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The Impact of the Exchange Rate on the Stock Market - L’impatto del tasso di cambio sul mercato azionario

Moawia Alghalith, Tracy Polius and Martin Franklin
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Tracy Polius: The University of the West Indies, Economics Department, Postal: St. Augustine, Trinidad, http://sta.uwi.edu/fss/economics/
Martin Franklin: The University of the West Indies, Economics Department, Postal: St. Augustine, Trinidad, http://sta.uwi.edu/fss/economics/

Economia Internazionale / International Economics, 2012, vol. 65, issue 4, 495-502

Abstract: We introduce a new theoretically-based method of estimating the impact of the exchange rate and GDP on the stock market. In doing so, we utilize the new stochastic-factor model (a recent development in mathematical finance). Our results indicate a strong negative relationship between the stock index and the exchange rate, and a strong positive relationship between the stock index and GDP. - In questo studio viene introdotto un nuovo metodo teorico per la valutazione dell’impatto del tasso di cambio e del PIL sul mercato azionario. Per effettuare questa stima si utilizza il modello a stocasticità fattoriale (recentemente sviluppato nella matematica finanziaria). I risultati ottenuti indicano una relazione fortemente negativa tra l’indice azionario e il tasso di cambio ed una relazione fortemente positiva tra l’indice azionario e il PIL.

Keywords: Exchange Rate; GDP; Stock Market; Stochastic-Factor Model (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Date: 2012
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