Global Financial Crisis in Effecting Asymmetrical Co-integration between Exchange Rate and Stock Indexes of South Asian Region: Application of Panel Data NARDL and ARDL Modelling Approach with Asymmetrical Granger Causility

Sheikh, Umaid A.; Tabash, Mosab I.; Asad, Muzaffar

doi:10.1080/23311975.2020.1843309

Cited by 10 publications

(6 citation statements)

References 59 publications

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“…At international level financial market interdependence and linkages have great implication. If an event occur generally in the world particularly in the USA market it will certainly effect the other financial market of the globe (Sheikh et al, 2020). Aliu and Dehning, (2017) analyzed the automotive industry of the risk and return trade off.…”

Section: Literature Reviewmentioning

confidence: 99%

Stock Market Co-Movements between CPEC Economies: A Wavelet based Approach

2022

JDSS

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This research investigates the co-movement of Stock Market Returns between China and Pakistan in the prospective of China Pakistan Economic Corridor. In this study, individual power spectrum, cross and wavelet coherence are used for analyzing co-movement of stock returns between Pakistan and Shanghai at the aggregate level. Wavelet methodology enables the simultaneous examination of the behavior of a time-series in both frequency and time spaces. The daily data for this study is retrieved from the data stream that ranges from January 1, 2007 until May 30, 2022. The wavelet coherence technique reveals that there is strong positive co-movement at the aggregate level in different times, which is a good sign for the investors and policy makers to diversify their investment for getting maximum benefits. The results have an important implication for the fund managers, policy makers, investors and that encourages the portfolio diversification.

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Section: Literature Reviewmentioning

confidence: 99%

Stock Market Co-Movements between CPEC Economies: A Wavelet based Approach

2022

JDSS

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“…The authors demonstrated that the relationship between them is not only nonlinear but also regime dependent. In another relevant study conducted in the context of a developing country, Sheikh et al (2020a) investigated the association between stock indexes and currency value fluctuation and found that it is not only regime dependent but also asymmetrical in nature. Furthermore, the authors claimed that during the 2008 financial crisis, Pakistani shareholders' reactions to both positive and negative shocks to currency variations changed (Sheikh et al 2020a).…”

Section: Literature Reviewmentioning

confidence: 99%

“…In another relevant study conducted in the context of a developing country, Sheikh et al (2020a) investigated the association between stock indexes and currency value fluctuation and found that it is not only regime dependent but also asymmetrical in nature. Furthermore, the authors claimed that during the 2008 financial crisis, Pakistani shareholders' reactions to both positive and negative shocks to currency variations changed (Sheikh et al 2020a). Chkir et al (2020) explored the interrelationship between exchange rate variations, stock market indexes, and oil-price fluctuations by employing Vine cupolas methodology.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The international economic recession has not only affected developed economies but also adversely impacted the stock indexes of developing regions of the world (Athukorala and Chongvilaivan 2010;Makin 2019;Sheikh et al 2020a). According to a Federal Reserve Bank of San Francisco report, there were three noteworthy aspects of the rapid historic crisis in exporting shipments to Asia from different parts of the world in the wake of the economic recessionary regime of 2008.…”

Section: Introductionmentioning

confidence: 99%

“…Third, some studies (Andriansyah and Messinis 2019;Xie et al 2020) have placed a strong emphasis on panel-based estimation for the influence of exchange rate variations on the stock indexes but neglected the influence of the financial crisis on influencing the connotations between stock market indexes and currency value variations of the topperforming economies of the Southeast Asian region in asymmetric ways. However, Sheikh et al (2020a) found that the heterogeneous nonlinear panel-based ARDL model is deemed more appropriate in establishing nonlinear associations between currency value fluctuations and stock indexes for the South Asian region by dividing the total time frame into multiple regimes. Therefore, this is the first study that has explained that 2008 financial crisis has affected the asymmetrical causality, moving from the positive and negative currency rate shocks toward the ASEAN-5 equity market.…”

Section: Introductionmentioning

confidence: 99%

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Do Financial Crises Matter for Nonlinear Exchange Rate and Stock Market Cointegration? A Heterogeneous Nonlinear Panel Data Model with PMG Approach

Tabash

Sheikh

Matar

et al. 2022

IJFS

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The existing literature has explained the causality flow from the exchange rates toward the stock market without explaining the role of the economic crisis in effecting this nexus. This study examines the role of the financial crisis in affecting the nonlinear causality flowing from the exchange rates toward the stock market indexes of the ASEAN-5 region. The precrisis, postcrisis, and overall sample duration comprised 365, 650, and 1085 observations over the periods from January 2002 to January 2008, January 2010 to January 2020, and January 2002 to January 2020, respectively. The results showed that the conventional symmetrical panel ARDL (PARDL) model was not able to formulate long-run cointegration between currency value fluctuations and stock market indexes for both regimes, i.e., the post recessionary and pre recessionary periods. However, asymmetrical cointegration was established between the currency values and stock market indexes for the pre recessionary period and the overall sampling time frame by utilizing the panel-based NARDL framework (PNARDL). The study suggests practical implications for the exporters and importers to consider the regime as well as both the negative and positive shocks in the international dollar values while making forward contractual agreements.

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