• The Journal of Asian Finance, Economics and Business
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• v.2 no.3
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• pp.17-22
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• 2015

This paper examines the effect of impulsiveness of euro on Indian stock market. In order to examine the problem, we select rupee-euro exchange rates and S&P CNX NIFTY and BSE30 SENSEX to represent stock price. We select euro as it considered as second most widely used currency at the international level after dollar. The data are collected a daily basis over a period of 3-Apr-2007 to 30-Mar-2012. The statistical and time series properties of each and every variable have examined using the conventional unit root such as ADF and PP test. Adopting a generalized autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) model, the study suggests a negative relationship between exchange rate and stock prices in India. Even though India is a major trade partner of European Union, the study couldn't find any significant statistical effect of fluctuations in Euro-rupee exchange rates on stock prices. The study also reveals that shocks to exchange rate have symmetric effect on stock prices and exchange rate fluctuations have permanent effects on stock price volatility in India.

• International Area Studies Review
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• v.14 no.3
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• pp.221-246
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• 2010

The paper is basically attempted to reveal a mechanism of exchange rate determination in global foreign exchange markets. For a theoretical framework, uncovered interest rate parity(UIRP), covered interest rate parity(CIRP), and real interest rate parity(RIRP) are tentatively adapted, and GARCH-M model is employed for an econometric methodology. Empirical evidence shows that the UIRP is superior to others, and the RIRP is better than the CIRP in explaining how exchange rates are determined in global exchange markets. All of them, however, is not fully supported by economic theories. Following Frankel(1989), country premium, volatility premium, and currency premium are evaluated to see if which premium is a crucial in disturbing the RIRP, and it is found that country and currency premiums are a major components in disturbing the RIRP. To this end, market-oriented and market-determined systems has to be built to avoid currency disputes which is undergoing hot issue in global foreign exchange market.

• International Commerce and Information Review
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• v.10 no.1
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• pp.315-327
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• 2008

According to the Bank Profitabilities Statistics of OECD members, Our domestic banks applying commissions for both exchange and selling/buying foreign currencies are evaluated as much higher than those of other countries banks. The theory indicates an analysis results and comparison in between banks over the world. Our domestic bank assert that, in general, the aggregated banking commission income is lower than those of other countries by comparing in the field of non-interests profits. Viewing by another analysis in details, some commission rate applying to domestic services are far below than cost basis, but other commission rate applying to foreign currency transaction services is abnormally higher. Such unfair rate should be lowered to the similar level to other banks in the world and also the actual cost should be reasonably reevaluated in the reasonable manner. One more thing, The writer suggest that domestic banks should spend efforts to increase their income by improving and diversifying with the various type of new commissions applied to domestic market, such as multi-functional financial services, expanding ATM services, electronic settling technique etc under today's rapidly changing and opening world financial market.

• KDI Journal of Economic Policy
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• v.31 no.2
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• pp.235-266
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• 2009

This paper investigates changes in the extent of exchange rate pass-through to export price in Korea. First, empirical results show that export prices have become less responsive to the exchange rate since the financial crisis in 1997. The decline of exchange rate pass-through to export prices suggests that Korean exporters are more likely to use profit margins to absorb part of the impact of exchange rate changes, consistent with pricing to market phenomenon. Second, this paper finds asymmetries in the response of export prices to exchange rate changes. In the post-crisis period. appreciations are more likely to be offset by markup adjustment than depreciations. Third, this paper documents that a significant portion of the decline of exchange rate pass-through is a result of both increased volatility of exchange rate and increased competition with China in the world market.

• Journal of Industrial Convergence
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• v.20 no.6
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• pp.135-140
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• 2022

In the domestic stock market, the capital market opened in January 1992, and the proportion of foreign capital has steadily increased, accounting for 30% of the domestic market in Overall stock market trend infers that the domestic stock market is more influenced by foreign issues than domestic issues. The trading trend of foreign capital displays a similar flow to exchange rate fluctuations,; thus, preparing an investment strategy by using the Pearson analyzing method the effect of exchange rates of foreign capital trading, fluctuations in exchange rates, and predicting one of the macroeconomic indicators will yield high returns in the stock market. Therefore, this research was conducted to help investment by predicting foreign variables comparing and analyzing exchange rates and foreign capital trading patterns, and predicting appropriate time for buying and selling.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.5
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• pp.285-294
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• 2022

Using the ARDL approach, this study examined the impact of macro factors on Vietnam's stock market in the short and long run from 2010 to 2021. The State Bank of Vietnam and the International Monetary Fund provided time series data for this study. Research results show that in the long run, money supply and exchange rate respectively affect the stock market. The money supply had a positive effect on the VN-Index, while the exchange rate showed the opposite effect. However, the study did not find a relationship between world oil price and interest rates on VN-Index in the long run. On the other hand, in the short term, there are relationships between variables; specifically, interest rates and exchange rates have a negative impact on the VN-Index, while the world oil price and the fluctuation of money supply M2 of the previous one and two months showed an impact in the same direction on this index. The differences in the regression results on the impact of exchange rate and oil price on the VN-Index compared to previous studies come from the characteristics of Vietnam's stock market, with the large capitalization of companies in the oil and gas sector, and the structure of Vietnam's economy with export heavily depends on FDI sector.

• Journal of Distribution Science
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• v.12 no.3
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• pp.99-103
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• 2014

Purpose - The objective of this study was to examine the volatility of the exchange rate of the Somali shilling (SoSh) during 2010, especially the exchange rate between the Somali shilling and US dollar. Research design, data, and methodology - The study employed aquantitative research design; the data was analyzed using contents analysis for the data pertaining to the exchange rate between the US dollar and Somali Shilling in 2010. Results - The main findings were that the exchange rate was very volatile during 2010 because of three sources: (1) Imbalance of demand and supply in the money market, (2) People adopting the US dollar as the medium of exchange forgoods and services, thereby reducing the circulation of the SoSh, and (3) Lack of a strong central bank. Conclusions - The study suggested three possible remedies: the establishment of an effective central bank that matches the demand and supply of the currencies, adoption of the Somali shilling as the official currency base for the prices of commodities, and minimizing the imports into the country and maximizing its exports, to support the strengthening of the Somali shilling.

• Journal of Korea Port Economic Association
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• v.27 no.1
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• pp.235-245
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• 2011

This paper finds that business in the shipbuilding industry affects significantly the exchange rate and its variability. The effects of the amount of orders received and construction in the shipbuilding industry on the exchange rate and its variability are preemptive and long lasted. This implies that business cycles and the exchange rate hedge in the shipbuilding industry are important factors in understanding the exchange rate and its variability. Advancement in the technology of exchange rate hedge in future may reinforce the importance of business cycles in the shipbuilding industry. It is, therefore, required that the policy authority should monitor carefully the shipbuilding industry for the stability of foreign exchange market.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.10
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• pp.49-59
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• 2022

This paper examined the impact of real exchange rate volatility on trade balance in Malaysia by using quarterly data from year 2000 until 2019. Generalized Autoregressive Heteroscedasticity (GARCH) model was used to extract the volatility component of real exchange rate before examining its impact on trade balance. Furthermore, Autoregressive Distributed Lag (ARDL) model was used to investigate the long-run relationship and short-run dynamic between trade balance, money supply, national income and volatility of exchange rate. Empirical results show the existence of co-movement between variables under study in the long-run. However, the results also suggest that volatility of real exchange rate does not significantly affect trade balance neither in the long-run nor short-run. The risk which is associated in the movement of exchange rate do not influence trader's behaviour toward Malaysia exports and imports. Thus, it should be note that any depreciation or appreciation in Malaysian Ringgit do not have an impact towards trade balance either it is being further improved or deteriorates. Hence, exchange rate volatility may not be too concern for policymakers. This may be partially due to manage floating exchange rate regime that has been adopted by Malaysia eventually eliminated the element of risk in the currency market.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.12
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• pp.95-107
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• 2020

The study investigates the asymmetric effect of exchange rate changes on stock prices in Vietnam. We use the nonlinear autoregressive-distributed lag (ARDL) analysis for monthly data from 2001:01 to 2018:05, based on VN-Index stock price collected from Ho Chi Minh Stock Exchange (HOSE); the nominal exchange rate is separated into currency depreciation and appreciation through a partial sum decomposition process. Asymmetry is estimated both in the long-run relationship and the short-run error correction mechanism. The research results show that the effect of exchange rate changes on stock prices is asymmetrical, both in the short run and in long run. Accordingly, the stock prices react to different levels to depreciation and appreciation. However, the currency appreciation affects a stronger transmission of stock prices when compared to the long-run currency depreciation. In the absence of asymmetry, the exchange rate only has a short-run impact on stock prices. This implies a symmetrical assumption that underestimates the impact of exchange rate changes on stock prices in Vietnam. This study points to an important implication for regulators in Vietnam. They should consider the relationship between exchange rate changes and stock prices in both the long run and the short run to manage the stock and foreign exchange market.