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The Impact of the Exchange Rate Volatilities on Stock Market Returns Dynamic

Author

Listed:
  • Nesrine Mechri

    (FSEG Sfax - Faculté des Sciences Economiques et de Gestion de Sfax - Université de Sfax - University of Sfax)

  • Salah Ben Hamad

    (FSEG Sfax - Faculté des Sciences Economiques et de Gestion de Sfax - Université de Sfax - University of Sfax)

  • Christian De Peretti

    (UO - Université d'Orléans)

Abstract

The present research provides an overview of the interactions and links between exchange rate volatility and the dynamics of stock market returns in order to clarify the relationship between this variables for managers and investors who will be able to control better the portfolio risk level. This research aims to identify the impact of both exchange rate and relative prices uncertainty on the fluctuations of stock markets prices, considering two countries that belong to MENA zone. The GARCH model is applied to measure the volatility of our variables and implemented a multiple regression model to determine the impact of exchange rate and relative prices fluctuations as well as their volatilities on stock market volatility using Monthly data. In this work, several determinants of stock market indices are integrated in our empirical examination that have not been used simultaneously before, hence, the results show that in the case of Tunisia, exchange rate volatility have a significant effect on stock market fluctuations, as well as the volatility of the Gold and the oil prices, which are significant. Alternatively, in Turkey both the volatilities of the exchange rate and gold prices have an influence on the dynamics of the stock market returns and the fluctuation of the interest rate as well, while other prices are statistically non-significant. J.E.L. classification: F31, F62, F65, G15

Suggested Citation

  • Nesrine Mechri & Salah Ben Hamad & Christian De Peretti, 2019. "The Impact of the Exchange Rate Volatilities on Stock Market Returns Dynamic," Working Papers hal-01766742, HAL.
    • Handle: RePEc:hal:wpaper:hal-01766742
    Note: View the original document on HAL open archive server: https://hal.science/hal-01766742v2
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    References listed on IDEAS

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    Cited by:

    1. Camille Baulant & Nivine Albouz, 2021. "Has financial globalization since 1990 reduced income inequality: the role of rating announcements on the volatility and the returns of the Brazilian Financial Market [Les annonces de notation souv," Working Papers hal-03258994, HAL.
    2. Mpoha, Salifya & Bonga-Bonga, Lumengo, 2020. "Assessing the extent of exchange rate risk pricing in equity markets: emerging versus developed economies," MPRA Paper 99597, University Library of Munich, Germany.
    3. Moayad H. Al Rasasi & Soleman O. Alsabban & Omar A. Alarfaj, 2019. "Does Stock Market Performance Affect Economic Growth? Empirical Evidence from Saudi Arabia," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(9), pages 1-21, September.
    4. Abdul RASHID & Aamir JAVED & Zainab JEHAN & Uzma IQBAL, 2022. "Time-Varying Impacts of Macroeconomic Variables on Stock Market Returns and Volatility : Evidence from Pakistan," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 144-166, October.

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    More about this item

    Keywords

    Stock market return; Nominal exchange rate; Stock market; Volatility; GARCH 2; MENA;
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