Interactions between stock prices and exchange rates: An application of multivariate VAR-GARCH model

References

• Adebiyi, A. A., Ayo, C. K., & Otokiti, S. O. (2009). Stock price prediction using hybridized market indicators. Proceedings of international conference of artificial intelligence and pattern recognition, MultConf’2009 (pp.372–19). USA.
   Google Scholar
• Adeleke, I., & Dallah, H. (2010). Time series forecasting of naira against major currencies exchange rates. International Journal of Applied Mathematics and Statistics, 19(D10).
   Google Scholar
• Aggarwal, R. (1981). Exchange rates and stock prices: A study of the US capital markets under floating exchange rates. Akron Business and Economic Review, 12, 7–12.
   Google Scholar
• Agu, D. O., Manasseh, C. O., & Aneke, G. C. (2012). The relative importance of macro and firm-level fundamentals to Nigerian stocks’ prices: Lessons for other emerging markets. Journal of Economics and Sustainable Development, 3(14).
   Google Scholar
• Agus, D., & Carl, B. (2004). Stock price and exchange rate causality: The case of four SEAN countries. Applied Financial Economics, 6, 5–15.
   Google Scholar
• Alagidede, P., Panagiotidis, T., & Zhang, X. (2010). Causal relationship between stock prices and exchange rates. The Journal of International Trade & Economic Development, 20(1), 67–86. doi:10.1080/09638199.2011.538186
   Web of Science ®Google Scholar
• Aliyu, S. U. R. (2009). Oil price shocks and the macroeconomy of Nigeria: A non-linear approach (Munich Personal RePEc Archive, MPRA Paper No. 18726). Retrieved from http://mpra.ub.uni-muenchen.de/18726/
   Google Scholar
• Anyanwu, J. C., Oyefusi, A., Oackhenan, H., & Dimowo, F. A. (1997). The structure of Nigerian economy (1960–1997). Onitsha: Joanee educational publishers.
   Google Scholar
• Arouri, M. H., Jawadi, F., Louhichi, W., & Nguyen, D. K. (2011). Nonlinear shift contagion modeling: Further evidence from high frequency stock data. halshs-00601428
   Google Scholar
• Athanasios, T., & Costas, S. (2013). A long-run relationship between stock price index and exchange rate. A structural non-parametric cointegrating regression approach. Journal of International Market Institutions and Money, 25, 106–118. doi:10.1016/j.intfin.2013.01.008
   Web of Science ®Google Scholar
• Bhunia, A. (2012). A causal relationship between stock indices and exchange rate: Empirical evidence from India. Research Journal of Finance and Accounting, 3(1), 47–63.
   Google Scholar
• Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 31, 307–327. doi:10.1016/0304-4076(86)90063-1
   Web of Science ®Google Scholar
• Branson, W. H. (1983). Macroeconomic determinants of real exchange rate risk. In R. J. Herring (Ed.), Managing Foreign exchange rate risk. Cambridge, MA: Cambridge University Press.
   Google Scholar
• Caporale, G. M., Hunter, J., & Ali, F. M. (2013). On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007–2010 (Economics and Finance Working Paper Series; Working Paper No. 13–07). London: Department of Economics and Finance, Brunel University. Retrieved from http://www.brunel.ac.uk/__data/assets/pdf_file/0005/285647/1307.pdf
   Google Scholar
• CBN. (2012). Central Bank of Nigeria statistical bulletin. Retrieved from www.cbn.gov.ng/documents/Statbulletin.asp
   Google Scholar
• Chan, C. K., Jegadeesh, N., & Lakonishok, J. (2006). Earnings quality and stock returns. Journal of Business, 79(3), 1041–1082. doi:10.1086/500669
   Google Scholar
• Chang, C.-Y., Chiang, J. C. H., Wehner, M. F., Friedman, A., & Ruedy, R. (2011). Sulfate aerosol control of tropical Atlantic climate over the 20th century. Journal of Climate, 24, 2540–2555. doi:10.1175/2010JCLI4065.1
   Web of Science ®Google Scholar
• Diamandis, P. F., & Drakos, A. A. (2011). Financial liberalization, exchange rates and stock prices: Exogenous shocks in four Latin American countries. Journal of Policy Modelling, 33, 381–394. doi:10.1016/j.jpolmod.2010.11.004
   Web of Science ®Google Scholar
• Dornbusch, R., & Fischer, S. (1980). Exchange rates and the current account. American Economic Review, 70(5), 960–971.
   Web of Science ®Google Scholar
• Ekineh, D. (2003). Deepening the Nigerian capital market: Regulatory, supervisory and operational imperative in a global financial environment. Abuja: Security and Exchange Commission.
   Google Scholar
• Enders, W. (1995). Applied econometric time series. In Business & economics (pp. 433.)
   Google Scholar
• Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. Econometrica, 50(4), 987–1008. doi:10.2307/1912773
   Web of Science ®Google Scholar
• Engle, R. F., & Granger, C. W. J. (1987). Cointegration and error correction: Representation, estimation and testing. Econometrica, 55, 251–276. doi:10.2307/1913236
   Web of Science ®Google Scholar
• Engle, R. F., & Kroner, K. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, 11, 122–150. doi:10.1017/S0266466600009063
   Web of Science ®Google Scholar
• Franck, P., & Young, A. (1972). Stock price reaction of multinational firms to exchange realignments. Financial Management, 1, 66–73. doi:10.2307/3665374
   Web of Science ®Google Scholar
• Frankel, J. A. (1983). Monetary and portfolio-balance models of exchange rate determination. In J. S. Bhandari & B. H. Putnam (Eds.), Economic interdependence and flexible exchange rates. Cambridge, MA: MIT Press.
   Google Scholar
• Fuller, W. A. (1976). Introduction to statistical time series. New York: John Wiley and Sons. ISBN 0-471-28715-6.
   Google Scholar
• Granger, C. W. J., Huang, B. N., & Yang, C. W. (2000). A bivariate causality between stock prices and exchange rates: Evidence from recent Asia flu. The Quarterly Review of Economics and Finance, 40, 337–354. doi:10.1016/S1062-9769(00)00042-9
   Google Scholar
• Gujarati, D. N. (2003). Basic Econometrics (4th ed.). New York: McGraw-Hill Higher Education.
   Google Scholar
• Hammoudeh, S. M., Ramazan, S., & Alesia, E. (2009). GCC petrodollar surpluses and the US current account imbalance. doi:10.5455/ey.10695
   Google Scholar
• Ifionu, P. E., & Ogbuagu, A. (2007). An econometric evaluation of exchange rate and external sector performance in Nigeria. The Nigerian Academic Forum, 13(2), 79–83.
   Google Scholar
• Inci, A. C., & Lee, B. S. (2014). Dynamic relation between stock returns and exchange rate changes. European Financial Management, 20(1), 71–106. doi:10.1111/j.1468-036X.2011.00621.x
   Web of Science ®Google Scholar
• Johansen, J. (1990). Johansen-Juselius procedure of cointegration analysis. Oxford Bulletin of Economics and Statistics.
   Google Scholar
• Johansen, J. (1992). Johansen-Juselius procedure of cointegration analysis. Journal of Econometrics.
   Google Scholar
• Keynes, J. M. (1936). The general theory of employment, interest and money. London: Macmillan.
   Google Scholar
• Lin, C. H. (2012). The co-movement between exchange rate and stock prices in Asian emerging. doi:10.1094/PDIS-11-11-0999-PDN
   Google Scholar
• MacKinnon, J. G. (1991). Critical values for cointegration tests (Working Paper No. 1227). Queen’s Economics Department.
   Google Scholar
• Manasseh, C. O., Asogwa, F. O., Agu, D. O., & Aneke, G. C. (2014). Economic growth in Nigeria: Evidence from the appraisal of financial sector reforms and its causal effects. IOSR Journal Of Humanities And Social Science, 19(5), Ver. II, 01–10.
   Google Scholar
• Manasseh, C. O., Ogbuabor, J. E., Anumudu, C. N., Abada, F. C., Okolie, M. A., & Okoro, E. O. (2018). The causal effect of stock market development, financial sector reforms and economic growth: The application of vector autoregressive and error correction model. International Journal of Economics and Financial Issues, 8(2), 357.
   Google Scholar
• Mlambo, C., Maredza, A., & Sibanda, K. (2013). Effects of exchange rate volatility on the stock market: A case study of South Africa. Mediterranean Journal of Social Sciences, 4(4), 561–570.
   Google Scholar
• Muhammad, N., & Rasheed, A. (2011). Stock prices and exchange rates: Are they related? Evidence from South Asian countries. Retrieved from www.pide.org.pk/pdf/psde%2018AGM/
   Google Scholar
• Murinde, V. (1996). Financial markets and endogenous growth: An econometric analysis for Pacific Basin countries. In N. Hermes & R. Lensink (Eds.), Financial development and economic growth theory and experiences from developing countries (pp. 94–114). London: Routledge.
   Google Scholar
• Ngwube, A., & Ogbuagu, M. (2014). Global financial crisis and nigeria economy. Global Journal of Management and Business Research, 14(4), Version 1.0.
   Google Scholar
• Nnanna, O. J. (2001). Monetary policy framework in Africa: The Nigerian experience. A Paper Presented at the 2001 South African Reserve Bank Conference.
   Google Scholar
• Okpara, G. C., & Odionye, J. C. (2012). The direction of volatility spillover in stock prices and exchange rate: Evidence from Nigeria. Elixir Finance Management., 51A, 11055–11059.
   Google Scholar
• Olowe, R. A. (2009). Stock return, volatility and the global financial crisis in an emerging market: The Nigerian case. International Review of Business Research Papers, 5(4), 426–447.
   Google Scholar
• Paramati, S. A., & Gupta, R. (2013). An empirical relationship between exchange rates and stock returns. European Journal, Finance and Administration Science, 56, 165–179.
   Google Scholar
• Richards, N. D., Simpson, J., & Evans, J. (2009). The interaction between exchange rates and stock prices: An Australian context. International Journal of Economics and Finance, 1(1), 3–23. doi:10.5539/ijef.v1n1p3
   Google Scholar
• SEC. (2006). Annual Report and Accounts.
   Google Scholar
• SEC. (2008). Annual Report and Accounts.
   Google Scholar
• SEC. (2009). Annual Report and Accounts.
   Google Scholar
• SEC. (2013). Annual Report and Accounts.
   Google Scholar
• Seong, L. M. (2013). Reaction of exchange rates towards Malaysia stock market: Goods market approach and portfolio balanced approach. Interdisciplinary Journal of Contemporary Research, 5(8), 113–120.
   Google Scholar
• Singh, A. (1992). Corporate take-over. In International Journal Eatwell, M. Milgate & P. Newman Eds., The new palgrave dictionary of money and finance (pp. 480–486). London: Macmillan.
   Google Scholar
• Smyth, R., & Nandha, M. (2003). Bivariate causality between exchange rates and stock prices in South Asia. Retrieved from http://www.tandfonline.com/doi/abs/10.1080/1350485032000133282
   Google Scholar
• Soenan, L., & Hennigar, E. (1988). An analysis of exchange rates and stock prices: The US experience between 1980 and 1986. Akron Business and Economic Review, 19(4), 71–76. Stock%20Prices%20and%20Exchange%20Rates.pdf
   Google Scholar
• Tabak, B. M. (2006). The dynamic relationship between stock prices and exchange rates: Evidence for Brazil (Working paper No. 124). The Banco Central de Brasil.
   Google Scholar
• Tanko, M. (2004). The Nigerian capital market. A performance analysis. Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=690621
   Google Scholar
• Tsai, I. C. (2012). “The relationship between stock price index and exchange rate in Asian markets”, A quantile regression approach. Journal of International Financial Markets, Institutions & Money, 22, 609–621. under Floating Exchange Rates”, Akron Business and Economic Review, 12, 7–12. doi:10.1016/j.intfin.2012.04.005
   Web of Science ®Google Scholar
• Yau, H. Y., & Nieh, C. C. (2009). Testing for cointegration with threshold effects between stock prices and exchange rates in Japan and Taiwan. Japan and the World Economy, 21(3), 292–300. doi:10.1016/j.japwor.2008.09.001
   Web of Science ®Google Scholar
• Zubair, A. (2013). Causal relationship between stock market index and exchange rate: Evidence from Nigeria. CBN Journal of Applied Statistics, 4(2), 87.
   Google Scholar