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Disentangling the role of the exchange rate in oil-related scenarios for the European stock market

Ojea Ferreiro, Javier - 2019

Until now, stock market responses to a distress scenario for oil prices have been analysed considering prices in domestic currency. This assumption implies merging the commodity risk with the exchange rate risk when oil and stocks are traded in different currencies. This article proposes...

Persistent link: https://www.econbiz.de/10012034482

On the relationship between oil price, exchange rate and stock market performance in South Africa : further evidence from time-varying and regime switching approaches

Sanusi, Kazeem Abimbola; Mingiri, Kapingura Forget - In: Cogent economics & finance 10 (2022) 1, pp. 1-18

volatility on other economic fundamentals. …

Persistent link: https://www.econbiz.de/10013415387

Dynamic effect of exchange rate gap shocks on stock market deepening : evidence from Nigeria

Arikewuyo, Kareem Abidemi - In: CBN journal of applied statistics 14 (2023) 1, pp. 93-119

The study examines the exchange rate gap shock-stock market deepening nexus in Nigeria using the structural VAR-X (SVAR-X) technique for the period 1986Q1 to 2018Q4. Findings reveal that exchange rate gap shock has a negative but statistically not significant effect on stock market deepening in...

Persistent link: https://www.econbiz.de/10015393740

Nexus between Crude Oil Price, Exchange Rate and Stock Market : Evidence from Oil Exporting and Importing Economies

Am, Muhammad Ashiq - 2017

countries are also done. An attempt is made here to study specifically the impact of crude oil price volatility on stock prices …

Persistent link: https://www.econbiz.de/10012963642

Shorting the Dollar When Global Stock Markets Roar : The Equity Hedging Channel of Exchange Rate Determination

Ben Zeev, Nadav; Nathan, Daniel - 2023

We document a new channel of exchange rate determination by examining the impact of global equity market shocks on the collective hedging of foreign exchange (FX) risk by large institutional investors (IIs). Using novel daily data on FX forward flows of Israeli IIs, we investigate the causality...

Persistent link: https://www.econbiz.de/10014258238

Examination of Long Term Effect of Exchange Rate on Indian Stock Market

Raman, R.; Srindhi - 2015

This study investigates the long run relation among Stock Returns and four major Foreign Exchanges in India over a period of 14 ½ year period starting from January, 2000 to June, 2014. On applying the techniques of Unit – root test, Multiple Break Point test, Johansen’s Cointegration and...

Persistent link: https://www.econbiz.de/10014131327

Oil Price Shocks and Stock Market Volatility : Evidence from European Data

Degiannakis, Stavros; Filis, George; Kizys, Renatas - 2022

The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three … measures of volatility, i.e. the conditional, the realised and the implied volatility. The findings suggest that supply …-side shocks and oil specific demand shocks do not affect volatility, whereas, oil price changes due to aggregate demand shocks …

Persistent link: https://www.econbiz.de/10013403135

Time-Frequency Linkages and Co-Movements between the Euro and European Stock Market : A Continuous Wavelet Analysis

Paraskevopoulos, Timotheos - 2018

We investigate the evolution of co-movement and lead-lag relationships between the nominal effective European exchange rate and the largest European stock markets in the time and frequency dimension. We decompose the financial return series into different time scales and apply the cross-wavelet...

Persistent link: https://www.econbiz.de/10012933848

Exchange rate regime, volatility and international correlations on bond and stock markets

Bodart, Vincent; Reding, Paul - 1998

Persistent link: https://www.econbiz.de/10000681031

Exchange rate regime, volatility and international correlations on bond and stock markets

Bodart, Vincent; Reding, Paul - 1997

Persistent link: https://www.econbiz.de/10000987176