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  • 标题:Exchange Rate, Exchange Rate Volatility and Stock Prices: an Analysis of the Symmetric and Asymmetric Effect Using ARDL and NARDL Models
  • 本地全文:下载
  • 作者:La Ode Saidi ; Abd Azis Muthalib ; Pasrun Adam
  • 期刊名称:Australasian Accounting, Business and Finance Journal
  • 印刷版ISSN:1834-2000
  • 电子版ISSN:1834-2019
  • 出版年度:2021
  • 卷号:15
  • 期号:4
  • 页码:179-190
  • DOI:10.14453/aabfj.v15i4.11
  • 语种:English
  • 出版社:University of Wollongong
  • 摘要: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.
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