The Impact of Exchange Rate Volatility on Stock Index: Evidence from Pakistan Stock Exchange (PSX)
نویسندگان
چکیده
منابع مشابه
Exchange rate volatility and its effect on stock market volatility
This paper investigates empirically the effect of volatility of the exchange rate of the U.S. dollar vis-à-vis the euro on U.S. stock market volatility while controlling for a number of drivers of stock return volatility. Using a GARCH(1, 1) model and using weekly data covering the period from the week of January 1, 1999 through the week of January 25, 2010, it is found that the 9/11 terrorist ...
متن کاملImpact of Terrorism, Political System and Exchange Rate Fluctuations on Stock Market Volatility
Terrorism, political system instability and currency rate fluctuations are the three most evident issues of 21st century. In this study, comparative analysis is performed to check the impact of all these issues on PSX Volatility. EGARCH (1,1) approach is used on four different kinds of data collected from 1st January 2000 to 31st December 2015. Terrorist events, FX return fluctuations with rest...
متن کاملmodeling volatility: evidence from tehran stock exchange
the research problem investigated in this paper is modeling volatility and analyzing risk and return’s relationship in tehran stock exchange using garch-family models including garch(1,1), garch(2,2), egarch(1,1), pgarch(1,1), tgarch(1,1), garch(1,1)-m and cgarch(1,1). using the daily returns of tehran stock exchange companies, we focused on two portfolios of all the companies during a 10-year-...
متن کاملAbrupt Changes in Volatility: Evidence from TEPIX Index in Tehran Stock Exchange
In this paper, we have examined abrupt changes in volatility of TEPIX index in Tehran stock exchange during August 23, 2010 to June 12, 2014. Applying the iterated cumulative sum of squares (ICSS) algorithm proposed by Inclan and Tiao (1994) and the modified version of this algorithm consisting Kappa 1 and Kappa 2 test statistics developed by Sansó et al. (2004), we have specified that the dete...
متن کاملThe Effect of Asymmetric Fluctuations of Exchange Rate and Oil Price on Stock Index of Tehran Stock Exchange
The aim of this study was to investigate the asymmetric effects of exchange rate fluctuations on Stock index of Tehran Stock Exchange. For this purpose, we first calculated the exchange rate fluctuations using model General Autoregressive Conditional Heteroskedastic (GARCH), and then the effect of these fluctuations on the Stock index of Tehran Stock Exchange was estimated using the Generalized...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Academic Research in Accounting, Finance and Management Sciences
سال: 2017
ISSN: 2225-8329
DOI: 10.6007/ijarafms/v7-i3/3150