Exchange rate movement and stock market performance: An application of the ARDL model

References

• Adjasi, C. K., & Yartey, C. A. (2007). Stock market development in Sub-Saharan Africa; critical issues and challenges, IMF Working Papers 07/209, International Monetary Fund.
   Google Scholar
• Alagidede, P., Panagiotidis, T., & Zhang, X. (2011). Causal relationship between stock prices and exchange rates. Journal of International Trade and Economic Development, 20(1), 67–20. https://doi.org/10.1080/09638199.2011.538186
   Web of Science ®Google Scholar
• Ali Raza, S., Shah, N., Ali, M., & Shahbaz, M. (2021). Do exchange rates fluctuations influence gold price in G7 countries? New insights from a nonparametric causality-in-quantiles test. Zagreb International Review of Economics & Business, 24(2), 37–57. https://doi.org/10.2478/zireb-2021-0010
   Web of Science ®Google Scholar
• Bahmani-Oskooee, M., & Sohrabian, A. (1992). Stock prices and the effective exchange rate of the dollar. Applied Economics, 24(4), 459–464. https://doi.org/10.1080/00036849200000020
   Web of Science ®Google Scholar
• Basher, S. A., Haug, A. A., & Sadorsky, P. (2012). Oil prices, exchange rates and emerging stock markets. Energy Economics, 34(1), 227–240. https://doi.org/10.1016/j.eneco.2011.10.005
   Web of Science ®Google Scholar
• Bekhet, H. A., & Mugableh, M. I. (2012). Investigating equilibrium relationship between macroeconomic variables and Malaysian stock market index through bounds tests approach. International Journal of Economics and Finance, 4(10), 69–81. https://doi.org/10.5539/ijef.v4n10p69
   Google Scholar
• Bouri, E., Gupta, R., Lahiani, A., & Shahbaz, M. (2018). Testing for asymmetric nonlinear short-and long-run relationships between bitcoin, aggregate commodity and gold prices. Resources Policy, 57(1), 224–235. https://doi.org/10.1016/j.resourpol.2018.03.008
   Web of Science ®Google Scholar
• Businesstech. (2019). How South African stocks compare to the rest of the world, [online], Available on < Accessed 28 August 2021. https://businesstech.co.za/news/finance/345378/how-south-african-stocks-compare-to-the-rest-of-the-world/>
   Google Scholar
• Ceicdata. (2021). CEIC Economy < https://www.ceicdata.com/en/indicator/real-gdp-growth>, Accessed on 10 August 2021
   Google Scholar
• de Beer, J., Keyser, N., & van der Merwe, I. (2015). The Johannesburg stock exchange (JSE) returns, political development and economic forces: A Historical perspective. Journal for Contemporary History, 40(2), 1–24. https://hdl.handle.net/10520/EJC182090
   Google Scholar
• Diamandis, P. F., & Drakos, A. A. (2011). Financial liberalization, exchange rates and stock prices: Exogenous shocks in four Latin America countries. Journal of Policy Modeling, 33(3), 381–394. https://doi.org/10.1016/j.jpolmod.2010.11.004
   Web of Science ®Google Scholar
• Dimitrova, D. (2005). The relationship between exchange rates and stock prices: Studied in a multivariate model”. The College of Wooster, Issues in Political Economy, Vol. 14, August 2005. [Online] Accessed on 14 March 2020. http//org.elon.edu/ipe/Dimitrova
   Google Scholar
• Dornbusch, R., & Fisher, S. (1980). Exchange rates and the current account. American Economic Review, vol. 70. [Online]. Available on Accessed on 18 March 2014. http//links.jstor.org/sici
   Google Scholar
• Erdem, C., Arslan, C. K., & Erdem, M. S. (2005). Effects of macroeconomic variables on Istanbul stock exchange indexes. Applied Financial Economics, 15(14), 987–994. https://doi.org/10.1080/09603100500120365
   Google Scholar
• Fourie, J., & Van Zanden, J. L. (2012). GDP in the Dutch Cape Colony: The national accounts of a slave based society. Global Centre for Economic History Working Paper, Utrecht University.
   Google Scholar
• Fowowe, B. (2015). The relationship between stock prices and exchange rates in South Africa and Nigeria: Structural breaks analysis. International Journal of Applied Economics, 29(1), 1–14. https://doi.org/10.1080/02692171.2014.933786
   Google Scholar
• Gokmenoglu, K., Eren, B. M., & Hesami, S. (2021). Exchange rates and stock markets in emerging economies: New evidence using the Quantile-on-Quantile approach. Quantitative Finance and Economics, 5(1), 94–110. https://doi.org/10.3934/QFE.2021005
   Web of Science ®Google Scholar
• Granger, C. W., Huangb, B.-N., & Yang, C.-W. (2000). A bivariate causality between stock prices and exchange rates: Evidence from recent Asian flu. The Quarterly Review of Economics and Finance, 40(3), 337–354. https://doi.org/10.1016/S1062-9769(00)00042-9
   Google Scholar
• Hasan, A., & Nasir, Z. M. (2008). Macroeconomic factors and equity prices: An empirical investigation by using ARDL approach. The Pakistan Development Review, 47(4), 501–551. https://doi.org/10.30541/v47i4IIpp.501-513
   Google Scholar
• Iscan, E. (2015). The Relationship between commodity prices and stock prices: Evidence from Turkey. International Journal of Economics and Finance Studies, 7(2), 17–26. https://dergipark.org.tr/en/pub/ijefs/issue/26147/275354
   Google Scholar
• Khalid, W., & Khan, S. (2017). Effects of macroeconomic variables on the stock market volatility: The Pakistan experience. Global Journal of Management and Business Research.
   Google Scholar
• Khan, J., & Khan, I. (2018). The impact of macroeconomic variables on stock prices: A case study of Karachi stock exchange. Journal of Economics and Sustainable Development, 9(13), 15-25.
   Google Scholar
• Kutty, G. (2010). The Relationship between exchange rates and stock prices: The case of Mexico. North American Journal of Finance and Banking Research, 4(4), 1–12.
   Google Scholar
• Lean, -H.-H., Halim, M., & Wong, W.-K. (2005). Bivariate causality between exchange rates and stock prices on major Asian countries. Monash University.
   Google Scholar
• Lin, C. H. (2012). The comovement between exchange rate and stock prices in Asian emerging markets. International Review of Economics and Finance, 22(1), 161–172. https://doi.org/10.1016/j.iref.2011.09.006
   Web of Science ®Google Scholar
• Luqman, R., & Kouser, R. (2018, August). Asymmetrical linkages between foreign exchange and stock markets: Empirical evidence through linear and non-linear ARDL. Journal of Risk and Financial Management, MDPI, Open Access Journal, 11(3), 1–13. https://doi.org/10.3390/jrfm11030051
   Google Scholar
• Luqman, R., & Koser, R. (2018). Asymmetrical linkages between foreign exchange and stock markets: Empirical evidence through linear and non-linear ARDL. Journal of Risk Financial Management, 6(3), 51. https://doi.org/10.3390/jrfm11030051
   Web of Science ®Google Scholar
• Masih, A. M., & Masih, R. (1997). A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages. Applied Financial Economics, 7(1), 59–74.
   Google Scholar
• McMillan, D. (2005). Time variation in the cointegrating relationship between stock prices and economic activity. International Review of Applied Economics, 19(3), 359–368. https://doi.org/10.1080/02692170500119862
   Google Scholar
• Mishkin, F. S. (2001). The transmission mechanism and the role of asset prices in monetary policy. NBER Working Paper No 8617.
   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(14), 561–570. https://doi.org/10.5901/mjss.2013.v4n14p561
   Google Scholar
• Motseta, S. D., & Takawira, O. (2021). An analysis of sovereign credit ratings impact on financial development in South Africa. Journal of Accounting and Finance in Emerging Economies, 7(3), 553–571. https://doi.org/10.26710/jafee.v7i3.1804
   Google Scholar
• Muhammad, N., & Rasheed, A. (2002). Stock prices and exchange rates: Are they related? Evidence from South Asian countries. The Pakistan Development Review, 41(4), 535–550. https://doi.org/10.30541/v41i4IIpp.535-550
   Google Scholar
• Nieh, -C.-C., & Lee, C.-F. (2001). Dynamic relationship between stock prices and exchange rates for G-7 countries. The Quarterly Review of Economics and Finance, 41(4), 477–490. https://doi.org/10.1016/S1062-9769(01)00085-0
   Google Scholar
• Nkoro, E., & Uko, A. K. (2016). Autoregressive Distributed Lag (ARDL) cointegration technique: Application and interpretation. Journal of Statistical and Econometric Methods, 5(4), 78.
   Google Scholar
• Ocran, M. K. (2007). Interrelationships between South Africa and United States stock prices and the rand/dollar exchange rate. [Online]. Available on: http://www.essa.org.za/download/2007conference/Ocran_interrelationships.pdf. Accessed 03 April 2014
   Google Scholar
• Ocran, M. K. (2010). South Africa and United States stock prices and the Rand/Dollar exchange rate. South African Journal of Economic and Management Sciences, 13(3), 362–375.
   Web of Science ®Google Scholar
• Odhiambo, N., & Tsaurai, K. (2012). Stock market development foreign capital inflows and economic growth in Zimbabwe: A multivariate causality test. Corp Ownersh Control, 9(2), 313–322. https://doi.org/10.22495/cocv9i2c3art1
   Google Scholar
• Olowe, R. A. (2007). The relationship between stock prices and macroeconomic factors in the Nigerian stock market. African Review of Money Finance and Banking, 79–98.
   Google Scholar
• Pal, K., & Mittal, R. (2011). Impact of macroeconomic indicators on Indian capital markets. The Journal of Risk Finance, 12(2), 84–97. https://doi.org/10.1108/15265941111112811
   Google Scholar
• Pan, M.-S., Fok, R. C.-W., & Liu, Y. A. (2007). Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets. International Review of Economics & Finance, 16(4), 503–520. https://doi.org/10.1016/j.iref.2005.09.003
   Google Scholar
• Parsva, P., & Lean, H. H. (2011). The analysis of relationship between stock prices and exchange rates: Evidence from six Middle Eastern financial markets. International Research Journal of Finance and Economics, 66(5), 157–171. https://www.researchgate.net/profile/Parham-Parsva/publication/288753074_The_analysis_of_relationship_between_stock_prices_and_exchange_rates_Evidence_from_six_middle_eastern_financial_markets/links/5ef50fa9a6fdcc4ca430fc84/The-analysis-of-relationship-between-stock-prices-and-exchange-rates-Evidence-from-six-middle-eastern-financial-markets.pdf
   Google Scholar
• Paul, S., & Mallik, G. (2003). Macroeconomic factors and bank and finance stock prices: The Australian experience. Economic Analysis and Policy, 33(1), 23–30. https://doi.org/10.1016/S0313-5926(03)50002-9
   Google Scholar
• Peiro, A. (2015). Stock prices and macroeconomic factors: Some European evidence. International Review of Economics and Finance.
   Google Scholar
• Pesaran, M. H., & Pesaran, B. (1997). Working with Microfit 4.0: Interactive Econometric Analysis. Oxford University Press.
   Google Scholar
• Pesaran, M. H., & Shin, Y. (1999). An autoregressive distributed lag modelling approach to cointegration analysis. In S. Strom (Ed.), Econometrics and economic theory in the 20th Century: The Ragnar Frisch Centennial Symposium. Cambridge University Press. pp. 2.
   Google Scholar
• Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. https://doi.org/10.1002/jae.616
   Web of Science ®Google Scholar
• Phiri, A. (2018) Structural changes in exchange rate-stock returns dynamics in South Africa: Examining the role of crisis and new trading platform. Economic Change and Restructuring, 53(1), 171-193.
   Google Scholar
• Phylaktis, K., & Ravazzolo, F. (2005). Stock prices and exchange rate dynamics. Journal of International Money and Finance, 24(7), 1031–1053. https://doi.org/10.1016/j.jimonfin.2005.08.001
   Web of Science ®Google Scholar
• Rahman, M. L., & Uddin, J. (2009). Dynamic relationship between stock prices and exchange rates: Evidence from three South Asian countries. International Business Research, 2(2), 167–174. https://doi.org/10.5539/ibr.v2n2p167
   Google Scholar
• Raza, S. A., & Jawaid, S. T. (2014). Foreign capital inflows, economic growth and stock market capitalization in Asian countries: An ARDL bound testing approach. Quality & Quantity, 48(1), 375–385. https://doi.org/10.1007/s11135-012-9774-4
   Web of Science ®Google Scholar
• Richards, N., Simpson, J., & Evans, J. (2007). The interaction between exchange rates and stock prices: An Australian context. International Journal of Economics and Finance, 1(1), 3–23. https://espace.curtin.edu.au/bitstream/handle/20.500.11937/13668/20108_downloaded_stream_96.pdf?sequence=2&isAllowed=y
   Google Scholar
• Rjoub, H., Tursoy, T., & Gunsel, N. (2009). The effects of macroeconomic factors on stock returns: Istanbul stock market. Studies in Economics and Finance, 26(1), 36–45. https://doi.org/10.1108/10867370910946315
   Google Scholar
• Ross, S. A. (1978). The current status of the capital asset pricing model (CAPM). The Journal of Finance, 33(3), 885–901.
   Web of Science ®Google Scholar
• Sichoongwe, K. (2016). Effects of exchange rate volatility on the stock market: The Zambian experience. Journal of Economics and Sustainable Development, 7(4), 114–119. https://www.rmb.co.za/news/south-african-rand-what-is-the-possible-new-normal
   Google Scholar
• Singh, T., Gupta, M., & Sharma, M. (2015). Stock market liquidity and firm performance. Accounting, 1(1), 29–36. https://doi.org/10.5267/j.ac.2015.11.003
   Google Scholar
• Singh, H. (2019). 'Show me the money’: a discussion of the cryptocurrency market and its potential regulation in South Africa (Doctoral dissertation).
   Google Scholar
• Smyth, R., & Nandha, M. (2003). Bivariate causality between exchange rates and stock prices in South Asia. Applied Economics Letters, 10(11), 699–704. https://doi.org/10.1080/1350485032000133282
   Web of Science ®Google Scholar
• Sohail, N., & Hussain, Z. (2009). Long-run and short-run relationship between macroeconomic variables and stock prices in Pakistan: The case of Lahore stock exchange. Pakistan Economic and Social Review, 47(2), 183–198. https://media.teckiz.com/pakistan-economic-and-social-review/pesc-eco-pu/2021/04/28/608902105b48b.pdf
   Google Scholar
• Takawira, O., & Motseta, S. D. (2021). The relationship between sovereign credit ratings and capital flows: A case of South Africa. International Journal of Economics and Finance Studies, 13(1), 251–276. https://doi.org/10.34109/ijefs.202112234
   Google Scholar
• Tian, G. G., & Ma, S. (2010). The relationship between stock returns and the foreign exchange rate: The ARDL approach. Journal of the Asia Pacific Economy, 15(4), 490–508. https://doi.org/10.1080/13547860.2010.516171
   Web of Science ®Google Scholar
• Tiwari, A. K., Dar, A. B., Bhanja, N., Arouri, M., & Teulon, F. (2015). Stock returns and inflation in Pakistan. Economic Modelling, 47(1), 23–31. https://doi.org/10.1016/j.econmod.2014.12.043
   Web of Science ®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 and Money, 22(3), 609–621. https://doi.org/10.1016/j.intfin.2012.04.005
   Web of Science ®Google Scholar
• Yau, H.-Y., & Nieh, C.-C. (2006). Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate. Journal of Asian Economics, 17(3), 535–552. https://doi.org/10.1016/j.asieco.2006.04.006
   Google Scholar
• Yousuf, A., & Nilsson, F. (2013). Impact of exchange rates on Swedish stock performances: Empirical study on USD and EUR exchange rates on the Swedish stock market. Spring 2013.
   Google Scholar
• Zhao, H. (2010). Dynamic relationship between exchange rate and stock price: Evidence from China. Research in International Business and Finance, 24(2), 103–112.
   Google Scholar