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Impact of foreign exchange rate on stock returns - Dissertation Example

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Author : mcdermottbrigit
Finance & Accounting
Pages 13 (3263 words)


Dissertation, Finance and Accounting Impact of foreign exchange rate on stock returns Name: Course: Professor: Institution: City and State: Date: Chapter 5: findings and analysis 5.1 Introduction The ADF test was applied in this study to test the null hypotheses of unit root in each of the series…

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Impact of foreign exchange rate on stock returns

Table 1 reports the results of Augmented Dickey Fuller test of unit root for the stock indices and exchange rates of both the UK and Pakistan. The test has further been applied at different levels as well as in the first difference form. The findings will be reported in terms of each country starting with the UK first then Pakistan. Both the ADF and regression results will be presented for the country indices and then for each of the companies. This chapter is divided into several parts with the main parts comprising study findings for the UK (both ADF test and regression), study findings from Pakistan (ADF and regression), and finally the analysis section where these findings are discussed and analyzed. 5.2 Findings (UK) Augmented Dickey Fuller (ADF) Test Table 1 below presents ADF results for UK companies and GBP/USD rate. As is evident in the table, the results include the FTSE 100 index and ten major companies operating in the UK. Table 2 provides the findings of the ADF test for the national exchange rate (EX) of the GBP against the GBP. ...
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