Measuring the effect of exchange rate movements on stock market returns volatility : GARCH model
Other Title(s)
قياس أثر تغيرات أسعار الصرف على تقلبات عوائد أسوق الأسهم : باستخدام نموذج GARCH
Author
Source
Issue
Vol. 2017, Issue 17 (31 Dec. 2017), pp.67-77, 11 p.
Publisher
Kasdi Merbah University Faculty of Economics Commercial Sciences and Management Sciences
Publication Date
2017-12-31
Country of Publication
Algeria
No. of Pages
11
Main Subjects
Financial and Accounting Sciences
Topics
- Macroeconomics
- Profits
- Financial statements
- Exchange rates
- Financial markets
- Investment returns
- Stocks
- Revenue
Abstract EN
This paper aims to investigate the dynamic links between exchange rate fluctuations and stock market return volatility.
For this purpose, we have employed a Generalized Autoregressive Conditional Heteroscedasticity model (GARCH model).
Stock market 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 stock market returns.
American Psychological Association (APA)
Bisiba, Abd al-Qadir. 2017. Measuring the effect of exchange rate movements on stock market returns volatility : GARCH model. Revue du Chercheur،Vol. 2017, no. 17, pp.67-77.
https://search.emarefa.net/detail/BIM-808376
Modern Language Association (MLA)
Bisiba, Abd al-Qadir. Measuring the effect of exchange rate movements on stock market returns volatility : GARCH model. Revue du Chercheur No. 17 (2017), pp.67-77.
https://search.emarefa.net/detail/BIM-808376
American Medical Association (AMA)
Bisiba, Abd al-Qadir. Measuring the effect of exchange rate movements on stock market returns volatility : GARCH model. Revue du Chercheur. 2017. Vol. 2017, no. 17, pp.67-77.
https://search.emarefa.net/detail/BIM-808376
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references : p. 76-77
Record ID
BIM-808376
