Co-movement between equity index and exchange rate: Fresh evidence from COVID-19 era

The effects of COVID-19 on the interrelationship among oil prices, stock prices and exchange rates in selected oil exporting economies

“… Syahri and Robiyanto (2020) also, confirmed negative dynamic impact of exchange rate on stock returns. The results however, contradict the findings in Narayan et al (2020) and Amewu et al (2022) who documented positive significant co-movement between stock returns and exchange rates.…”

“…Our results are consistent with the findings documented in Thorbecke (2021) , Narayan et al (2020) , Camba and Camba (2020) , Aslam et al (2020) , Syahri and Robiyanto (2020) , Hoshikawa and Yoshimi (2021) , Prabheesh and Kumar (2021) , Amewu et al (2022) , Narayan (2022) . For example, Syahri and Robiyanto (2020) found significant relationship between exchange rate and composite stock price index during the coronavirus era; Aslam et al (2020) confirmed that the efficiency of the foreign exchange market for six major global currencies declined during the earlier part of the COVID-19 pandemic; Narayan et al (2020) recorded significant dynamic correlation between the Japanese Yen and the stock market returns, as the Yen depreciated against the US dollar, the returns on stock market improved in Japan.…”

“…Hoshikawa and Yoshimi (2021) concluded that the coronavirus infection intensified the volatility in stock prices and caused the South Korean won to depreciate in value. Amewu et al (2022) recently established the dynamic correlation between exchange rate and stock index, even though the intensity tends to fizzle within the medium term. Narayan (2022) documented that in the period of the COVID-19 pandemic, total fluctuation in exchange rate spill-over accounted for about 37.7% of the variations in foreign exchange market, whereas 26.1% of the variations was accounted for in the period prior to the disease outbreak.…”

“…The impact was higher during the pandemic than in the pre-pandemic crisis period. Amewu et al (2022) examined the correlation between the composite equity stock index in Ghana and exchange rate during the COVID-19 era; they find a strong co-movement between the series, but the relationship is short-lived with short memory. In study for the pre – and during – COVID-19 periods, Asaad (2021) however did not find any significant relationship between exchange rate and stock market prices in the case of Iraq.…”

Iraqi Stock Exchange Reactions to the Oil price, Covid-19 Aftermath, and the Saudi Stock Exchange Movements pre-during Vaccination Program

“…Furthermore, there is almost consensus among studies results during covid-19 that an increase rapidly in the number of covid-19 deaths led to a decline in financial assets value except for gold (Kyriazis, 2021). A number of studies found during the Covid-19 the relatedness and interdependence among the regional or global stock market indicators (Youssef et al, 2021;Al-Najjar, 2022), while a few studies' results indicated weak connectedness and inverse relationship between the local and the international equity markets even under the impact of the Covid-19 pandemic (Amewu et al, 2022;Das and Gupta, 2022). Not very many studies during the Covid-19 found a negative relationship between the currency exchange rate and the stock market (Syahri and Robiyanto, 2020;Nwosa, 2021), while no study mentioned any positive relationship between the exchange rate and stock market during the pandemic, but some indicated that there was no evidence of any interaction at all (Chaudhry et al, 2021;Kumar and Robiyanto, 2021).…”