[PDF] Top 20 Impact of the foreign exchange rates fluctuations on returns and volatility of the Bucharest Stock Exchange

... the foreign exchange rates affected not only stock returns but also their ...the foreign exchange rates ... See full document

... the impact of foreign investors on stock returns in Korea from November 30, 1996 to the end of 1997 using order and trade data and found strong evidence of positive feedback trading and ... See full document

... The returns of BET NG index experienced an increase of the mean returns during the Great Lent and a decline in volatility during the Nativity ...mean returns during the Great ... See full document

... their foreign accounts, they seek an optimal currency rate that can, according to the domestic economic conditions, strengthen the process of moving towards balance in both internal and external area (Ebrahimi, ... See full document

... conditional volatility of exchange ...that exchange rates uncertainty creates disequilibrium in stock markets because of the expectation that investors would be ...in exchange ... See full document

... in foreign market entails exposure to foreign exchange rate risk, it then follows that an investor willing to invest in foreign assets needs to assess the vulnerability of the foreign ... See full document

... on volatility in stock market returns while the conditional volatility of currency movements can be included in the model at the same ...of exchange rate fluctuations in ... See full document

... historical volatility is based on daily returns of the exchange rates over the previous year, and the implied volatility is of at-the-money options with one month to ...traded ... See full document

... that volatility clustering is at times caused by multiple trading frequencies and the availability of thin trading (which lead to serial correlation in returns), which may be the case in most emerging and ... See full document

... on returns, volatility and jumps of the stock and foreign exchange markets of South ...frequency. Volatility is estimated with the use of the median realized variance estimator ... See full document

... In the case of Pakistan, Khan and Schimmelpfennig (2006) concluded that excess money supply in the long run is the major cause of inflation; however they also point out that the rate of inflation is also influenced by ... See full document

... and stock price volatility is of great concern to academician, researchers and ...that stock price volatility can be controlled by controlling margin financing 3 ...excess volatility ... See full document

... price returns and stock volumes at the stock exchange, as well as the volatility smile [19–22]; (ix) Biological evolution [23]; (x) The distributions of returns in the ... See full document

... floating exchange rate regime since early 1990s and that currently, the country adheres to the IMF convention of free current account convertibility and transfer; variations in an exchange rate has the ... See full document

... peg exchange rate for an extended period of time (hence, some degree of exchange rate flexibility), with some periodic large devaluations (upward of 100 percent is not unusual) and return to a ... See full document

... daily returns. The results in Figure 1 show that the movement of stock returns is both positive and ...the returns fluctuate around the mean value, but close to ...Larger fluctuations ... See full document

... in volatility of stock returns by the day of the week and whether a high (low) return is associated with a correspondingly high (low) volatility for a given ...the returns based on un - ... See full document

... the volatility and their impact is checked through the application of Johansen Co-integration ...the exchange rate fluctuations are causing the stock return ...of stock market we ... See full document

... RAQ-C returns (Table 2). For BET-C returns it resulted the most suitable TOM time period is between -1 to +2 trading ...mean returns for the trading days from TOM time period. The largest ... See full document

... The results of this test are consistent with previous research, namely Dwimulyani and Arius (2006) on companies whose IPO on the Indonesia Stock Exchange period 2000-2003 stated that the selection of ... See full document