Proceedings of the 1st International Conference on Business, Economic, and Social Sustainability (ICOBES 2025)

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Systematic Literature Review: The Dynamics of the Influence of Exchange Rates on Stock Returns and Its Implications on Global Financial Markets

Authors
Agung Nugroho1, *
1Universitas Sarjanawiyata Tamansiswa, Yogyakarta, Indonesia
*Corresponding author. Email: kotakpos5000@gmail.com
Corresponding Author
Agung Nugroho
Available Online 15 April 2026.
DOI
10.2991/978-94-6239-626-5_8How to use a DOI?
Keywords
Systematic Literature Review; Exchange Rate; Stock Returns; Market Volatility; Time-Varying Model
Abstract

This study presents a Systematic Literature Review (SLR) to analyze the effect of exchange rates on stock returns with a focus on dynamics that arise in various global economic contexts. By reviewing 48 articles published between 2021 and 2025, the study found that the relationship between exchange rates and stock returns is complex, influenced by factors such as global volatility, the structure of industrial sectors, and macroeconomic policies. Empirical findings suggest that the influence of exchange rates can vary between developed and developing countries, with exchange rate volatility having more effect on stock returns in emerging markets. The methodological approach used in this study includes advanced quantitative models, such as Time-Varying Parameter Vector Autoregressive (TVP-VAR), GARCH, and non-linear models that are able to describe dynamic and non-linear relationships. The article also highlights the importance of exchange rate risk management for investors and policymakers in the face of global economic uncertainty. The results of this study provide important insights for the development of more adaptive investment strategies and economic policies in an increasingly integrated market.

Copyright
© 2026 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 1st International Conference on Business, Economic, and Social Sustainability (ICOBES 2025)
Series
Advances in Economics, Business and Management Research
Publication Date
15 April 2026
ISBN
978-94-6239-626-5
ISSN
2352-5428
DOI
10.2991/978-94-6239-626-5_8How to use a DOI?
Copyright
© 2026 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Agung Nugroho
PY  - 2026
DA  - 2026/04/15
TI  - Systematic Literature Review: The Dynamics of the Influence of Exchange Rates on Stock Returns and Its Implications on Global Financial Markets
BT  - Proceedings of the 1st International Conference on Business, Economic, and Social Sustainability (ICOBES 2025)
PB  - Atlantis Press
SP  - 106
EP  - 117
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6239-626-5_8
DO  - 10.2991/978-94-6239-626-5_8
ID  - Nugroho2026
ER  -