Asymmetry cointegration between the value of the dollar and sectoral stock indices in the U.S
Previous studies that have investigated the effects of exchange rate changes on stock prices, have assumed that such effects are symmetric. Recently, one study addressed the asymmetric effects of exchange rate changes on the S & P 500 index using U.S. data and showed that exchange rate changes h...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Bahmani-Oskooee, Mohsen [verfasserIn] |
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| Format: |
E-Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2016transfer abstract |
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| Schlagwörter: |
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| Umfang: |
9 |
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| Übergeordnetes Werk: |
Enthalten in: MicroRNAs as potential diagnostic and prognostic biomarkers in melanoma - Mirzaei, Hamed ELSEVIER, 2016transfer abstract, IREF, Amsterdam [u.a.] |
|---|---|
| Übergeordnetes Werk: |
volume:46 ; year:2016 ; pages:78-86 ; extent:9 |
| Links: |
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| DOI / URN: |
10.1016/j.iref.2016.08.005 |
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| 520 | |a Previous studies that have investigated the effects of exchange rate changes on stock prices, have assumed that such effects are symmetric. Recently, one study addressed the asymmetric effects of exchange rate changes on the S & P 500 index using U.S. data and showed that exchange rate changes have asymmetric effects on the S & P 500 index in the short run but not in the long run. Suspecting that such findings could suffer from aggregation bias, in this paper we investigate the asymmetric effects of exchange rate changes on the stock price indices of eleven different sectors in the U.S. Using asymmetry cointegration and nonlinear ARDL approach, we find that changes in the nominal effective exchange rate of the dollar has significant asymmetric effects in the short run in ten sectors. These effects last into the long run asymmetric effects in six of the eleven sectors. In five of these six sectors, while dollar depreciation has a positive impact on their share prices, dollar appreciation does not. | ||
| 520 | |a Previous studies that have investigated the effects of exchange rate changes on stock prices, have assumed that such effects are symmetric. Recently, one study addressed the asymmetric effects of exchange rate changes on the S & P 500 index using U.S. data and showed that exchange rate changes have asymmetric effects on the S & P 500 index in the short run but not in the long run. Suspecting that such findings could suffer from aggregation bias, in this paper we investigate the asymmetric effects of exchange rate changes on the stock price indices of eleven different sectors in the U.S. Using asymmetry cointegration and nonlinear ARDL approach, we find that changes in the nominal effective exchange rate of the dollar has significant asymmetric effects in the short run in ten sectors. These effects last into the long run asymmetric effects in six of the eleven sectors. In five of these six sectors, while dollar depreciation has a positive impact on their share prices, dollar appreciation does not. | ||
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10.1016/j.iref.2016.08.005 doi GBVA2016018000014.pica (DE-627)ELV040156354 (ELSEVIER)S1059-0560(16)30105-8 DE-627 ger DE-627 rakwb eng 330 330 DE-600 610 VZ 610 VZ 44.52 bkl Bahmani-Oskooee, Mohsen verfasserin aut Asymmetry cointegration between the value of the dollar and sectoral stock indices in the U.S 2016transfer abstract 9 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier Previous studies that have investigated the effects of exchange rate changes on stock prices, have assumed that such effects are symmetric. Recently, one study addressed the asymmetric effects of exchange rate changes on the S & P 500 index using U.S. data and showed that exchange rate changes have asymmetric effects on the S & P 500 index in the short run but not in the long run. Suspecting that such findings could suffer from aggregation bias, in this paper we investigate the asymmetric effects of exchange rate changes on the stock price indices of eleven different sectors in the U.S. Using asymmetry cointegration and nonlinear ARDL approach, we find that changes in the nominal effective exchange rate of the dollar has significant asymmetric effects in the short run in ten sectors. These effects last into the long run asymmetric effects in six of the eleven sectors. In five of these six sectors, while dollar depreciation has a positive impact on their share prices, dollar appreciation does not. Previous studies that have investigated the effects of exchange rate changes on stock prices, have assumed that such effects are symmetric. Recently, one study addressed the asymmetric effects of exchange rate changes on the S & P 500 index using U.S. data and showed that exchange rate changes have asymmetric effects on the S & P 500 index in the short run but not in the long run. Suspecting that such findings could suffer from aggregation bias, in this paper we investigate the asymmetric effects of exchange rate changes on the stock price indices of eleven different sectors in the U.S. Using asymmetry cointegration and nonlinear ARDL approach, we find that changes in the nominal effective exchange rate of the dollar has significant asymmetric effects in the short run in ten sectors. These effects last into the long run asymmetric effects in six of the eleven sectors. In five of these six sectors, while dollar depreciation has a positive impact on their share prices, dollar appreciation does not. Asymmetry cointegration Elsevier Sectoral stock prices Elsevier Exchange rate Elsevier The U.S. Elsevier Saha, Sujata oth Enthalten in Elsevier Science Mirzaei, Hamed ELSEVIER MicroRNAs as potential diagnostic and prognostic biomarkers in melanoma 2016transfer abstract IREF Amsterdam [u.a.] (DE-627)ELV01963546X volume:46 year:2016 pages:78-86 extent:9 https://doi.org/10.1016/j.iref.2016.08.005 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U 44.52 Therapie Medizin VZ AR 46 2016 78-86 9 045F 330 |
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10.1016/j.iref.2016.08.005 doi GBVA2016018000014.pica (DE-627)ELV040156354 (ELSEVIER)S1059-0560(16)30105-8 DE-627 ger DE-627 rakwb eng 330 330 DE-600 610 VZ 610 VZ 44.52 bkl Bahmani-Oskooee, Mohsen verfasserin aut Asymmetry cointegration between the value of the dollar and sectoral stock indices in the U.S 2016transfer abstract 9 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier Previous studies that have investigated the effects of exchange rate changes on stock prices, have assumed that such effects are symmetric. Recently, one study addressed the asymmetric effects of exchange rate changes on the S & P 500 index using U.S. data and showed that exchange rate changes have asymmetric effects on the S & P 500 index in the short run but not in the long run. Suspecting that such findings could suffer from aggregation bias, in this paper we investigate the asymmetric effects of exchange rate changes on the stock price indices of eleven different sectors in the U.S. Using asymmetry cointegration and nonlinear ARDL approach, we find that changes in the nominal effective exchange rate of the dollar has significant asymmetric effects in the short run in ten sectors. These effects last into the long run asymmetric effects in six of the eleven sectors. In five of these six sectors, while dollar depreciation has a positive impact on their share prices, dollar appreciation does not. Previous studies that have investigated the effects of exchange rate changes on stock prices, have assumed that such effects are symmetric. Recently, one study addressed the asymmetric effects of exchange rate changes on the S & P 500 index using U.S. data and showed that exchange rate changes have asymmetric effects on the S & P 500 index in the short run but not in the long run. Suspecting that such findings could suffer from aggregation bias, in this paper we investigate the asymmetric effects of exchange rate changes on the stock price indices of eleven different sectors in the U.S. Using asymmetry cointegration and nonlinear ARDL approach, we find that changes in the nominal effective exchange rate of the dollar has significant asymmetric effects in the short run in ten sectors. These effects last into the long run asymmetric effects in six of the eleven sectors. In five of these six sectors, while dollar depreciation has a positive impact on their share prices, dollar appreciation does not. Asymmetry cointegration Elsevier Sectoral stock prices Elsevier Exchange rate Elsevier The U.S. Elsevier Saha, Sujata oth Enthalten in Elsevier Science Mirzaei, Hamed ELSEVIER MicroRNAs as potential diagnostic and prognostic biomarkers in melanoma 2016transfer abstract IREF Amsterdam [u.a.] (DE-627)ELV01963546X volume:46 year:2016 pages:78-86 extent:9 https://doi.org/10.1016/j.iref.2016.08.005 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U 44.52 Therapie Medizin VZ AR 46 2016 78-86 9 045F 330 |
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10.1016/j.iref.2016.08.005 doi GBVA2016018000014.pica (DE-627)ELV040156354 (ELSEVIER)S1059-0560(16)30105-8 DE-627 ger DE-627 rakwb eng 330 330 DE-600 610 VZ 610 VZ 44.52 bkl Bahmani-Oskooee, Mohsen verfasserin aut Asymmetry cointegration between the value of the dollar and sectoral stock indices in the U.S 2016transfer abstract 9 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier Previous studies that have investigated the effects of exchange rate changes on stock prices, have assumed that such effects are symmetric. Recently, one study addressed the asymmetric effects of exchange rate changes on the S & P 500 index using U.S. data and showed that exchange rate changes have asymmetric effects on the S & P 500 index in the short run but not in the long run. Suspecting that such findings could suffer from aggregation bias, in this paper we investigate the asymmetric effects of exchange rate changes on the stock price indices of eleven different sectors in the U.S. Using asymmetry cointegration and nonlinear ARDL approach, we find that changes in the nominal effective exchange rate of the dollar has significant asymmetric effects in the short run in ten sectors. These effects last into the long run asymmetric effects in six of the eleven sectors. In five of these six sectors, while dollar depreciation has a positive impact on their share prices, dollar appreciation does not. Previous studies that have investigated the effects of exchange rate changes on stock prices, have assumed that such effects are symmetric. Recently, one study addressed the asymmetric effects of exchange rate changes on the S & P 500 index using U.S. data and showed that exchange rate changes have asymmetric effects on the S & P 500 index in the short run but not in the long run. Suspecting that such findings could suffer from aggregation bias, in this paper we investigate the asymmetric effects of exchange rate changes on the stock price indices of eleven different sectors in the U.S. Using asymmetry cointegration and nonlinear ARDL approach, we find that changes in the nominal effective exchange rate of the dollar has significant asymmetric effects in the short run in ten sectors. These effects last into the long run asymmetric effects in six of the eleven sectors. In five of these six sectors, while dollar depreciation has a positive impact on their share prices, dollar appreciation does not. Asymmetry cointegration Elsevier Sectoral stock prices Elsevier Exchange rate Elsevier The U.S. Elsevier Saha, Sujata oth Enthalten in Elsevier Science Mirzaei, Hamed ELSEVIER MicroRNAs as potential diagnostic and prognostic biomarkers in melanoma 2016transfer abstract IREF Amsterdam [u.a.] (DE-627)ELV01963546X volume:46 year:2016 pages:78-86 extent:9 https://doi.org/10.1016/j.iref.2016.08.005 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U 44.52 Therapie Medizin VZ AR 46 2016 78-86 9 045F 330 |
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10.1016/j.iref.2016.08.005 doi GBVA2016018000014.pica (DE-627)ELV040156354 (ELSEVIER)S1059-0560(16)30105-8 DE-627 ger DE-627 rakwb eng 330 330 DE-600 610 VZ 610 VZ 44.52 bkl Bahmani-Oskooee, Mohsen verfasserin aut Asymmetry cointegration between the value of the dollar and sectoral stock indices in the U.S 2016transfer abstract 9 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier Previous studies that have investigated the effects of exchange rate changes on stock prices, have assumed that such effects are symmetric. Recently, one study addressed the asymmetric effects of exchange rate changes on the S & P 500 index using U.S. data and showed that exchange rate changes have asymmetric effects on the S & P 500 index in the short run but not in the long run. Suspecting that such findings could suffer from aggregation bias, in this paper we investigate the asymmetric effects of exchange rate changes on the stock price indices of eleven different sectors in the U.S. Using asymmetry cointegration and nonlinear ARDL approach, we find that changes in the nominal effective exchange rate of the dollar has significant asymmetric effects in the short run in ten sectors. These effects last into the long run asymmetric effects in six of the eleven sectors. In five of these six sectors, while dollar depreciation has a positive impact on their share prices, dollar appreciation does not. Previous studies that have investigated the effects of exchange rate changes on stock prices, have assumed that such effects are symmetric. Recently, one study addressed the asymmetric effects of exchange rate changes on the S & P 500 index using U.S. data and showed that exchange rate changes have asymmetric effects on the S & P 500 index in the short run but not in the long run. Suspecting that such findings could suffer from aggregation bias, in this paper we investigate the asymmetric effects of exchange rate changes on the stock price indices of eleven different sectors in the U.S. Using asymmetry cointegration and nonlinear ARDL approach, we find that changes in the nominal effective exchange rate of the dollar has significant asymmetric effects in the short run in ten sectors. These effects last into the long run asymmetric effects in six of the eleven sectors. In five of these six sectors, while dollar depreciation has a positive impact on their share prices, dollar appreciation does not. Asymmetry cointegration Elsevier Sectoral stock prices Elsevier Exchange rate Elsevier The U.S. Elsevier Saha, Sujata oth Enthalten in Elsevier Science Mirzaei, Hamed ELSEVIER MicroRNAs as potential diagnostic and prognostic biomarkers in melanoma 2016transfer abstract IREF Amsterdam [u.a.] (DE-627)ELV01963546X volume:46 year:2016 pages:78-86 extent:9 https://doi.org/10.1016/j.iref.2016.08.005 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U 44.52 Therapie Medizin VZ AR 46 2016 78-86 9 045F 330 |
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10.1016/j.iref.2016.08.005 doi GBVA2016018000014.pica (DE-627)ELV040156354 (ELSEVIER)S1059-0560(16)30105-8 DE-627 ger DE-627 rakwb eng 330 330 DE-600 610 VZ 610 VZ 44.52 bkl Bahmani-Oskooee, Mohsen verfasserin aut Asymmetry cointegration between the value of the dollar and sectoral stock indices in the U.S 2016transfer abstract 9 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier Previous studies that have investigated the effects of exchange rate changes on stock prices, have assumed that such effects are symmetric. Recently, one study addressed the asymmetric effects of exchange rate changes on the S & P 500 index using U.S. data and showed that exchange rate changes have asymmetric effects on the S & P 500 index in the short run but not in the long run. Suspecting that such findings could suffer from aggregation bias, in this paper we investigate the asymmetric effects of exchange rate changes on the stock price indices of eleven different sectors in the U.S. Using asymmetry cointegration and nonlinear ARDL approach, we find that changes in the nominal effective exchange rate of the dollar has significant asymmetric effects in the short run in ten sectors. These effects last into the long run asymmetric effects in six of the eleven sectors. In five of these six sectors, while dollar depreciation has a positive impact on their share prices, dollar appreciation does not. Previous studies that have investigated the effects of exchange rate changes on stock prices, have assumed that such effects are symmetric. Recently, one study addressed the asymmetric effects of exchange rate changes on the S & P 500 index using U.S. data and showed that exchange rate changes have asymmetric effects on the S & P 500 index in the short run but not in the long run. Suspecting that such findings could suffer from aggregation bias, in this paper we investigate the asymmetric effects of exchange rate changes on the stock price indices of eleven different sectors in the U.S. Using asymmetry cointegration and nonlinear ARDL approach, we find that changes in the nominal effective exchange rate of the dollar has significant asymmetric effects in the short run in ten sectors. These effects last into the long run asymmetric effects in six of the eleven sectors. In five of these six sectors, while dollar depreciation has a positive impact on their share prices, dollar appreciation does not. Asymmetry cointegration Elsevier Sectoral stock prices Elsevier Exchange rate Elsevier The U.S. Elsevier Saha, Sujata oth Enthalten in Elsevier Science Mirzaei, Hamed ELSEVIER MicroRNAs as potential diagnostic and prognostic biomarkers in melanoma 2016transfer abstract IREF Amsterdam [u.a.] (DE-627)ELV01963546X volume:46 year:2016 pages:78-86 extent:9 https://doi.org/10.1016/j.iref.2016.08.005 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U 44.52 Therapie Medizin VZ AR 46 2016 78-86 9 045F 330 |
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Enthalten in MicroRNAs as potential diagnostic and prognostic biomarkers in melanoma Amsterdam [u.a.] volume:46 year:2016 pages:78-86 extent:9 |
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MicroRNAs as potential diagnostic and prognostic biomarkers in melanoma |
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MicroRNAs as potential diagnostic and prognostic biomarkers in melanoma |
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Asymmetry cointegration between the value of the dollar and sectoral stock indices in the U.S |
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Asymmetry cointegration between the value of the dollar and sectoral stock indices in the U.S |
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Bahmani-Oskooee, Mohsen |
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MicroRNAs as potential diagnostic and prognostic biomarkers in melanoma |
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MicroRNAs as potential diagnostic and prognostic biomarkers in melanoma |
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asymmetry cointegration between the value of the dollar and sectoral stock indices in the u.s |
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Asymmetry cointegration between the value of the dollar and sectoral stock indices in the U.S |
| abstract |
Previous studies that have investigated the effects of exchange rate changes on stock prices, have assumed that such effects are symmetric. Recently, one study addressed the asymmetric effects of exchange rate changes on the S & P 500 index using U.S. data and showed that exchange rate changes have asymmetric effects on the S & P 500 index in the short run but not in the long run. Suspecting that such findings could suffer from aggregation bias, in this paper we investigate the asymmetric effects of exchange rate changes on the stock price indices of eleven different sectors in the U.S. Using asymmetry cointegration and nonlinear ARDL approach, we find that changes in the nominal effective exchange rate of the dollar has significant asymmetric effects in the short run in ten sectors. These effects last into the long run asymmetric effects in six of the eleven sectors. In five of these six sectors, while dollar depreciation has a positive impact on their share prices, dollar appreciation does not. |
| abstractGer |
Previous studies that have investigated the effects of exchange rate changes on stock prices, have assumed that such effects are symmetric. Recently, one study addressed the asymmetric effects of exchange rate changes on the S & P 500 index using U.S. data and showed that exchange rate changes have asymmetric effects on the S & P 500 index in the short run but not in the long run. Suspecting that such findings could suffer from aggregation bias, in this paper we investigate the asymmetric effects of exchange rate changes on the stock price indices of eleven different sectors in the U.S. Using asymmetry cointegration and nonlinear ARDL approach, we find that changes in the nominal effective exchange rate of the dollar has significant asymmetric effects in the short run in ten sectors. These effects last into the long run asymmetric effects in six of the eleven sectors. In five of these six sectors, while dollar depreciation has a positive impact on their share prices, dollar appreciation does not. |
| abstract_unstemmed |
Previous studies that have investigated the effects of exchange rate changes on stock prices, have assumed that such effects are symmetric. Recently, one study addressed the asymmetric effects of exchange rate changes on the S & P 500 index using U.S. data and showed that exchange rate changes have asymmetric effects on the S & P 500 index in the short run but not in the long run. Suspecting that such findings could suffer from aggregation bias, in this paper we investigate the asymmetric effects of exchange rate changes on the stock price indices of eleven different sectors in the U.S. Using asymmetry cointegration and nonlinear ARDL approach, we find that changes in the nominal effective exchange rate of the dollar has significant asymmetric effects in the short run in ten sectors. These effects last into the long run asymmetric effects in six of the eleven sectors. In five of these six sectors, while dollar depreciation has a positive impact on their share prices, dollar appreciation does not. |
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Asymmetry cointegration between the value of the dollar and sectoral stock indices in the U.S |
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