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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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Main Authors: Raji, Jimoh Olajide, Ibrahim, Yusnidah, Ahmad, Siti Aznor
Format: Article
Published: Taylor & Francis 2017
Subjects:
HB Economic Theory
Online Access:http://repo.uum.edu.my/27375/
http://doi.org/10.1080/10168737.2016.1245354
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spelling my.uum.repo.273752020-08-25T08:08:21Z http://repo.uum.edu.my/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
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutional Repository
url_provider http://repo.uum.edu.my/
topic HB Economic Theory
spellingShingle HB Economic Theory
Raji, Jimoh Olajide
Ibrahim, Yusnidah
Ahmad, Siti Aznor
Stock price index and exchange rate nexus in African markets
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.
format Article
author Raji, Jimoh Olajide
Ibrahim, Yusnidah
Ahmad, Siti Aznor
author_facet Raji, Jimoh Olajide
Ibrahim, Yusnidah
Ahmad, Siti Aznor
author_sort Raji, Jimoh Olajide
title Stock price index and exchange rate nexus in African markets
title_short 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_sort stock price index and exchange rate nexus in african markets
publisher Taylor & Francis
publishDate 2017
url http://repo.uum.edu.my/27375/
http://doi.org/10.1080/10168737.2016.1245354
_version_ 1677783825365598208
score 13.209306

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