An Assessment Of The Stock Market And Exchange Rate Dynamics In Industrialized And Emerging Markets

Beer, Francisca; Hebein, Fred

doi:10.19030/iber.v7i8.3283

Cited by 23 publications

(33 citation statements)

References 41 publications

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“…The unidirectional transmission of volatility between equity and currency market has been reported by following studies (Adjasi et al 2008;Antonakakis 2012;Beer and Hebein 2011;Chkili and Nguyen 2014;Ebrahim 2000;Fedorova and Saleem 2009;Kanas 2000;Kang and Yoon 2013;O'Donnell and Morales 2009;Okpara and Odionye 2012;Yang and Doong 2004;Yang and Chang 2008). Ebrahim (2000) empirically examined the flow of volatility of exchange rate on the developed equity markets.…”

Section: Review Of Literaturementioning

confidence: 94%

“…In this aspect, this study will be a novel contribution in reference to Sri Lanka. In context of China, Hong Kong, India and Japan, we have found many studies but with mixture of results like (Chkili 2012) and (Beer and Hebein 2011) reported contrasting results in case of Hong Kong. Similarly, (Mishra et al 2007) and (Beer and Hebein, 2011) found different results for India.…”

mentioning

confidence: 87%

“…In context of China, Hong Kong, India and Japan, we have found many studies but with mixture of results like (Chkili 2012) and (Beer and Hebein 2011) reported contrasting results in case of Hong Kong. Similarly, (Mishra et al 2007) and (Beer and Hebein, 2011) found different results for India. (Kanas 2000;Yang and Doong 2004) and (Beer and Hebein 2011;Francis et al 2006) found contrasting results for Japan.…”

mentioning

confidence: 87%

“…Similarly, (Mishra et al 2007) and (Beer and Hebein, 2011) found different results for India. (Kanas 2000;Yang and Doong 2004) and (Beer and Hebein 2011;Francis et al 2006) found contrasting results for Japan. Therefore there is still a gap to explore knowledge about the volatility spillover dynamics in the selected countries.…”

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confidence: 92%

“…Most of the studies have focused on the transmission of volatility between foreign exchange market and stock market. The developed countries have been extensively studied by most of researchers (see for example; Antonakakis 2012; Apergis and Rezitis 2001;Beer and Hebein 2011;Ebrahim 2000;Francis et al 2006;Grobys 2015;Kanas 2000;Yang and Doong 2004). There are also number of studies of integration of foreign exchange market and stock market of developing countries (for example; Choi et al 2010;Kang and Yoon 2013;Mishra et al 2007;Morales 2008;O'Donnell and Morales 2009;Qayyum and Kamal 2006;Yang and Chang 2008).…”

mentioning

confidence: 99%

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Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries

Jebran

Iqbal

2016

Financ Innov

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Section: Review Of Literaturementioning

confidence: 94%

mentioning

confidence: 87%

mentioning

confidence: 87%

mentioning

confidence: 92%

mentioning

confidence: 99%

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Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries

Jebran

Iqbal

2016

Financ Innov

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Volatility spillover between stock and foreign exchange market of China: evidence from subprime Asian financial crisis

Jebran

2018

JABS

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Purpose -This paper aims to examine the volatility spillover dynamics between stock and foreign exchange market of China considering subprime 2007 financial crisis period.Design/methodology/approach -This study considered daily data from January 2, 2002, to December 31, 2013. The sample period has been further divided into three periods; full sample period (January 2002-December 2013), pre-crisis period (January 2002-October 2007) and post-crisis period (October 2007-December 2013. This study opted Exponential Generalized Autoregressive Heteroskedasticity (EGARCH) model for the purpose of investigating asymmetric volatility spillover.Findings -The results obtained using the EGARCH model imply that volatility spillover dynamics varies from period to period. In full sample period, the results show evidence of significant unidirectional volatility spillover from foreign exchange market to stock market. In pre-crisis period, the results indicate unidirectional volatility spillover from stock market to foreign exchange market. However, in post-crisis period, the results reveal significant bidirectional volatility spillover between stock and foreign exchange market. Practical implications -The results of the study are important for policy makers because understanding the behavior of the financial markets, i.e. stock and foreign exchange market, would increase the success of policies implemented in a crisis situation. The results would help investors to formulate efficient portfolios. Originality/value -This study is an important contribution to the existing literature in terms of analyzing volatility spillover between stock and foreign exchange market in an emerging economy, China. Furthermore, this study explored the volatility spillover dynamics between the two markets by considering the pre and post subprime Asian crisis period.

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Effects of the COVID-19 pandemic on stock market returns and volatilities: evidence from selected emerging economies

Rakshit

Neog

2021

SEF

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Purpose The purpose of this paper is to investigate the effects of exchange rate volatility, oil price return and COVID-19 cases on the stock market returns and volatility for selected emerging market economies. Additionally, this study compares the market performance in the emerging economies during the COVID-19 pandemic with the pre-COVID and global financial crisis (GFC) period. Design/methodology/approach The authors apply the arbitrage pricing theory to model the risk-return relationship between the risk-based factors (exchange rate volatility and COVID-19 cases) and stock market returns. By applying the exponential generalized autoregressive conditional heteroskedasticity model, the study captures the asymmetric volatility spillover from the stock markets to foreign exchange markets and vice versa. Findings Findings reveal that exchange rate volatility exerts a negative and significant effect on the market returns in Brazil (BOVESPA), Chile (S&P CLX IPSA), India (SENSEX), Mexico (S&P BMV IPC) and Russia (MOEX) during the coronavirus pandemic. Regarding the effect of oil price returns, the authors find a positive relationship between oil price and stock market returns across all the economies in the study. The market returns of Russia, India, Brazil and Peru appeared more volatile during the pandemic than the GFC period. Practical implications As the exchange rate volatility is causing higher risk and uncertainty in the stock market’s performance, the central bank’s effort to maintain a stabilizing effect on the exchange rate sale can be proven crucial for the economies under consideration. Emphasized should also be given to boost investors’ confidence in the stock market, and for this, the government policy actions in reducing the transmission of the disease are the need of the hour. Originality/value While a large volume of literature on stock market performance in times of COVID-19 has emerged from developed economies, this study adds to the literature by exploring the emerging economies’ stock market performance during the COVID-19 pandemic. Unlike previous literature, this study examines the volatility spillover between stock and exchange rate markets in the worst affected emerging economies during the crisis.

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An Assessment Of The Stock Market And Exchange Rate Dynamics In Industrialized And Emerging Markets

Abstract: This paper adopts an Exponentional General

Cited by 23 publications

References 41 publications

Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries

Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries

Volatility spillover between stock and foreign exchange market of China: evidence from subprime Asian financial crisis

Effects of the COVID-19 pandemic on stock market returns and volatilities: evidence from selected emerging economies

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