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Exchange Rate, Exchange Rate Volatility and Stock Prices: An Analysis of the Symmetric and Asymmetric Effect Using ARDL and NARDL Models

Authors: La Ode Saidi (Universitas Halu Oleo, Indonesia) , Abd Azis Muthalib (Universitas Halu Oleo, Indonesia) , Pasrun Adam (Universitas Halu Oleo, Indonesia) , Wali Aya Rumbia (Universitas Halu Oleo, Indonesia) , La Ode Arsad Sani (Universitas Halu Oleo, Indonesia)

  • Exchange Rate, Exchange Rate Volatility and Stock Prices: An Analysis of the Symmetric and Asymmetric Effect Using ARDL and NARDL Models

    article

    Exchange Rate, Exchange Rate Volatility and Stock Prices: An Analysis of the Symmetric and Asymmetric Effect Using ARDL and NARDL Models

    Authors: , , , ,

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Abstract

This article examined the symmetric and asymmetric effects of the IDR/USD exchange rate and its volatility on stock prices using the monthly time series data of the IDR/USD exchange rate and the Indonesian composite stock price index from January 2006 to July 2019. The data were analyzed using ARDL and NARDL models. The results showed that in the short term, the IDR/USD exchange rate has a symmetry effect on stock prices, while volatility lacks such a symmetric influence. However, these two variables asymmetrically affect stock prices, Furthermore, in the long term both the exchange rate and the volatility lack symmetric and asymmetric influence on stock prices.

Keywords: Exchange rate, exchange rate volatility, stock prices, ARDL model, NARDL model

How to Cite:

Saidi, L. O., Muthalib, A. A., Adam, P., Rumbia, W. A. & Sani, L. A., (2021) “Exchange Rate, Exchange Rate Volatility and Stock Prices: An Analysis of the Symmetric and Asymmetric Effect Using ARDL and NARDL Models”, Australasian Accounting, Business and Finance Journal 15(4), 179-190. doi: https://doi.org/10.14453/aabfj.v15i4.11

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Published on
10 Aug 2021
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