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The Impact of the Exchange Rate on the Stock Market - L’impatto del tasso di cambio sul mercato azionario

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Abstract

We introduce a new theoretically-based method of estimating the impact of the exchange rate and GDP on the stock market. In doing so, we utilize the new stochastic-factor model (a recent development in mathematical finance). Our results indicate a strong negative relationship between the stock index and the exchange rate, and a strong positive relationship between the stock index and GDP. - In questo studio viene introdotto un nuovo metodo teorico per la valutazione dell’impatto del tasso di cambio e del PIL sul mercato azionario. Per effettuare questa stima si utilizza il modello a stocasticità fattoriale (recentemente sviluppato nella matematica finanziaria). I risultati ottenuti indicano una relazione fortemente negativa tra l’indice azionario e il tasso di cambio ed una relazione fortemente positiva tra l’indice azionario e il PIL.

Suggested Citation

  • Alghalith, Moawia & Polius, Tracy & Franklin, Martin, 2012. "The Impact of the Exchange Rate on the Stock Market - L’impatto del tasso di cambio sul mercato azionario," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 65(4), pages 495-502.
    • Handle: RePEc:ris:ecoint:0665
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    More about this item

    Keywords

    Exchange Rate; GDP; Stock Market; Stochastic-Factor Model;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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