Exchange Rate, Exchange Rate Volatility and Stock Prices: an Analysis of the Symmetric and Asymmetric Effect Using ARDL and NARDL Models

被引：6

作者：

Saidi, La Ode ^{[1
]}

Muthalib, Abd Azis ^{[1
]}

Adam, Pasrun ^{[1
]}

Rumbia, Wali Aya ^{[1
]}

Sani, La Ode Arsad ^{[1
]}

机构：

[1] Univ Halu Oleo, Kendari 93232, Indonesia

来源：

AUSTRALASIAN ACCOUNTING BUSINESS AND FINANCE JOURNAL | 2021年 / 15卷 / 04期

关键词：

Exchange rate; exchange rate volatility; stock prices; ARDL model; NARDL model; TIME-SERIES; BEHAVIOR;

D O I：

10.14453/aabfj.v15i4.11

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article examined the symmetric and asymmetric effects of the IDR/USD exchange rate and its volatility on stock prices using the monthly time series data of the IDR/USD exchange rate and the Indonesian composite stock price index from January 2006 to July 2019. The data were analyzed using ARDL and NARDL models. The results showed that in the short term, the IDR/USD exchange rate has a symmetry effect on stock prices, while volatility lacks such a symmetric influence. However, these two variables asymmetrically affect stock prices, Furthermore, in the long term both the exchange rate and the volatility lack symmetric and asymmetric influence on stock prices.

引用

页码：179 / 190

页数：12

共 50 条

[31] Volatility analysis of the Romanian exchange rate
Pelinescu, Elena
1ST INTERNATIONAL CONFERENCE 'ECONOMIC SCIENTIFIC RESEARCH - THEORETICAL, EMPIRICAL AND PRACTICAL APPROACHES', ESPERA 2013, 2014, 8 : 543 - 549
[32] Exchange rate volatility models: The Turkish case
Gur, Timur Han
Ertugrul, Hasan Murat
IKTISAT ISLETME VE FINANS, 2012, 27 (310): : 53 - 77
[33] Country risk, stock prices, and the exchange rate of the renminbi
Umar, Muhammad
Sun, Gang
JOURNAL OF FINANCIAL ECONOMIC POLICY, 2015, 7 (04) : 366 - 376
[34] Is Exchange Rate Volatility Symmetric to Oil Price Volatility? An Investigation for India
Kathuria, Vinish
Sabat, Jyotirmayee
JOURNAL OF QUANTITATIVE ECONOMICS, 2020, 18 (03) : 525 - 550
[35] EXCHANGE RATE VOLATILITY EXPOSURE ON CORPORATE CASH FLOWS AND STOCK PRICES: THE CASE OF CZECH REPUBLIC
Stavarek, Daniel
Tomanova, Lucie
PROCEEDINGS OF 12TH INTERNATIONAL SCIENTIFIC CONFERENCE: ECONOMIC POLICY IN THE EUROPEAN UNION MEMBER COUNTRIES, PTS I AND II, 2015, : 747 - 755
[36] Economic growth and deviations from the equilibrium exchange rate: a panel ARDL and panel NARDL approach
Ramos-Herrera, Marica Del Carmen
APPLIED ECONOMIC ANALYSIS, 2024,
[37] Is Exchange Rate Volatility Symmetric to Oil Price Volatility? An Investigation for India
Vinish Kathuria
Jyotirmayee Sabat
Journal of Quantitative Economics, 2020, 18 : 525 - 550
[38] The relationship between stock returns and the foreign exchange rate: the ARDL approach
Tian, Gary Gang
Ma, Shiguang
JOURNAL OF THE ASIA PACIFIC ECONOMY, 2010, 15 (04) : 490 - 508
[39] Asymmetric effect of exchange rate and investors' sentiments on stock market performance
Ghumro, Niaz Hussain
Soomro, Ishfaque Ahmed
Abbas, Ghulam
JOURNAL OF ECONOMIC AND ADMINISTRATIVE SCIENCES, 2022,
[40] Exchange rate movement and stock market performance: An application of the ARDL model
Javangwe, Kudakwashe Zvitarise
Takawira, Oliver
COGENT ECONOMICS & FINANCE, 2022, 10 (01):

← 1 2 3 4 5 →