Stock price index and exchange rate nexus in African markets
This paper examines the relationship between stock price index and exchange rate in six African markets using monthly data for the period January 2007 to October 2015. A quantile regression approach is used. This methodology is shown to perform better than the ordinary least squares estimators, part...
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| Format: | Article |
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Taylor & Francis
2017
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| _version_ | 1803629289947529216 |
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| author | Raji, Jimoh Olajide Ibrahim, Yusnidah Ahmad, Siti Aznor |
| author_facet | Raji, Jimoh Olajide Ibrahim, Yusnidah Ahmad, Siti Aznor |
| author_sort | Raji, Jimoh Olajide |
| collection | UUM |
| description | This paper examines the relationship between stock price index and exchange rate in six African markets using monthly data for the period January 2007 to October 2015. A quantile regression approach is used. This methodology is shown to perform better than the ordinary least squares estimators, particularly when the conditional distribution is heterogeneous. Our empirical evidence reveals an interesting pattern in the association of these two financial markets in Africa, which shows that the negative relationship between stock and foreign exchange markets is more apparent when exchange rates are extremely low or high. The negative relationship between the two variables is in line with the portfolio balance effect. |
| first_indexed | 2024-07-04T06:35:30Z |
| format | Article |
| id | uum-27375 |
| institution | Universiti Utara Malaysia |
| last_indexed | 2024-07-04T06:35:30Z |
| publishDate | 2017 |
| publisher | Taylor & Francis |
| record_format | dspace |
| spelling | uum-273752020-08-25T08:08:21Z https://repo.uum.edu.my/id/eprint/27375/ Stock price index and exchange rate nexus in African markets Raji, Jimoh Olajide Ibrahim, Yusnidah Ahmad, Siti Aznor HB Economic Theory This paper examines the relationship between stock price index and exchange rate in six African markets using monthly data for the period January 2007 to October 2015. A quantile regression approach is used. This methodology is shown to perform better than the ordinary least squares estimators, particularly when the conditional distribution is heterogeneous. Our empirical evidence reveals an interesting pattern in the association of these two financial markets in Africa, which shows that the negative relationship between stock and foreign exchange markets is more apparent when exchange rates are extremely low or high. The negative relationship between the two variables is in line with the portfolio balance effect. Taylor & Francis 2017 Article PeerReviewed Raji, Jimoh Olajide and Ibrahim, Yusnidah and Ahmad, Siti Aznor (2017) Stock price index and exchange rate nexus in African markets. International Economic Journal, 31 (1). pp. 112-134. ISSN 1016-8737 http://doi.org/10.1080/10168737.2016.1245354 doi:10.1080/10168737.2016.1245354 doi:10.1080/10168737.2016.1245354 |
| spellingShingle | HB Economic Theory Raji, Jimoh Olajide Ibrahim, Yusnidah Ahmad, Siti Aznor Stock price index and exchange rate nexus in African markets |
| title | Stock price index and exchange rate nexus in African markets |
| title_full | Stock price index and exchange rate nexus in African markets |
| title_fullStr | Stock price index and exchange rate nexus in African markets |
| title_full_unstemmed | Stock price index and exchange rate nexus in African markets |
| title_short | Stock price index and exchange rate nexus in African markets |
| title_sort | stock price index and exchange rate nexus in african markets |
| topic | HB Economic Theory |
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