Journal of Economics, Finance and Business Analytics
2024; 2(1): 14 - 21
https://quantresearchpublishing.com/index.php/jefba
ISSN:3006-0745 (Online)
Effect of Foreign Exchange Volatility on Returns from
Stock Market: A Systematic Review
1Michael Ochieng Obuya, 2Franciscah Kitheka, 3 Victor Ademba, 4Dorcas Njoki Mungai
1 Finance and Accounting, KCA University, Nairobi, Kenya
2 Finance and Accounting, Laikipia University, Nyahururu, Kenya
3 Finance and Commerce, Egerton University, Nakuru, Kenya
4 Business and Economics, Mount Kenya University, Thika, Kenya
To cite this article:
Obuya et al. (2024). Effect of Foreign Exchange Volatility on Returns from Stock Market: A Systematic Review. Journal of Economics,
Finance and Business Analytics, 2 (1), 14-21
Received: 20 December 2023, 2023; Accepted: 23 January, 2024; Published: 31 January, 2024
Abstract: In the context of economic globalization, particularly in the aftermath of the financial crisis, the stock market has
witnessed unprecedented fluctuations. The study sought to examine the magnitude and direction of the effect of foreign
exchange volatility on stock market returns. The study reviewed diverse range of journal articles by searching many databases,
like Emerald Insight, Google scholar, ScienceDirect and from several publications. The keywords used to search the articles
were “Foreign exchange volatility” and “Stock market” or “Stock market performance”. The researcher used these keywords,
the databases hit the results of 558,464 (Emerald – 4,417, ScienceDirect – 15,047 and Google Sholar–539,000). Phase involved
filtered searcher filtered the search results by selecting articles, journals, full text, scholarly (peer-reviewed) journals, after
which it resulted in 25,279 articles (Emerald – 3282, ScienceDirect – 797 and google scholar – 21,200). The researcher
conducted the database search between 28th November 2023 and 30th November 2023. To make sure that the articles selected
were relevant to the study, the researcher prepared inclusion and exclusion criteria. Using this criterion, the researcher
carefully examined the 25,279 articles where 25,004 articles were excluded after applying exclusion and inclusion criteria.
After excluding, researcher found 275 articles eligible for inclusion. The researcher thoroughly studied these papers based on
title, abstract, keywords, availability of full pdf text to identify their suitability. Further, duplicated papers were excluded
leading to 21 papers being selected for review. The study established that country-wise relationship foreign exchange rate
volatility and stock market was positive for some studies and inverse for other studies. Foreign exchange rate volatility tended
to have positive impact on stock market returns for the majority of developed countries. In addition, the researcher noted that
the majority of developing and emerging countries showed positive effect of foreign exchange volatility on stock market
returns.
Keywords: Foreign exchange Rate, Foreign Exchange Volatility, Stock Market, Stock Market Returns, Systematic
Review, Stock Market Performance.
1. Introduction
In the context of economic globalization, particularly in the aftermath of the financial crisis, the stock market has witnessed
unprecedented fluctuations. These fluctuations have contributed to increased uncertainty and risk in the stock market (Ciao,
2023). To mitigate this uncertainty, it is crucial to accurately measure the volatility of stock index returns. Moreover, given the
stock market's pivotal role in the global economy, there is a need to focus on promoting the beneficial development of the stock
market (Olkhov, 2023). Consequently, understanding the theoretical and literature significance of volatility is essential for
measuring stock index return volatility. Volatility is a prominent subject in economic and financial research, representing one
of the most crucial characteristics of financial markets. It directly correlates with market uncertainty and influences the
investment behavior of both enterprises and individuals. Examining the volatility of financial asset returns is a central concern
in modern financial research, often quantified by the variance of the rate of return (Liu et al., 2019). The stock market, an
electronic marketplace for trading stocks, bonds, and commodity derivatives such as futures and options, is widely regarded as
Journal of Economics, Finance and Business Analytics 2024; 2(1): 14-21 15
an indicator of a country's economic growth (Hatem, 2017). The decision to invest in the stock market is influenced by its
performance, which, in turn, is impacted by various macroeconomic factors (Md & Khan. (2020). Therefore, it is crucial for
both investors and industries to analyze the impact of these factors as it can affect their viability and directly influence stock
prices. The growth of an economy, as measured by the pace of gross domestic product (GDP), fiscal status, inflation rate, debt
position, exchange rate, and money supply circulation, all play significant roles (Tabash et al, 2023). The relationship between
macroeconomic variables and stock returns has been a widely researched topic among academics and researchers. There exists
a vast body of literature on this subject, with numerous macroeconomic variables being identified in global studies.
Stock market returns can be described by time-series of random market trade values and volumes (Cao, 2023). The statistical
moments of these trade values and volumes determine the statistical moments of stock returns. The market-based probability of
stock returns reveals a direct dependence on market trade randomness and economic uncertainty. Therefore, any reasonable
forecasting of stock returns should be based on well-grounded predictions of market trades and the economic environment
(Olkhov, 2023). Multiple factors exert an influence on the fluctuations in prices in the stock market. Prominent factors
encompass the foreign exchange rate, the rate of interest, oil prices, and macroeconomic policies, among others (Sukmayana &
Ikhsan, 2022). The scope of the present investigation will be confined to examining the impact of foreign exchange volatility
on the returns of the stock market. The nexus between foreign exchange volatility and stock market returns has tended to be
mixed with some revealing positive relationship and other showing negative relationship. Consequently, research on the
volatility of financial markets has consistently remained a focal point for financial economists and financial practitioners. This
article adopts the systematic review approach due to its objective of identifying all empirical evidence that satisfies the
predetermined criteria for inclusion or serves as a suitable response to the research inquiry. Researcher observed keenly all the
selected literature to answer the following research question: what is the magnitude and direction of the effect of foreign
exchange volatility on stock market returns?
1.2 Research Questions
The study seeks to answer the question; what is the magnitude and direction of the effect of foreign exchange volatility on
stock market returns?
1.3 Research Objectives
By reviewing a diverse range of articles from relevant sources, the following are the research objectives of this paper:
1. To identify the effect of foreign exchange volatility on stock market performance.
2. To study the relationship between foreign exchange volatility and stock market returns across developing and
developed countries to see whether there is a difference in the outcomes.
1.4 Overview of the Review
The review has been planned in the following manner. Chapter one presents the introduction, Chapter two explains the
methodology; Chapter three presents the findings, chapter four presents the discussion of findings and chapter five presents the
conclusion and recommendations.
2. Methodology
2.1 Scope of the Research
This paper serves as a comprehensive evaluation of the correlation between fluctuations in foreign currency exchange rates
and the returns of stock markets. The existing body of literature encompasses a multitude of research papers that analyse the
impact of foreign exchange on stock market returns. During the examination of these articles, the researcher identified
discrepancies in the findings, prompting a thorough review of a diverse array of papers in this domain. To synthesize the
relationship between foreign exchange volatility and stock market performance across different countries, the researcher
conducted an extensive analysis of papers originating from various sources. This study focuses on identifying gaps and
exploring the practical implications of the findings, which were derived from a comprehensive review of papers encompassing
diverse stock exchanges worldwide. The research process was facilitated through the utilization of Microsoft Excel.
2.2 Search Strategy
2.2.1 Unfiltered and Filtered General Search
The study reviewed diverse range of journal articles by searching many databases, like Emerald Insight, Google scholar,
ScienceDirect and from several publications. The keywords used to search the articles were “Foreign exchange volatility” and
“Stock market” or “Stock market performance”. In figure 1, when the researcher used these keywords, the databases hit the
16 Obuya et al: Effect of Foreign Exchange Volatility on Returns from Stock Market: A Systematic Review
results of 558,464 (Emerald – 4,417, ScienceDirect – 15,047 and Google Sholar–539,000) Phase involved filtered searcher
filtered the search results by selecting articles, journals, full text, scholarly (peer-reviewed) journals, after which it resulted in
25,279 articles (Emerald – 3282, ScienceDirect – 797 and google scholar – 21,200). The researcher conducted the database
search between 28th November 2023 and 30th November 2023. In Table 1, database search protocol is highlighted.
Table 1: Data Search Protocol
Data Base
Scope
Date of search
Number of items
Google Scholar
Title, Keyword
28th Nov 2023
21,200
Emerald
Title, Keyword, Abstract
29th Nov 2023
3282
Science Direct
Title, Keyword, Abstract
30th Nov 2023
797
Total
25,279
2.2.2 Inclusion and Exclusion Criteria
To make sure that the articles selected were relevant to the study, the researcher prepared inclusion and exclusion criteria,
which is presented in Table 2.
Table 2: Inclusion and Exclusion Criteria
Inclusion
Dates between 2018 - 2023
Open access
Journal/Research article
Title contains foreign exchange volatility and stock market
returns/indices/performance
English language
Using this criterion, the researcher carefully examined the 25,279 articles where 25,004 articles were excluded after
applying exclusion and inclusion criteria given in Table 2 and Figure 1.
Figure 1: Search Process
After excluding, researcher found 275 articles eligible for inclusion. The researcher thoroughly studied these papers based on
Excluded Paper
533,185
Excluded papers
25,004
Number of relevant papers after
exclusion and inclusion criteria - 275
Number of full pdf text articles selected
from all databases - 21
Excluded paper
254
Phase 3 (Title,
abstract, keywords,
full pdf text,
duplicates)
Number of Papers hits after including
articles, journals and peer reviewed
journals- 25,279
Number of gross papers hits from all
data bases- 558,464
Phase 1(articles,
journals, scholarly
peer-reviewed)
journals at database.
Phase 2 (Applying
exclusions and
inclusion criteria at
database.
Journal of Economics, Finance and Business Analytics 2024; 2(1): 14-21 17
title, abstract, keywords, availability of full pdf text to identify their suitability. Further, duplicated papers were excluded
leading to 21 papers being selected for review as presented in Table 3 under findings chapter.
2.3 Research Tools and Techniques
Researchers have employed data derived from secondary sources like Datastream, the International Monetary Fund (IMF),
the International Financial Statistics (IFS), the Organisation for Economic Co-operation and Development (OECD), the World
Development Indicators (WDI), the World Bank, NYSE Euronext, the Center for Research in Security Prices (CRSP), the
Central Bank, and the Stock Exchange. In the investigations, daily, monthly, quarterly, and annual data have been utilized for
observation. The majority of the studies have employed monthly data for analysis. Descriptive statistics techniques, such as
mean, standard deviation, range, minimum, and maximum, have been employed to ascertain the nature and characteristics of
variables. Subsequently, inferential statistics have been utilized for a comprehensive examination of the data. Correlation has
been widely employed to determine the direction and coefficient of the relationship. Johansen cointegration and the Vector
Error Correction Model (VECM) have been employed to establish a long-term association between foreign exchange volatility,
other variables, and stock market returns. For testing the stationarity of time series, the augmented Dickey-Fuller test (ADF)
has been predominantly used. In order to ascertain the impact of foreign exchange volatility on stock market returns, regression
analysis, multiple regression analysis, Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models, and
Autoregressive Distributed Lag (ARDL) models have been employed.
3. Results
The review investigated different papers in order to determine the relationship between foreign exchange volatility and stock
market returns. Table 3 contains a list of studies with variables along with their effects. In Table 3, the researcher has included
all the articles from the selected database to provide a summary of the impact of foreign exchange volatility for different
countries. In order to generalize the effect, researcher has classified assessment as developed and emerging economies as
presented in Table 4.
Table 3: Findings from Selected Papers
“Author/Year
Focus
Methodology
Country
Results
Knowledge gaps
Sreenu (2023)
Impact of exchange
rate on stock market
returns volatility in
India
Autoregressive distributed lag
(ARDL)
GARCH (Generalized
Autoregressive Conditional
Heteroskedasticity)
India
Significant long-term
relationship between
market returns and
exchange rate.
Negative short-term
effect forex volatility
on stock Market
One country study
hence may not be
generalised to
other countries
Bouazizi., Mrad, Hamida
and Nafti (2022).
Relationship between
oil price volatility,
foreign exchange
market returns and
stock market returns.
ARMA-GARCH
conditional variance equations
Germany, Japan
and the United
States.
Impact of foreign
exchange on stock
market for Germany,
Japan and the United
States was positive
Study limited to
developed nations
Bhargava and Konku
(2023).
Impact of exchange
rate fluctuations on
US stock market
returns.
Unit root test using Phillip-
Perron method
Johansen cointegration model
VAR/VECM and GARCH
modelling
USA
volatility in certain
currencies can affect
market returns
positively
Study limited to
USA
Manu and Bhaskar (2018)
Effect of exchange
rate volatility on stock
market performance
GARCH model to
four exchange rates and three
stock indices.
India
Fluctuation of
exchange rate impacts
stock indices
positively
Does not show the
magnitude of
effect of forex
volatility on stock
market indices.
Mechri, Hamad and
Peretti. (2019)
impact of exchange
rate volatility on stock
market returns in
Tunisia and Turkey.
- GARCH model used to
measure volatility
- Multiple regression model
used to determine impact
Turkey and Tunisia
Exchange rate
volatility has a
significant negative
effect on stock market
fluctuations in Tunisia
and Turkey.
Multiple
regression model
may be
misleading as it
does not capture
country specific
effect
Sreenu, Rao, and Naik
(2022).
the impact of currency
exchange rate and rate
of inflation on
volatility in Indian
share market returns.
The market returns were
computed from January 2000
to June 2020
ARDL model
India
long-term relationship
between NSE returns
and the currency rate
of exchange.
For the short-run the
One country study
hence findings
have limited
application
18 Obuya et al: Effect of Foreign Exchange Volatility on Returns from Stock Market: A Systematic Review
GARCH and Error Correction
Model (ECM)
variable is examined
showed the negative
effects on the stock
market returns.
Dewanti, Rusmita., and
Samad (2022).
Impact of exchange
rate volatility on the
return of MSCI
Islamic stocks in Asia
emerging countries.
Daily time series data is from
January 2015 to June 2020.
time series regression
The EGARCH method is used
India, China,
Korea, Indonesia,
Malaysia,
Thailand, and the
Philippines.
Mixed findings on
effect pf forex
volatility on stock
market returns.
Exchange rate
volatility has a
statistically significant
positive effect in
China, Korea,
mixed findings
hence
inconclusive.
Odiche (2022).
interplay of oil price
volatility, exchange
rate and stock market
return in Nigeria
5-days daily data covering
1985 to 2021.
Descriptive statistics and
VECH GARCH model in our
estimation.
Nigeria
exchange rate and oil
price volatility
positively and
significantly influence
the shocks to stock
market return in
Nigeria.
One country study
hence not
generalizable to
other countries.
Ilu (2020).
impact of exchange
rate volatility on stock
prices in Nigeria
GARCH models
Nigeria
bad news exerts more
shocks on the stock
returns volatility than
good news of the
same magnitude.
Limited
generalization of
findings to other
countries.
Ali., Mangla, Rehman.,
Xue, Naseem and Ahmad
(2020)
Relationship between
stock market volatility
with the exchange rate
and gold prices of an
emerging market,
Pakistan
Employed daily and monthly
data from 2008 2018.
quantile regression approach
Pakistan
Negative impact of
the exchange rate and
gold price volatility
on the stock market
performance
Limited
generalization to
other countries.
Mlambo Maredza and
Sibanda (2013)
effects of currency
volatility on the
Johannesburg Stock
Exchange.
GARCH model was used
The study employed monthly
South African data for the
period 2000 – 2010.
South Africa
A very weak and
positive relationship
between currency
volatility and the
stock market was
confirmed.
Limited
generalization to
other countries.
Wasiaturrahma, Putri and
Ajija. (2020).
effect of asymmetric
exchange volatility on
the volatility of stock
returns
SD from 1997 to 2017.
Augmented Markov Switching
EGARCH approach
Indonesia
The good and bad
news give different
impact on stock return
volatility
Does not show
magnitude of
effect of forex
volatility on stock
returns
Mariam, Alenezi.,
Ahmad, Alqatan., Obby,
Phiri. (2020).
The sensitivity of
stock returns to
exchange rate, interest
rate and oil price
volatility in the Gulf
Cooperation Council
(GCC)
Multivariate ordinary least
square (OLS) regression and
the exponential generalized
autoregressive conditional
heteroscedastic in mean
(EGARCH-M) models
data collected from January
2007 to June 2012.
Bahrain, Kuwait,
Oman, Qatar,
Saudi Arabia and
United Arab
Emirates)
overall, exchange rate
risk showed a positive
and significant
relationship with
firms’ value.
Dependent
variable was firms
value
Kuhe., Aarga and Ayigege
(2019).
Investigated volatility
behavior of exchange
rates returns of Naira
against CFA, Euro,
Great British Pounds,
US Dollar, West
African Unit of
Account (WAUA) and
Japanese Yen in
Nigeria
GARCH models
The study utilizes daily
quotations of these exchange
rates from 12/11/2001 to
04/13/2018
Nigeria
foreign exchange
rates return was
significantly related
One country study
with limited
generalization to
other countries
Fransiskus, X, Lara, Aba.
(2018).
effect of exchange
rates and inflation on
volatility and stock
returns on the
Indonesia Stock
Exchange.
The stock sector to be studied
is the trade, services and
investment sector in the 2015-
2017 period
Indonesia
The volatility of all
shares in the 2015-
2017 period tends to
be negative to
exchange rate
One country study
hence limited
generalization.
Jaroenwiriyakul (2019).
trilateral relationship
among foreign
exchange rates, oil
prices, and stock
market returns in
Thailand
weekly data starts from 2
January 2008 to 22 May 2018
totally 543 observations.
Generalised Autoregressive
Conditional Heteroscedasticity
(GARCH)
Thailand
foreign exchange rate
is the only factor with
a significant negative
impact on stock
market returns and oil
prices.
One country study
hence limited
generalization
Journal of Economics, Finance and Business Analytics 2024; 2(1): 14-21 19
Dynamic conditional
correlation (DCC)
Hung (2022)
Volatility spillover
effects
between the stock
market and foreign
exchange market in
Hungary, Poland, the
Czech Republic,
Romania and Croatia.
Exponential Generalised
Autoregressive Conditional
Heteroskedasticity
(EGARCH.
The whole of the study period
covers from 1st April 2000 to
29th September
2017.
Hungary, Poland,
the
Czech Republic,
Romania and
Croatia.
Bidirectional,
unidirectional and no
volatility spillover
between stock and
foreign
exchange market of
Hungary, Croatia and
Czech Republic
respectively Further,
Croatia, Romamia,
Czech, Hungary
showed positive
spillover
Mixed findings
hence not
conclusive
Guler, D. (2020).
Impact of the Turkish
Lira to U.S. Dollar
(TRY/USD) exchange
rate volatility on the
Borsa Istanbul 100
Index return.
A simple Ordinary Least
Squares (OLS) model
Bivariate Asymmetric
Quadratic GARCH model
employed. daily data during
the period over July 2005 -
April 2020.
Turkey
A positive impact of
the exchange rate
volatility on the return
volatility.
One country
hence limited
generalization to
other countries
Keshtgar, Nafiseh;
Pahlavani, Mosayeb;
Mirjalili, Seyed Hossein
(2020)
Impact of exchange
rate volatility as a
determinant of banks'
performance.
2007-2017 for 14 Iranian
banks. GARCH
Panel data method
Iran
Random exchange
rate volatility has a
negative and
statistically significant
effect on banks'
capital return ratio.
Dependent
variable was not
Stock market
index
Mishra (2019)
Impact of stock
exchange, foreign
exchange as well as
crude oil in Japanese
and Indian financial
market
generalised autoregressive
conditional
heteroskedasticity dynamic
conditional correlation
(GARCH-DCC). Daily trading
data of ten years from 2007 to
2017.
Japanese and India
Forex volatility
significantly and
positively explained
stock market returns
He, Gokmenoglu,
Kirikkaleli and Rizvi
(2023)
causal relationship
between the Turkish
stock market returns
and foreign exchange
rates.
wavelet coherence approach.
period from April 2000 to
March 2019
Turkey
negative correlation
between the Turkish
stock market and
foreign exchange
rates
A unidirectional
causality runs
from the Turkish
stock market to
foreign exchange
rates.”
Table 4: Country-wise effect of foreign exchange volatility on stock market Returns
Effect
Developed Nations
Developing and Emerging Nations
Negative
Turkey
India, Tunisia, Pakistan, Indonesia, Thailand, Iran
Positive
China, Korea, Germany, Japan and the
United States.
Nigeria, Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and United Arab Emirates, South
Africa, Croatia, Romamia, Czech, Hungary
4. Discussion
4.1 Effect of Foreign Exchange Volatility on Stock Market Returns
The first objective sought to establish the effect of foreign exchange volatility on stock market returns. The findings
presented in Table 3 showed that the effect of foreign exchange rate on stock market returns was mixed with some studies
revealing positive effect while others revealing inverse relationship. Studies of Sreenu (2023); Mechri, Hamad and Peretti
(2019); Sreenu, Rao and Naik (2022); Ali., Mangla, Rehman., Xue, Naseem and Ahmad (2020); He, Gokmenoglu, Kirikkaleli
and Rizvi (2023) showed negative effect of foreign exchange volatility on stock market returns. Consequently, Odiche (2022);
Alenezi., Alqatan and Phiri (2020); Guler (2020); Mishra (2019) showed a positive effect of foreign exchange volatility on
stock exchange returns. Further, the researcher established that the results for India were contradictory, with both positive
(Mishra, 2019) and negative (Sreenu, 2023; Sreenu, Rao & Naik, 2022) outcomes. On looking further, researcher observed that
the 2008 financial crisis had an effect on the exchange rate, which contributed in conflicting findings for India.
4.2 Difference in effect between Developing and Developed Countries
The second objective sought to examine the relationship between foreign exchange volatility and stock market returns across
developing and developed countries to see whether there is a difference in the outcomes. Except for Turkey, foreign exchange
20 Obuya et al: Effect of Foreign Exchange Volatility on Returns from Stock Market: A Systematic Review
rate volatility had a positive impact on stock market returns for the majority of developed countries. This may be attributed to
the fact that when forex markets experience higher volatility, it often indicates increased uncertainty and risk in the global
economic environment. Investors may seek alternative assets that are perceived as safer during times of high uncertainty, such
as stocks in developed economies or those denominated in stable currencies. This can lead to increased demand for stocks and
higher returns. Further, the researcher noted that the majority of developing countries have a positive effect. The explanation
for this may be that forex volatility can be an indicator of increased global economic uncertainty and risk. During periods of
high volatility, investors may seek higher returns in riskier assets, such as stocks in developing countries, as they perceive them
to have the potential for greater returns. In addition, higher volatility in forex markets may be associated with fluctuations in
commodity prices, presenting opportunities for investors to capitalize on potential stock market gains.
5. Conclusions and Recommendations
5.2 Conclusion
This review paper examined the effect of foreign exchange volatility on stock market returns using literature from across
world from. The study established that country-wise relationship foreign exchange rate volatility and stock market was positive
for some studies and inverse for other studies. Foreign exchange rate volatility tended to have positive impact on stock market
returns for the majority of developed countries. The study thus concludes in period of high volatile foreign exchange rate,
investors may seek alternative assets that are perceived as safer during times of high uncertainty, such as stocks in developed
economies or those denominated in stable currencies. In addition, the researcher noted that the majority of developing and
emerging countries showed positive effect of foreign exchange volatility on stock market returns. The study concludes that a
higher volatility in forex markets may be associated with fluctuations in commodity prices, presenting opportunities for
investors to capitalize on potential stock market gains in developing countries.
5.3 Recommendation
5.3.1 Recommendation for Practice
This study would raise investor understanding of the effect of foreign exchange on the stock market, as well as analysts and
educators in the field of economics and finance. Since foreign exchange rate volatility tended to have positive effect in stock
market in developed nations, investors looking to safer and more stable returns should invest in stable stocks in developed
nations. This investigation would provide valuable assistance to a wide range of investors in their process of making
investment choices in both the domestic and foreign markets. Additionally, it would offer support in the management of funds
and the selection of stock portfolios by pension fund and mutual fund companies. Moreover, it is essential for the government
to develop effective strategies to reduce the negative impacts of fluctuations in foreign exchange rates on the returns of the
stock market. This can be achieved by implementing measures such as strengthening the domestic currency to safeguard it
against adverse volatility.
5.3.2 Recommendations for Future Research
A study may be carried out on other factors such as macroeconomic variables and crude oil prices to see how they affect
stock market returns. Furthermore, the effect of macroeconomic factors specific to sectoral indices may aid in portfolio
diversification strategy across multiple sectors. Since it incorporates a variety of macroeconomic variables and their
relationship with the stock market. Emerging economies, such Kenya have a greater opportunity to investigate the effect on
thematic indices under the stock market to establish whether volatility in foreign exchange rate affects different indices
differently.
References
[1] [1] Ahmad, Ibraheem, Ilu. (2020). Exchange Rate Pass through to Stock Prices: A Multi GARCH Approach.
[2] Cao,H.(2023). The Market-Based Probability of Stock Returns. doi: 10.48550/arxiv.2302.07935
[3] Fransiskus, X, Lara, Aba. (2018). The Influence of Exchange Rate and Inflation on Stock Return Volatility. Research Journal of
Finance and Accounting, 9(18):139-145.
[4] Guler, D. (2020). The impact of the exchange rate volatility on the stock return volatility in turkey. Eurasian Journal of Business and
Management, 8(2), 106-123.
[5] Hatem, B. S. (2017). How can we measure stock market returns? An international comparison. International Business Research, 10(5),
121-126.
[6] He, X., Gokmenoglu, K. K., Kirikkaleli, D., & Rizvi, S. K. A. (2023). Co‐movement of foreign exchange rate returns and stock market
Journal of Economics, Finance and Business Analytics 2024; 2(1): 14-21 21
returns in an emerging market: Evidence from the wavelet coherence approach. International Journal of Finance & Economics, 28(2),
1994-2005.
[7] Hung, N. T. (2022). Spillover effects between stock prices and exchange rates for the central and eastern European countries. Global
Business Review, 23(2), 259-286.
[8] Keshtgar, N., Pahlavani, M., & Mirjalili, S. H. (2020). The impact of exchange rate volatility on banking performance (case of Iran).
International Journal of Business and Development Studies, 12(1), 39-56. https://doi.org/10.22111/ijbds.2020.5436.
[9] Kuhe, D. A., Aarga, J. T., & Ayigege, I. T. (2018). Modeling Volatility of Exchange Rates Returns in the Nigerian Foreign Exchange
Market in the Presence of Non-Gaussian Errors. Nigerian Annals of Pure and Applied Sciences, 1, 246-258. doi: 10.46912/NAPAS.31
[10] Dewanti, L. A., Rusmita, S. A., & Abd Samad, K. (2022). Sensitivity islamic stock return in asia: the effect of exchange rate volatility.
Journal of Islamic Economics and Business, 8(2):302-317. doi: 10.20473/jebis.v8i2.39018
[11] Liu, Z., Dashti Moghaddam, M., & Serota, R. A. (2019). Distributions of historic market data–stock returns. The European Physical
Journal B, 92, 1-10.
[12] Manu, K. S., & Bhaskar, P. (2018). Effect of exchange rates volatility on stock market performance. Asian Journal of Management,
9(4), 1337-1341. doi: 10.5958/2321-5763.2018.00212.3
[13] Alenezi, M., Alqatan, D. A., & Phiri, O. (2020). The sensitivity of GCC firms’ stock returns to exchange rate, interest rate, and oil price
volatility. Corporate Ownership and Control, 17(4):35-50. doi: 10.22495/COCV17I4ART3
[14] Md., Mahfuzur, Rahman, Khan. (2020). Factors influencing Decisions of Investors to invest in Stock Market: Evidence from Dhaka
Stock Exchange. doi: 10.46568/KUBRJ.V1I2.21
[15] Mishra, A. (2019). Crude oil, stock market, and foreign exchange return volatility and spillover: A GARCH DCC analysis of Indian
and Japanese financial market. International Journal of Business Innovation and Research, 20(1), 25-46.
[16] Nenavath, Sreenu. (2023). Effect of Exchange Rate volatility and inflation on stock market returns Dynamics - evidence from India.
International Journal of Systems Assurance Engineering and Management, doi: 10.1007/s13198-023-01914-3
[17] Nesrine, Mechri., Salah, Ben, Hamad., Christian, Peretti. (2019). The Impact of the Exchange Rate Volatilities on Stock Market
Returns Dynamic. Research Papers in Economics,
[18] Ngo Thai, H. (2019). Dynamics of volatility spillover between stock and foreign exchange market: empirical evidence from Central
and Eastern European Countries. ECONOMY AND FINANCE: ENGLISH-LANGUAGE EDITION OF GAZDASÁG ÉS PÉNZÜGY,
6(3), 244-265.
[19] Olkhov, V. (2023). The Market-Based Probability of Stock Returns. arXiv preprint arXiv:2302.07935.
[20] Rizwan, Ali., Inayat, Ullah, Mangla., Ramiz, Ur, Rehman., Wuzhao, Xue., Muhammad, Akram, Naseem., Muhammad, Ishfaq, Ahmad.
(2020). Exchange Rate, Gold Price, and Stock Market Nexus: A Quantile Regression Approach. 8(3):86-. doi:
10.3390/RISKS8030086
[21] Sirikwan, Jaroenwiriyakul. (2019). Trilateral relationship among foreign exchange rates, oil prices, and stock returns in thailand: a
dynamic approach. 10(1):145-156.
[22] Sreenu, N., Rao, K. S., & Naik, S. (2022). Impact of Exchange Rate and Inflation Rate on Stock Market Return Volatility in India.
Academy of Marketing Studies Journal, 26, 1-11.
[23] Sukmayana, D., Purnamasari, L., & Ikhsan, S. (2022). Impact of Macroeconomic Movements on Changes in Stock Returns.
International Journal of Social Science and Business, 6(4), 462-468.
[24] Tabash, M. I., Farooq, U., Safi, S. K., Shafiq, M. N., & Drachal, K. (2022). Nexus between Macroeconomic Factors and Economic
Growth in Palestine: An Autoregressive Distributed Lag Approach. Economies, 10(6), 145.
[25] Bouazizi, T., Mrad, F., Hamida, A., & Nafti, S. (2022). Effects of Conditional Oil Volatility on Exchange Rate and Stock Markets
Returns. International Journal of Energy Economics and Policy, doi: 10.32479/ijeep.12826.
[26] Bhargava, V., & Konku, D. (2023). Impact of exchange rate fluctuations on US stock market returns. Managerial Finance, doi:
10.1108/mf-08-2022-0387
[27] Wasiaturrahma, W., Putri, D. N., & Ajija, S. R. (2020). Impact of Exchange Rate Volatility to Stocks’ Return in Indonesia: The
Augmented Markov-Switching Egarch Approach. Journal Ekonomi Pembangunan: Kajian Masalah Ekonomi dan Pembangunan,
21(2):161-173. doi: 10.23917/JEP.V21I2.8781
[28] Odiche, W. (2022) (2022). An interplay of oil price volatility, exchange rate and stock returns in Nigeria. Journal of global economics,
management & business research, 24-38. doi: 10.56557/jgembr/2022/v14i38048