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

[41] On Spillover effect of RMB exchange Rate Volatility
Zhang, Jiaping
Fan, Min
Yu, Xiaojian
ISBIM: 2008 INTERNATIONAL SEMINAR ON BUSINESS AND INFORMATION MANAGEMENT, VOL 2, 2009, : 441 - 444
[42] Exchange Rate Volatility Effect on Economic Growth under Different Exchange Rate Regimes: New Evidence from Emerging Countries Using Panel CS-ARDL Model
Ameziane, Karim
Benyacoub, Bouchra
JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2022, 15 (11)
[43] Fossil fuel prices, exchange rate, and stock market: A dynamic causality analysis on the European market
Smiech, Slawomir
Papiez, Monika
ECONOMICS LETTERS, 2013, 118 (01) : 199 - 202
[44] Exchange rate changes and money demand in Albania: a nonlinear ARDL analysis
Bahmani-Oskooee, Mohsen
Miteza, Ilir
Tanku, Altin
ECONOMIC CHANGE AND RESTRUCTURING, 2020, 53 (04) : 619 - 633
[45] The impact of exchange rate and exchange rate volatility on Mauritius foreign direct investment: A sector-wise analysis
Moraghen, Warren
Seetanah, Boopen
Sookia, Noor Ul Haq
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2023, 28 (01) : 208 - 224
[46] Returns and volatility spillover between food prices and exchange rate in Nigeria
Akanni, Lateef Olawale
JOURNAL OF AGRIBUSINESS IN DEVELOPING AND EMERGING ECONOMIES, 2020, 10 (03) : 307 - 325
[47] Effects of exchange rate volatility on export volume and prices of forest products
Zhang, Sijia
Buongiorno, Joseph
CANADIAN JOURNAL OF FOREST RESEARCH, 2010, 40 (11) : 2069 - 2081
[48] Asymmetric Transition Effects of the Exchange Rate on Consumer Prices in Turkey
Goktas, Pinar
SOSYOEKONOMI, 2019, 27 (42) : 29 - 50
[49] The Asymmetric Effect of Exchange Rate on the Household Consumption Expenditures
Gohar, Raheel
Chang, Bisharat Hussain
Uche, Emmanuel
Memon, Pervez Ahmed
Bhatty, Kashif
ETIKONOMI, 2023, 22 (01): : 31 - 44
[50] THE RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATE IN THE REPUBLIC OF CROATIA: VEC MODEL
Benazic, Manuel
EKONOMSKI PREGLED, 2008, 59 (11): : 669 - 687

← 1 2 3 4 5 →