قياس أثر تغيرات أسعار الصرف على تقلبات عوائد أسواق الأسهم باستخدام نموذج GARCH

الملخص EN

The dynamic links between exchange rates Actuations and stock market returns volatility is empirically investigated in this paper, by adopts a GARCH model.

The data consists of daily closing stock market indexes denominated in local currency and exchange rates for three developed countries, namely HK, Japan and Canada.

To study this relationship during bad and good times we choose data from January 2001 to September 2016 (3443 observations).

Many statistical tests are applied to reach the accuracy of results.

Stock markets returns sensitivities are found to be stronger for exchange rates, implying that exchange rate change plays an important role in determining the dynamics of the conditional return of stock markets returns.