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Systematic Literature Review: The Dynamics of the Influence of Exchange Rates on Stock Returns and Its Implications on Global Financial Markets

In: Proceedings of the 1st International Conference on Business, Economic, and Social Sustainability (ICOBES 2025)

Author

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  • Agung Nugroho

    (Universitas Sarjanawiyata Tamansiswa)

Abstract

This study presents a Systematic Literature Review (SLR) to analyze the effect of exchange rates on stock returns with a focus on dynamics that arise in various global economic contexts. By reviewing 48 articles published between 2021 and 2025, the study found that the relationship between exchange rates and stock returns is complex, influenced by factors such as global volatility, the structure of industrial sectors, and macroeconomic policies. Empirical findings suggest that the influence of exchange rates can vary between developed and developing countries, with exchange rate volatility having more effect on stock returns in emerging markets. The methodological approach used in this study includes advanced quantitative models, such as Time-Varying Parameter Vector Autoregressive (TVP-VAR), GARCH, and non-linear models that are able to describe dynamic and non-linear relationships. The article also highlights the importance of exchange rate risk management for investors and policymakers in the face of global economic uncertainty. The results of this study provide important insights for the development of more adaptive investment strategies and economic policies in an increasingly integrated market.

Suggested Citation

  • Agung Nugroho, 2026. "Systematic Literature Review: The Dynamics of the Influence of Exchange Rates on Stock Returns and Its Implications on Global Financial Markets," Advances in Economics, Business and Management Research, in: Syamsul Hadi & Riskin Hidayat & Ambar Lukitaningsih & Ong Lin Dar & Taufik Abd Hakim (ed.), Proceedings of the 1st International Conference on Business, Economic, and Social Sustainability (ICOBES 2025), pages 106-117, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6239-626-5_8
    DOI: 10.2991/978-94-6239-626-5_8
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