The impact of exchange rate volatility on the stock market index returns of select developed and developing Asian countries: An analysis

The study sought to investigate the interaction among exchange rate volatility and the stock market index returns of the selected developed and developing Asian countries, namely, Japan, Singapore, India, and the Philippines. It also compared the sensitivity of the countries’ exchange rates in the l...

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Main Authors: Alfonso, Alianne J., Cai, Mariela C., Jaurigue, Erika Anne D., Placino, Sofia Eloisa U.
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Language:English
Published: Animo Repository 2022
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Online Access:https://animorepository.dlsu.edu.ph/etdb_finman/29
https://animorepository.dlsu.edu.ph/context/etdb_finman/article/1026/viewcontent/The_Impact_of_Exchange_Rate_Volatility_2.pdf
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Institution: De La Salle University
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spelling oai:animorepository.dlsu.edu.ph:etdb_finman-10262022-07-20T02:46:18Z The impact of exchange rate volatility on the stock market index returns of select developed and developing Asian countries: An analysis Alfonso, Alianne J. Cai, Mariela C. Jaurigue, Erika Anne D. Placino, Sofia Eloisa U. The study sought to investigate the interaction among exchange rate volatility and the stock market index returns of the selected developed and developing Asian countries, namely, Japan, Singapore, India, and the Philippines. It also compared the sensitivity of the countries’ exchange rates in the listed economies. Using ARDL, long-run relationships across the countries were also examined. Monthly data sets covering the 2011-2021 period for the foreign exchange as well as stock market indices in the Japanese, Singaporean, Indian, and Philippine nations were utilized and ran using ARCH/GARCH, simple regression estimation, and the ARDL models. The ARCH statistical model prevailed over GARCH to calculate the existence of volatilities in exchange rate of these countries, hence, the results revealed that stock market performance showed a weak association with exchange rate volatility in both developed and developing economies. Hence, the outcome obtained from the simple linear regression model to measure exchange rate sensitivity to fluctuations or variance were more pronounced in developing nations compared to developed ones. These findings can be ascribed from the dependence of the forex market performance among developing economies on the currencies of the developed economies and they are less likely to hedge foreign risks compared to the latter. Contingent on the outcome obtained in the ARDL model, evidence on the significance of a long-run effect that exchange rate volatility has on the returns of the selected developed and developing Asian countries’ indices was found. The findings provide overall policy implications among national governments and supervisory bodies in the emerging markets and among investors to monitor the performance of the two financial markets. 2022-06-25T07:00:00Z text application/pdf https://animorepository.dlsu.edu.ph/etdb_finman/29 https://animorepository.dlsu.edu.ph/context/etdb_finman/article/1026/viewcontent/The_Impact_of_Exchange_Rate_Volatility_2.pdf Financial Management Bachelor's Theses English Animo Repository Stock price indexes—Asia Stocks—Asia—Rate of return Finance and Financial Management
institution De La Salle University
building De La Salle University Library
continent Asia
country Philippines
Philippines
content_provider De La Salle University Library
collection DLSU Institutional Repository
language English
topic Stock price indexes—Asia
Stocks—Asia—Rate of return
Finance and Financial Management
spellingShingle Stock price indexes—Asia
Stocks—Asia—Rate of return
Finance and Financial Management
Alfonso, Alianne J.
Cai, Mariela C.
Jaurigue, Erika Anne D.
Placino, Sofia Eloisa U.
The impact of exchange rate volatility on the stock market index returns of select developed and developing Asian countries: An analysis
description The study sought to investigate the interaction among exchange rate volatility and the stock market index returns of the selected developed and developing Asian countries, namely, Japan, Singapore, India, and the Philippines. It also compared the sensitivity of the countries’ exchange rates in the listed economies. Using ARDL, long-run relationships across the countries were also examined. Monthly data sets covering the 2011-2021 period for the foreign exchange as well as stock market indices in the Japanese, Singaporean, Indian, and Philippine nations were utilized and ran using ARCH/GARCH, simple regression estimation, and the ARDL models. The ARCH statistical model prevailed over GARCH to calculate the existence of volatilities in exchange rate of these countries, hence, the results revealed that stock market performance showed a weak association with exchange rate volatility in both developed and developing economies. Hence, the outcome obtained from the simple linear regression model to measure exchange rate sensitivity to fluctuations or variance were more pronounced in developing nations compared to developed ones. These findings can be ascribed from the dependence of the forex market performance among developing economies on the currencies of the developed economies and they are less likely to hedge foreign risks compared to the latter. Contingent on the outcome obtained in the ARDL model, evidence on the significance of a long-run effect that exchange rate volatility has on the returns of the selected developed and developing Asian countries’ indices was found. The findings provide overall policy implications among national governments and supervisory bodies in the emerging markets and among investors to monitor the performance of the two financial markets.
format text
author Alfonso, Alianne J.
Cai, Mariela C.
Jaurigue, Erika Anne D.
Placino, Sofia Eloisa U.
author_facet Alfonso, Alianne J.
Cai, Mariela C.
Jaurigue, Erika Anne D.
Placino, Sofia Eloisa U.
author_sort Alfonso, Alianne J.
title The impact of exchange rate volatility on the stock market index returns of select developed and developing Asian countries: An analysis
title_short The impact of exchange rate volatility on the stock market index returns of select developed and developing Asian countries: An analysis
title_full The impact of exchange rate volatility on the stock market index returns of select developed and developing Asian countries: An analysis
title_fullStr The impact of exchange rate volatility on the stock market index returns of select developed and developing Asian countries: An analysis
title_full_unstemmed The impact of exchange rate volatility on the stock market index returns of select developed and developing Asian countries: An analysis
title_sort impact of exchange rate volatility on the stock market index returns of select developed and developing asian countries: an analysis
publisher Animo Repository
publishDate 2022
url https://animorepository.dlsu.edu.ph/etdb_finman/29
https://animorepository.dlsu.edu.ph/context/etdb_finman/article/1026/viewcontent/The_Impact_of_Exchange_Rate_Volatility_2.pdf
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