IDEAS home Printed from https://ideas.repec.org/a/asi/adprev/v7y2019i2p98-110id233.html
   My bibliography  Save this article

The Impact of Exchange Rate Volatility on Stock Prices: A Case Study of Middle East Countries

Author

Listed:
  • Nagmi Moftah Aimer

Abstract

The exchange rate is not only a determinant of economic activity but also a factor affecting the performance of stock market. In other words, the exchange rate volatility makes an impact on the stock market of any economy. This study has attempted to determine the relationship between exchange rate and stock prices of Middle East countries, using the GARCH model for the period Jan-2004 to Apr-2018, to make an econometric analysis. In this context, various time series analysis and Granger causality test were applied. Results of analyses show a strong evidence of causation running from exchange rate to stock prices; implying several variations such as Dubai stock prices experienced exchange rate volatility while the Saudi stock market witnessed a unidirectional relationship running from stock prices to exchange rate implying that variations the Saudi exchange rate determines the stock prices volatility. Finally, in the Egyptian stock market, no relationship between the exchange rate and stock prices was witnessed which means that changes in Egyptian stock prices cannot be explained by the volatility in the exchange rate.

Suggested Citation

  • Nagmi Moftah Aimer, 2019. "The Impact of Exchange Rate Volatility on Stock Prices: A Case Study of Middle East Countries," Asian Development Policy Review, Asian Economic and Social Society, vol. 7(2), pages 98-110.
    • Handle: RePEc:asi:adprev:v:7:y:2019:i:2:p:98-110:id:233
    as

    Download full text from publisher

    File URL: https://archive.aessweb.com/index.php/5008/article/view/233/442
    Download Restriction: no
    File URL: https://archive.aessweb.com/index.php/5008/article/view/233/1828
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Armida Amado & Looi Mun Choon, 2020. "Impact of Changes in Exchange Rate on Stock Market: An Empirical Evidence from Indonesia," International Journal of Applied Economics, Finance and Accounting, Online Academic Press, vol. 7(1), pages 24-31.
    2. Nagmi Moftah Aimer, 2019. "The Long Run Effects of Oil Prices on Economic Growth: The Case of Libya," International Journal of Social and Administrative Sciences, Asian Economic and Social Society, vol. 4(2), pages 232-242, June.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:asi:adprev:v:7:y:2019:i:2:p:98-110:id:233. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Robert Allen (email available below). General contact details of provider: https://archive.aessweb.com/index.php/5008/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.