Rehana Kouser

Asymmetrical Linkages between Foreign Exchange and Stock Markets: Empirical Evidence through Linear and Non-Linear ARDL

The symmetrical relationship between currency and equity markets has gained much attention among academicians and policy makers in the recent era. Many studies conducted on this relationship have concluded that there is short-run relationship between these variables and found less evidence about a long-run relationship. Moreover, all previous studies supposed the linear or symmetrical relationship between these variables. In this study, we use daily time series data from G8+5 countries and Pakistan for 2000–2016 and apply linear and non-linear autoregressive distributed lag (ARDL) to check the symmetrical and asymmetrical relationship between currency and equity markets. Results have shown that there are asymmetrical linkages between the currency and equity markets.

Impact of Short Selling on Volatility of Individual Stocks and Aggregate Market: Empirical Evidence from China.

This paper explored the linkage between short selling and market stabilization. While financial and economic theory advocates the positive role played by short sellers for market stabilization, short sellers are frequently blamed for causing market decline and increasing the panic in falling markets. Chinas regulators allowed short selling in 2010 and this reform provided us an interesting data set to check whether short sellers destabilize the market or play a positive role. By using asymmetric TGARCH model on daily return data of Shanghai Stock Exchange 50 index from January 5, 2007 to June 11, 2012, and taking into account Day-of-the-Week effect, financial crisis and regional and international spillovers, we found robust evidence that short sale trading reduces the volatility and stabilizes the market. Our findings have implications for Chinas regulators in policy making as well investors in the Chinese stock market in portfolio development.