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The Impact of Exchange Rate Volatility on Stock Prices: A Case Study of Middle East Countries

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dc.contributor.authorAimer, Nagmi Moftah
dc.date.accessioned2026-01-04T12:35:31Z
dc.date.issued2019-01-01
dc.description.abstractThe exchange rate is not only a determinant of economic activity but also a factor affecting the performance of stock market. In other words, the exchange rate volatility makes an impact on the stock market of any economy. This study has attempted to determine the relationship between exchange rate and stock prices of Middle East countries, using the GARCH model for the period Jan-2004 to Apr-2018, to make an econometric analysis. In this context, various time series analysis and Granger causality test were applied. Results of analyses show a strong evidence of causation running from exchange rate to stock prices; implying several variations such as Dubai stock prices experienced exchange rate volatility while the Saudi stock market witnessed a unidirectional relationship running from stock prices to exchange rate implying that variations the Saudi exchange rate determines the stock prices volatility. Finally, in the Egyptian stock market, no relationship between the exchange rate and stock prices was witnessed which means that changes in Egyptian stock prices cannot be explained by the volatility in the exchange rate.
dc.description.urihttps://doi.org/10.18488/journal.107.2019.72.98.110
dc.description.urihttps://dx.doi.org/10.18488/journal.107.2019.72.98.110
dc.identifier.doi10.18488/journal.107.2019.72.98.110
dc.identifier.eissn2313-8343
dc.identifier.endpage110
dc.identifier.issn2518-2544
dc.identifier.openairedoi_dedup___::36c071c4b434ab233de69bc671135caf
dc.identifier.scopus2-s2.0-85089979238
dc.identifier.startpage98
dc.identifier.urihttps://hdl.handle.net/20.500.12597/37151
dc.identifier.volume7
dc.publisherAsian Economic and Social Society
dc.relation.ispartofAsian Development Policy Review
dc.rightsOPEN
dc.subject.sdg8. Economic growth
dc.titleThe Impact of Exchange Rate Volatility on Stock Prices: A Case Study of Middle East Countries
dc.typeArticle
dspace.entity.typePublication
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