پیوندهای مفید
اخبار و اعلانات
آمار
| تعداد نشریات | 158 |
| تعداد شمارهها | 6,225 |
| تعداد مقالات | 67,685 |
| تعداد مشاهده مقاله | 114,953,511 |
| تعداد دریافت فایل اصل مقاله | 89,626,328 |
The Analysis of Real Exchange Rate Volatility and Stock Exchange Return with PANEL-GARCH Approach (Case Study: D8 Countries) | ||
| Iranian Economic Review | ||
| مقاله 5، دوره 20، شماره 4، دی 2016، صفحه 525-550 اصل مقاله (1.07 M) | ||
| شناسه دیجیتال (DOI): 10.22059/ier.2016.59610 | ||
| نویسندگان | ||
| Behnam Najafzadeh* 1؛ Mohammadreza Monjazeb2؛ Siab Mamipour2 | ||
| 1Economic and Social Systems Department, Kharazmi University, Tehran, Iran. | ||
| 2Department of Economics, Kharazmi University, Tehran, Iran. | ||
| چکیده | ||
| Stock returns of companies listed on the stock exchange is one of the most important criteria in assessing the macroeconomic. This study investigates the effect of exchange rate Volatility on the stock exchange Returns of D8 countries. It takes monthly data during the period (2008:1-2015:6) constituting 90 observations. At first we used Panel-GARCH model to estimate Exchange Rate Volatility Index, and then we used Panel data method to investigate the effect of index on the stock exchange return of D8 countries. Simulation results show that exchange rate volatility affects positively and significantly on stock exchange return in four countries, namely Iran, Pakistan, Indonesia and Bangladesh. The variables of oil price, real interest rate, inflation rate, real exchange rate and gold price have been utilized for model analysis. Results show that the variables of real exchange rate and inflation rate have negative effects but oil price has positive effect on stock returns, while interest rate and gold price do not have any significant effect. | ||
| کلیدواژهها | ||
| Keywords:Stock Returns؛ Exchange Rate Volatility؛ D8 Countries؛ PANEL- GARCH Model. JEL Classification: E44؛ E32؛ F31؛ C33 | ||
| مراجع | ||
|
Beer, F., & Hebein, F. (2008). An Assessment of the Stock Market andExchange Rate Dynamics in Industrialized and Emerging Market. International Business of Economics Research Journal, 7(8), 59-70.
Bodie, Z., Kane, A., & Marcus, A. J. (2011). Investments and Portfolio Management (9th Ed.). New York: McGraw-Hill.
Bollerslev, T. (1986).Generalized Autoregressive Conditional Heteroscedasticity.Journal of Econometrics, 31(3), 307-327.
Cermeño, R., & Grier, K. B. (2001). Modeling GARCH Processes in Panel data: Theory, Simulations and Examples. University of Oklahoma, Working Paper, 3, Retrieved from http://faculty-staff.ou.edu/G/Kevin.B.Grier-1/pg01.pdf.
Cermeño, R., & Grier, K. B. (2006). Conditional Heteroscedasticity and Cross-Sectional Dependence in Panel Data: An Empirical Study of Inflation Uncertainty in the G7 Countries. In Baltagi, B. H. (Ed.), Panel Data Econometrics, 274, 259-277.
Cermeño, R., & Suleman, T. (2014). Country Risk and Volatility of Stock Returns: Panel-GARCH Evidence for the Latin America´s Major Five. Victoria University of Wellington, Retrieved from https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID2482038_code1208558.pdf?abstractid=2482038&mirid=1. Chang, H., Su, C., & Lai, Y. (2009). Asymmetric Price Transmissions between the Exchange Rate and Stock Market in Vietnam. International Research Journal of Finance and Economics, 1(23), 1450 -2887.
Chen, N. F., Roll, R., & Ross, S. (1986). Economic Forces and the Stock Market. The Journal of Business, 59(3), 383-403.
Gan, C., Lee, M., Yong, H. H. A., & Zhang, J. (1992). Macroeconomic Variables and Stock Market Interactions: New Zealand Evidence. Investment and Financial Innovations, 11(3), 308-381.
Chun Mun, K. (2007). Volatility and Correlation in International Stock Markets and the Role of Exchange Rate Fluctuations. Journal of International financial Markets and Institutions Money, 17(1), 25-41.
Er, S., & Vuran, B. (2012). Factors Affecting Stock Returns of Firms Quoted in ISE Market: A Dynamic Panel Data Approach, International Journal of Business and Social Research, 2(1), 109-122. Ferrell, J. (1997). Portfolio Management Theory and Application (2nd Ed.). New York: McGraw-Hill.
Heidari, H., & Bashiri, S. (2012). Investigating the relationship between Real Exchange Rate Volatility and Stock Price Index at Tehran Stock Exchange. Journal of Economic Modeling, 3(9), 71-92.
Heidari, H., Faalju, H. R., & Karami, F. (2013). Experimental Investigation of the Effect of Real Exchange Rate Uncertainty on the Stock Price Index at Tehran Stock Exchange within the Bounds Test Approach. Journal of Economic Research, 13(49), 151-176.
Hendry, D. F. (1995). Dynamic Econometrics. New York: Oxford University Press.
Hsiao, C. (2003). Analysis of Panel Data (2nd Ed.). Cambridge: Cambridge University Press.
Kasman, S., Gülin, V., & Gökçe, T. (2011). The Impact of Interest Rate and Exchange Rate Volatility on Banks Stock Returns and Volatility: Evidence from Turkey. Economic Modeling, 28(3), 1328-1334.
Keshavarz, G., & Babaei, A. (2011). Panel Data Stock Returns’ Volatility Modeling (Case Study of Tehran Stock Exchange). Journal of Financial Research, 13(31), 41-72.Kornas, A. (2000). Volatility Spillovers between Stock Returns and Exchange Rate Change: International Evidence. Journal of Business Finance and Accounting, 27(3-4), 447-467.
Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. The Review of Economics and Statistics, 47(1), 13-37.
Malik, M., & Surya, B. A. (2013). Optimal Portfolio Strategy of Indonesian Government Bond and Foreign Exchange Using Markowitz Efficient Theory. Proceedings of 4th Asia-Pacific Business Research Conference, Retrieved from
http://www.wbiworldconpro.com/uploads/singapore-conference-2013/finance/1380695538_323-Mirza.pdf.
Markowitz, H. M. (1952). Portfolio Selection. Journal of Finance, 7(1), 77–91.
Markowitz, H. M. (1959). Portfolio Selection Efficient Diversification of Investments (2nd Ed.). New York: Yale University Press.
Megginson, W. (1996). A Historical Overview of Research in Finance. Journal of Finance, 39(2), 323-346.
Mossin, J. (1966). Equilibrium in a Capital Asset Market. Econometrica, 34(4), 768-783.
Nocedal, J., & Wright, S. J. (2006). Numerical Optimization (2nd Ed). New York: Springer Verlag.
Pedram, M. (2012). The Effect of Exchange Rate Volatility on the Iran Stock Market Exchange, Journal of Financial Security Analysis, 5(15), 83-96.
Pesaran, M. H., Shin, Y., & Smith, R. J. (2000). Structural Analysis of Vector Error Correction Models with Exogenous I(1) Variables, Journal of Econometrics, 97(2), 293-343.
Poon, S. H., & Granger, C. W. J. (2003). Forecasting Volatility in Financial Markets: A Review. Journal of Economic Literature, 41(2), 478-539.
Robinson, P. M. (1987). Asymptotically Efficient Estimation in the Presence of heteroscedasticity of Unknown Form. Econometrica, 55(4), 875-891.
Ross, S. A. (1976). The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory, 13(3), 341-360.
Safarzadeh, M. R., Nazarian, F. I., & Molina, A. K. C. (2013). Efficiency of Currency Asset Classes. International Journal of Economics and Financial, 3(2), 544-558
Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. The Journal of Finance, 19(3), 425-442.
Singh, T., Mehta, S., & Varsha, M. S. (2011). Macroeconomic Factors and Stock Returns: Evidence from Taiwan. Journal of Economics and International Finance, 2(4), 217-227.
Souri, A. (2013). Econometrics with Eviews8 & Stata12 Applications (1st Ed.). Tehran: Farhangshenasi.
Subair, K., & Salihu, O. M. (2010). Exchange Rate Volatility and the Stock Market: The Nigerian Experience. Malete: Kwara State University Publication.
Sujit, K. S., & Kumar, B. R. (2011). Study on Dynamic Relationship among Gold Price, Oil Price, Exchange Rate and Stock Market Returns. International Journal of Applied Business and Economic Research, 9(2), 121-141.
Tangjitprom, N. (2012). The Review of Macroeconomic Factors and Stock Returns. International Business Research, 5(8), 107-115.
Tobin, J. (1958). Liquidity Preference as Behavior toward Risk. The Review of Economic Studies, 25(2), 65-86.
Treynor, J. L. (1962). Toward a Theory of Market Value of Risky Assets, Unpublished Manuscript. In Korajczyk, R. A. (Ed.), Asset Pricing and Portfolio Performance: Models, Strategy and Performance Metrics. London: Risk Books.
Zhao, H. (2010). Dynamic Relationship between Exchange Rate and Stock Price: Evidence from China. Research in International Business and Finance, 24(2), 103–112. | ||
|
آمار تعداد مشاهده مقاله: 1,958 تعداد دریافت فایل اصل مقاله: 2,327 |
||