnessed, it can also generate solid returns for shrewd investors. 1.1.1 Exchange rate volatility Exchange rate volatility refers to the tendency for foreign currencies to appreciate or depreciate in value, thus affecting the profitability of foreign exchange trades. The volatility is the measurement of the amount that these rates change and the frequency of those changes.

1.1.1 Exchange rate volatility Exchange rate volatility refers to the tendency for foreign currencies to appreciate or depreciate in value, thus affecting the profitability of foreign exchange trades. The volatility is the measurement of the amount that these rates change and the frequency of those changes.

The impact of exchange rate and oil prices fluctuation on the stock market has been a subject of hot volatility have no significant impact on stock returns. 19 Sep 2017 A. (2010), "Do Interest Rate, Exchange Rate effect Stock Returns? Rate and Exchange Rate on Volatility of Market Index at Dhaka Stock  18 Dec 2006 This paper set out to examine the volatility linkages between stock returns and exchange rates in a number of East Asian markets. Overall, our  market practitioners are expected to make provisions for volatility in interest rate and the among interest rate, stock price returns and exchange rate for the. “Exchange Rate Fluctuations, Political Risk, and Stock Market Returns: Some Evidence from an Emerging Market.” Journal of Financial and Quantitative  volatility persistence; trading volume; GARCH models; Nigeria stock market " The predictive ability of several models of exchange rate volatility," Journal of  returns. Keywords: Volatility, Inflation, Interest rate, stock market volatility. market volatility as one of the problems facing the Nairobi securities Exchange.

The volatility in the exchange rate movement of a particular currency may have spillover effects on the stock markets of inter-related economies, due to the 

22 Oct 2018 There are many studies on the relationship between the exchange rate market and the stock market as the relationship between both markets can  The volatility in the exchange rate movement of a particular currency may have spillover effects on the stock markets of inter-related economies, due to the  emanating from the macroeconomy on stock market volatility based on monthly data inflation rate, interest rate, exchange rate among other variables do alter stock prices via the of the world that guarantee high return on investment [10]. The impact of exchange rate and oil prices fluctuation on the stock market has been a subject of hot volatility have no significant impact on stock returns. 19 Sep 2017 A. (2010), "Do Interest Rate, Exchange Rate effect Stock Returns? Rate and Exchange Rate on Volatility of Market Index at Dhaka Stock  18 Dec 2006 This paper set out to examine the volatility linkages between stock returns and exchange rates in a number of East Asian markets. Overall, our  market practitioners are expected to make provisions for volatility in interest rate and the among interest rate, stock price returns and exchange rate for the.

and stock market returns by the VAR model, suggesting that exchange rate volatility can affect the performance of a firm or an industrial sector. Thus, an appropriate exchange rate can stabilize the stock market, especially during the financial crisis.

The volatility spillover effect is observed in one direction: from the exchange rate to stock market. of stock market on changes in the exchange rate of all countries, shock the variance of the financial asset price gradually returns to. Thus, we can comment that adding exchange rate or stock returns of India in the. GARCH model provides significant knowledge about the behaviour of the DSE  Increasing volatility of stock prices causes more risk in stock exchange markets. Thereby, volatility affects the investment behavior to a great extent. If the returns 

30 Sep 2019 The response of Industry stock returns to market, exchange rate and interest rate risks. Managerial Finance, 33(9), 693–709. Google Scholar |  dependence between equity returns and exchange rate returns. The increasing interdepend- ency has also increased the volatility transmission betweens stock  The volatility spillover effect is observed in one direction: from the exchange rate to stock market. of stock market on changes in the exchange rate of all countries, shock the variance of the financial asset price gradually returns to.