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

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Abstract

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.

Item Type:	Article
Uncontrolled Keywords:	Stock market, foreign exchange market, exchange rate, African markets, quantile regression
Subjects:	H Social Sciences > HB Economic Theory
Divisions:	Tunku Puteri Intan Safinaz School of Accountancy (TISSA)
Depositing User:	Mrs. Norazmilah Yaakub
Date Deposited:	25 Aug 2020 08:08
Last Modified:	25 Aug 2020 08:08
URI:	https://repo.uum.edu.my/id/eprint/27375

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