Impact of Changes in Exchange Rate on Stock Market: An Empirical Evidence from Indonesia

Armida Amado () and Looi Mun Choon ()

International Journal of Applied Economics, Finance and Accounting, 2020, vol. 7, issue 1, 24-31

Abstract: The study examines the impact of changes in exchange rate on stock market the case of Indonesia. The quantitative approach is used to find out the connection among the two quantifiable variables fluctuations of the exchange rate and share market. The exchange rate of Indonesia is presented through the real effective rate of exchange while for share market; the time series of share market returns has been gathered. The study uses the ARDL model in order to determine whether the time series of fluctuations in the rate of exchange predict share market. The findings of the current study suggest that in the context of Indonesia, the long-term relationship between rate of exchange fluctuations and share market has been established.

Keywords: Real effective exchange rate; Stock market return; Indonesia; ARDL. (search for similar items in EconPapers)
Date: 2020
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