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A long-run relationship between stock price index and exchange rate: A structural nonparametric cointegrating regression approach
14 references·16 citing·40 second hop
A long-run relationship between stock price index and exchange rate: A structural nonparametric cointegrating regression approach (2013)A long-run relationship between stock pri…Dynamic relationship between exchange rate and stock price: Evidence from China (2009)Dynamic relationship between …Stock prices and exchange rate dynamics (2005)Stock prices and exchange rat…Dollar exchange rate and stock price: evidence from multivariate cointegration and error correction model (2003)Dollar exchange rate and stoc…Dynamic relationship between stock prices and exchange rates for G-7 countries (2001)Dynamic relationship between …A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)A bivariate causality between…Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines (1997)Exchange rate and stock price…ON THE DYNAMIC RELATION BETWEEN STOCK PRICES AND EXCHANGE RATES (1996)ON THE DYNAMIC RELATION BETWE…Stock prices and the effective exchange rate of the dollar (1992)Stock prices and the effectiv…MONETARY AND PORTFOLIO-BALANCE MODELS OF EXCHANGE RATE DETERMINATION (1992)MONETARY AND PORTFOLIO-BALANC…Economic interdependence and flexible exchange rates (1984)Economic interdependence and …Economic Interdependence and Flexible Exchange Rates (1984)Economic Interdependence and …Exchange Rates and the Current Account. (1980)Exchange Rates and the Curren…A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence (1977)A Monetary Approach To The Ex…A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence (1976)A Monetary Approach to the Ex…The impact of climate change news on the US stock market (2024)The impact of climate change …The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies (2022)The nonlinear and negative ta…The impact of real exchange rates on real stock prices (2022)The impact of real exchange r…The Regime-Switching Behaviour of Exchange Rates and Frontier Stock Market Prices in Sub-Saharan Africa (2021)The Regime-Switching Behaviou…Oil price changes, uncertainty, and geopolitical risks: On the resilience of GCC countries to global tensions (2021)Oil price changes, uncertaint…Exchange rates and stock markets in emerging economies: new evidence using the Quantile-on-Quantile approach (2021)Exchange rates and stock mark…Volatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries (2020)Volatility spillover effects …The impact of exchange rates on stock market returns: new evidence from seven free-floating currencies (2019)The impact of exchange rates …Stock prices, exchange rates and portfolio equity flows (2019)Stock prices, exchange rates …Interactions between stock prices and exchange rates: An application of multivariate VAR-GARCH model (2019)Interactions between stock pr…Asymmetric impact of exchange rate changes on stock returns: evidence of twode factoregimes (2019)Asymmetric impact of exchange…Volatility spillovers between real exchange rate returns and real stock price returns in Malaysia (2018)Volatility spillovers between…Foreign direct investment and stock market development (2018)Foreign direct investment and…Real exchange rate returns and real stock price returns (2017)Real exchange rate returns an…On the relation between stock prices and exchange rates: a review article (2015)On the relation between stock…Stock and foreign exchange market linkages in emerging economies (2013)Stock and foreign exchange ma…The Purchasing-Power Parity Doctrine: A Reappraisal (1964)Theoretical Notes on Trade Problems (1964)On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials (1979)The Economics of Exchange Rates (2003)The Purchasing Power Parity Debate (2004)The Quarterly Journal of Economics (2024)Autoregressive modelling and money-income causality detection (1981)DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)THE BANGLADESH DEVELOPMENT STUDIES (2009)CNNpred: CNN-based stock market prediction using a diverse set of variables (2019)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Distribution 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and Economic Forecasts (1990)Dynamic analysis between the US stock returns and the macroeconomic variables (2007)Multivariate granger causality between electricity consumption, exports and GDP: Evidence from a panel of Middle Eastern countries (2008)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Statistical analysis of cointegration vectors (1988)Downside and upside risk spillovers between exchange rates and stock prices (2015)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach (2011)Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries (2013)On the Empirics of Sudden Stops: The Relevance of Balance-Sheet Effects (2004)International Liquidity and Exchange Rate Dynamics * (2015)Heterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine (2022)Purchasing Power Parity in the Long Run (1990)The behavior of real exchange rates during the post-Bretton Woods period (1998)Exchange Rates and Fundamentals (2005)
this work references cited by second hop

References

  • 1980Exchange Rates and the Current Account.1,042 cited
  • 1977A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence981 cited
  • 1976A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence824 cited
  • 2000A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆785 cited
  • 1992Stock prices and the effective exchange rate of the dollar489 cited
  • 2001Dynamic relationship between stock prices and exchange rates for G-7 countries472 cited
  • 1997Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines466 cited
  • 2005Stock prices and exchange rate dynamics459 cited
  • 1992MONETARY AND PORTFOLIO-BALANCE MODELS OF EXCHANGE RATE DETERMINATION438 cited
  • 1996ON THE DYNAMIC RELATION BETWEEN STOCK PRICES AND EXCHANGE RATES427 cited
  • 1984Economic Interdependence and Flexible Exchange Rates286 cited
  • 2003Dollar exchange rate and stock price: evidence from multivariate cointegration and error correction model274 cited
  • 1984Economic interdependence and flexible exchange rates264 cited
  • 2009Dynamic relationship between exchange rate and stock price: Evidence from China262 cited

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Cited by

  • 2015On the relation between stock prices and exchange rates: a review article131 cited
  • 2017Real exchange rate returns and real stock price returns113 cited
  • 2021Oil price changes, uncertainty, and geopolitical risks: On the resilience of GCC countries to global tensions108 cited
  • 2020Volatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries90 cited
  • 2021Exchange rates and stock markets in emerging economies: new evidence using the Quantile-on-Quantile approach60 cited
  • 2013Stock and foreign exchange market linkages in emerging economies59 cited
  • 2018Foreign direct investment and stock market development54 cited
  • 2022The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies44 cited
  • 2019The impact of exchange rates on stock market returns: new evidence from seven free-floating currencies36 cited
  • 2022The impact of real exchange rates on real stock prices31 cited
  • 2024The impact of climate change news on the US stock market25 cited
  • 2019Stock prices, exchange rates and portfolio equity flows24 cited
  • 2018Volatility spillovers between real exchange rate returns and real stock price returns in Malaysia22 cited
  • 2019Asymmetric impact of exchange rate changes on stock returns: evidence of twode factoregimes21 cited
  • 2019Interactions between stock prices and exchange rates: An application of multivariate VAR-GARCH model21 cited
  • 2021The Regime-Switching Behaviour of Exchange Rates and Frontier Stock Market Prices in Sub-Saharan Africa20 cited