Nexus between Stock Exchange Index and Exchange Rates

Md. Zahangir Alam; Muhammad Abdur Rahim

doi:doi:10.11648/j.ijefm.20130106.20

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Nexus between Stock Exchange Index and Exchange Rates

Md. Zahangir Alam, Muhammad Abdur Rahim

Published in International Journal of Economics, Finance and Management Sciences (Volume 1, Issue 6)

Received: 24 October 2013 Accepted: Published: 10 November 2013

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Abstract

This study is about to analyze the nexus between stock exchange index and exchange rates. Secondary data, namely the daily Dhaka Stock Exchange General Index and the BDT/USD Exchange Rates data from December 02, 2012 to April 30, 2012 are used for the study perpose. The findings of this study revealed that 73.1802% of the variation in DSE general index returns is explained by the BDT/USD exchange rates returns which imply that there is a strong nexus between these two financial series. LM test’s outcomes indicate that there is a serial correlation at order 1; historical figures of the residuals can be applied to predict the present values of residuals. ARCH test illustrates that the residuals are hete-roskedastic; and variance of residuals is not constant. Normality test of the distribution of the residuals shows that the resi-duals are normally distributed.

Published in	International Journal of Economics, Finance and Management Sciences (Volume 1, Issue 6)
DOI	10.11648/j.ijefm.20130106.20
Page(s)	330-334
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2024. Published by Science Publishing Group

Keywords

ARCH, LM, Stock Index, Exchange Rates

References

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[13]	Oskooee, M. B. and Sohrabian, A. (1992). Stock prices and the effective exchange rate of the dollar. Applied Economics, 24, 459-464.
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[19]	Soenen, L. A and Hennigar, E. S. (1988). An analysis of exchange rates and stock prices: The US experience between 1980 and 1986. Akron Business and Economic Review, 19, 7–16.

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APA Style

Md. Zahangir Alam, Muhammad Abdur Rahim. (2013). Nexus between Stock Exchange Index and Exchange Rates. International Journal of Economics, Finance and Management Sciences, 1(6), 330-334. https://doi.org/10.11648/j.ijefm.20130106.20

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ACS Style

Md. Zahangir Alam; Muhammad Abdur Rahim. Nexus between Stock Exchange Index and Exchange Rates. Int. J. Econ. Finance Manag. Sci. 2013, 1(6), 330-334. doi: 10.11648/j.ijefm.20130106.20

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AMA Style

Md. Zahangir Alam, Muhammad Abdur Rahim. Nexus between Stock Exchange Index and Exchange Rates. Int J Econ Finance Manag Sci. 2013;1(6):330-334. doi: 10.11648/j.ijefm.20130106.20

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@article{10.11648/j.ijefm.20130106.20,
  author = {Md. Zahangir Alam and Muhammad Abdur Rahim},
  title = {Nexus between Stock Exchange Index and Exchange Rates},
  journal = {International Journal of Economics, Finance and Management Sciences},
  volume = {1},
  number = {6},
  pages = {330-334},
  doi = {10.11648/j.ijefm.20130106.20},
  url = {https://doi.org/10.11648/j.ijefm.20130106.20},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20130106.20},
  abstract = {This study is about to analyze the nexus between stock exchange index and exchange rates.  Secondary data, namely the daily Dhaka Stock Exchange General Index and the BDT/USD Exchange Rates data from December 02, 2012 to April 30, 2012 are used for the study perpose. The findings of this study revealed that 73.1802% of the variation in DSE general index returns is explained by the BDT/USD exchange rates returns which imply that there is a strong nexus between these two financial series. LM test’s outcomes indicate that there is a serial correlation at order 1; historical figures of the residuals can be applied to predict the present values of residuals. ARCH test illustrates that the residuals are hete-roskedastic; and variance of residuals is not constant. Normality test of the distribution of the residuals shows that the resi-duals are normally distributed.},
 year = {2013}
}

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TY  - JOUR
T1  - Nexus between Stock Exchange Index and Exchange Rates
AU  - Md. Zahangir Alam
AU  - Muhammad Abdur Rahim
Y1  - 2013/11/10
PY  - 2013
N1  - https://doi.org/10.11648/j.ijefm.20130106.20
DO  - 10.11648/j.ijefm.20130106.20
T2  - International Journal of Economics, Finance and Management Sciences
JF  - International Journal of Economics, Finance and Management Sciences
JO  - International Journal of Economics, Finance and Management Sciences
SP  - 330
EP  - 334
PB  - Science Publishing Group
SN  - 2326-9561
UR  - https://doi.org/10.11648/j.ijefm.20130106.20
AB  - This study is about to analyze the nexus between stock exchange index and exchange rates.  Secondary data, namely the daily Dhaka Stock Exchange General Index and the BDT/USD Exchange Rates data from December 02, 2012 to April 30, 2012 are used for the study perpose. The findings of this study revealed that 73.1802% of the variation in DSE general index returns is explained by the BDT/USD exchange rates returns which imply that there is a strong nexus between these two financial series. LM test’s outcomes indicate that there is a serial correlation at order 1; historical figures of the residuals can be applied to predict the present values of residuals. ARCH test illustrates that the residuals are hete-roskedastic; and variance of residuals is not constant. Normality test of the distribution of the residuals shows that the resi-duals are normally distributed.
VL  - 1
IS  - 6
ER  -

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Author Information

Md. Zahangir Alam

Department of Business Adminsitration, International Islamic University Chittagong, Dhaka Campus, Bangladesh
Muhammad Abdur Rahim

General Banking Department, Main Branch, Mercantile Bank Ltd., Dhaka, Bangladesh

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APA Style

Md. Zahangir Alam, Muhammad Abdur Rahim. (2013). Nexus between Stock Exchange Index and Exchange Rates. International Journal of Economics, Finance and Management Sciences, 1(6), 330-334. https://doi.org/10.11648/j.ijefm.20130106.20

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ACS Style

Md. Zahangir Alam; Muhammad Abdur Rahim. Nexus between Stock Exchange Index and Exchange Rates. Int. J. Econ. Finance Manag. Sci. 2013, 1(6), 330-334. doi: 10.11648/j.ijefm.20130106.20

Copy | Download

AMA Style

Md. Zahangir Alam, Muhammad Abdur Rahim. Nexus between Stock Exchange Index and Exchange Rates. Int J Econ Finance Manag Sci. 2013;1(6):330-334. doi: 10.11648/j.ijefm.20130106.20

Copy | Download

@article{10.11648/j.ijefm.20130106.20,
  author = {Md. Zahangir Alam and Muhammad Abdur Rahim},
  title = {Nexus between Stock Exchange Index and Exchange Rates},
  journal = {International Journal of Economics, Finance and Management Sciences},
  volume = {1},
  number = {6},
  pages = {330-334},
  doi = {10.11648/j.ijefm.20130106.20},
  url = {https://doi.org/10.11648/j.ijefm.20130106.20},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20130106.20},
  abstract = {This study is about to analyze the nexus between stock exchange index and exchange rates.  Secondary data, namely the daily Dhaka Stock Exchange General Index and the BDT/USD Exchange Rates data from December 02, 2012 to April 30, 2012 are used for the study perpose. The findings of this study revealed that 73.1802% of the variation in DSE general index returns is explained by the BDT/USD exchange rates returns which imply that there is a strong nexus between these two financial series. LM test’s outcomes indicate that there is a serial correlation at order 1; historical figures of the residuals can be applied to predict the present values of residuals. ARCH test illustrates that the residuals are hete-roskedastic; and variance of residuals is not constant. Normality test of the distribution of the residuals shows that the resi-duals are normally distributed.},
 year = {2013}
}

Copy | Download

TY  - JOUR
T1  - Nexus between Stock Exchange Index and Exchange Rates
AU  - Md. Zahangir Alam
AU  - Muhammad Abdur Rahim
Y1  - 2013/11/10
PY  - 2013
N1  - https://doi.org/10.11648/j.ijefm.20130106.20
DO  - 10.11648/j.ijefm.20130106.20
T2  - International Journal of Economics, Finance and Management Sciences
JF  - International Journal of Economics, Finance and Management Sciences
JO  - International Journal of Economics, Finance and Management Sciences
SP  - 330
EP  - 334
PB  - Science Publishing Group
SN  - 2326-9561
UR  - https://doi.org/10.11648/j.ijefm.20130106.20
AB  - This study is about to analyze the nexus between stock exchange index and exchange rates.  Secondary data, namely the daily Dhaka Stock Exchange General Index and the BDT/USD Exchange Rates data from December 02, 2012 to April 30, 2012 are used for the study perpose. The findings of this study revealed that 73.1802% of the variation in DSE general index returns is explained by the BDT/USD exchange rates returns which imply that there is a strong nexus between these two financial series. LM test’s outcomes indicate that there is a serial correlation at order 1; historical figures of the residuals can be applied to predict the present values of residuals. ARCH test illustrates that the residuals are hete-roskedastic; and variance of residuals is not constant. Normality test of the distribution of the residuals shows that the resi-duals are normally distributed.
VL  - 1
IS  - 6
ER  -

Copy | Download