Asymmetric Impact of Exchange Rate Changes on Stock Prices: Empirical Evidence from Germany

Nadia Anjum, Niaz Hussain Ghumro and Bisharat Husain
Additional contact information
Nadia Anjum: PhD Scholar, Sukkur IBA University Sukkur, Pakistan
Niaz Hussain Ghumro: Assistant Professor, Sukkur IBA University Sukkur, Pakistan
Bisharat Husain: PhD Scholar, Sukkur IBA University Sukkur, Pakistan

International Journal of Economics and Financial Research, 2017, vol. 3, issue 11, 240-245

Abstract: This study examines whether shifts in exchange rate has symmetric or asymmetric impact on stock prices in Germany. Linear and nonlinear autoregressive distribution lag models are applied by using monthly data from the period January 1993 till April 2017. Findings suggest that only currency devaluation affects stock prices which implies asymmetric impact of changes in exchange rate on stock prices. The empirical results from this study would be useful for policymaking as well as for forecasting the impact of exchange rate changes on stock prices.

Keywords: Asymmetry; NARDL; Germany; stock market. (search for similar items in EconPapers)
JEL-codes: F31 G15 (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.arpgweb.com/pdf-files/ijefr3(11)240-245.pdf (application/pdf)
http://www.arpgweb.com/?ic=journal&journal=5&month=11-2017&issue=11&volume=3 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arp:ijefrr:2017:p:240-245

Access Statistics for this article

International Journal of Economics and Financial Research is currently edited by Dr. Abu Hassan Bin Md Isa

More articles in International Journal of Economics and Financial Research from Academic Research Publishing Group Rahim Yar Khan 64200, Punjab, Pakistan.
Bibliographic data for series maintained by Managing Editor ().