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Causality and dynamic relationships between exchange rate and stock market indices in BRICS countries
16 references·2 citing·46 second hop
Causality and dynamic relationships between exchange rate and stock market indices in BRICS countries (2020)Causality and dynamic relationships betwe…Volatility spillovers between foreign exchange and stock markets in industrialized countries (2018)Volatility spillovers between…Capital, funding liquidity, and bank lending in emerging economies: An application of the LSDVC approach (2018)Capital, funding liquidity, a…Real exchange rate returns and real stock price returns (2017)Real exchange rate returns an…Do financial structures affect exchange rate and stock price interaction? Evidence from emerging markets (2017)Do financial structures affec…Do exchange rate changes have symmetric or asymmetric effects on stock prices? (2016)Do exchange rate changes have…The nonlinear relationships between stock indexes and exchange rates (2015)The nonlinear relationships b…Spillover effects between exchange rates and stock prices: Evidence from BRICS around the recent global financial crisis (2015)Spillover effects between exc…Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach (2015)Exchange rate uncertainty and…Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries (2013)Exchange rate movements and s…Joint dynamics of foreign exchange and stock markets in emerging Europe (2011)Joint dynamics of foreign exc…Causal relationship between stock prices and exchange rates (2011)Causal relationship between s…Asymmetric volatility of stock returns during the Asian crisis: Evidence from Indonesia (2005)Asymmetric volatility of stoc…Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence (2000)Volatility Spillovers 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…Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Some Tests of Specification f…ON EXCHANGE RATE CHANGES AND STOCK PRICE REACTIONS (1990)ON EXCHANGE RATE CHANGES AND …Economic integration and stock market linkages: evidence from South Africa and BRIC (2023)Economic integration and stoc…Co‐movement of foreign exchange rate returns and stock market returns in an emerging market: Evidence from the wavelet coherence approach (2021)Co‐movement of foreign exchan…THE RELATIONS AMONG EQUITY MARKETS: A STUDY OF SHARE PRICE CO‐MOVEMENTS IN THE UNITED STATES, UNITED KINGDOM, GERMANY AND JAPAN (1972)INVESTOR RECOGNITION OF CORPORATE INTERNATIONAL DIVERSIFICATION (1977)Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries (2002)EXCHANGE RATES AND STOCK PRICES: A STUDY OF THE US CAPITAL MARKETS UNDER FLOATING EXCHANGE RATES (2003)Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets (2006)The relationship between stock price index and exchange rate in Asian markets: A quantile regression approach (2012)Empirical exchange rate models of the seventies (1983)Generalized impulse response analysis in linear multivariate models (1998)Applied Time Series Econometrics (2004)Stock and foreign exchange market linkages in emerging economies (2013)Revisiting the dynamic relationship between exchange rates and stock prices in BRICS countries: A wavelet analysis (2017)Exchange Rate and Stock Prices Volatility Connectedness and Spillover during Pandemic Induced-Crises: Evidence from BRICS Countries (2023)Specification Tests in Econometrics (1978)Another look at the instrumental variable estimation of error-components models (1995)Initial conditions and moment restrictions in dynamic panel data models (1998)Econometric Analysis of Cross Section and Panel Data (2001)Exchange Rates and the Current Account. (1980)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Time-Varying World Market Integration (1995)Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis (2015)Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries (2016)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)International portfolio flows and exchange rate volatility in emerging Asian markets (2017)Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses (2018)Geopolitical risks and historical exchange rate volatility of the BRICS (2021)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Dollar exchange rate and stock price: evidence from multivariate cointegration and error correction model (2003)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2008)Multivariate granger causality between electricity consumption, exports and GDP: Evidence from a panel of Middle Eastern countries (2008)Bounds testing approaches to the analysis of level relationships (2001)LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Time–frequency causality between stock prices and exchange rates: Further evidences from cointegration and wavelet analysis (2017)Volatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries (2020)Monetary policy uncertainty and stock returns in G7 and BRICS countries: A quantile-on-quantile approach (2021)Economic Forces and the Stock Market (1986)Does the Russia-Ukraine War Lead to Currency Asymmetries? A US Dollar Tale (2022)Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Testing for Granger non-causality in heterogeneous panels (2012)Exchange rates and stock markets in emerging economies: new evidence using the Quantile-on-Quantile approach (2021)The effects of COVID-19 on the interrelationship among oil prices, stock prices and exchange rates in selected oil exporting economies (2022)Asymmetric Volatility Spillovers: Revisiting the Diebold-Yilmaz (2009) Spillover Index with Realized Semivariance (2013)Asymmetric volatility connectedness on the forex market (2017)
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References

  • 1991Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations33,089 cited
  • 1997Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines466 cited
  • 2000Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence281 cited
  • 2013Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries275 cited
  • 1990ON EXCHANGE RATE CHANGES AND STOCK PRICE REACTIONS257 cited
  • 2015Spillover effects between exchange rates and stock prices: Evidence from BRICS around the recent global financial crisis170 cited
  • 2016Do exchange rate changes have symmetric or asymmetric effects on stock prices?159 cited
  • 2017Real exchange rate returns and real stock price returns113 cited
  • 2015Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach91 cited
  • 2011Joint dynamics of foreign exchange and stock markets in emerging Europe85 cited
  • 2011Causal relationship between stock prices and exchange rates83 cited
  • 2018Capital, funding liquidity, and bank lending in emerging economies: An application of the LSDVC approach59 cited
  • 2017Do financial structures affect exchange rate and stock price interaction? Evidence from emerging markets53 cited

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  • 2005Asymmetric volatility of stock returns during the Asian crisis: Evidence from Indonesia39 cited
  • 2015The nonlinear relationships between stock indexes and exchange rates37 cited
  • 2018Volatility spillovers between foreign exchange and stock markets in industrialized countries32 cited
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    • 2021Co‐movement of foreign exchange rate returns and stock market returns in an emerging market: Evidence from the wavelet coherence approach51 cited
    • 2023Economic integration and stock market linkages: evidence from South Africa and BRIC17 cited