Linkages Between the Foreign Exchange Markets of BRIC Countries—Brazil, Russia, India and China—and the USA

Aroul, Ramya Rajajagadeesan; Swanson, Peggy E.

doi:10.1177/0972652718800081

Cited by 10 publications

(8 citation statements)

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“…Among the strong currencies, US dollar, Euro, pound, and yen exhibit substantial mean and volatility spillovers towards the Indian rupee (Dua & Suri, 2019). Similarly among the BRIC nations, the foreign exchange market of the USA exhibits a long-run cointegrating relationship with India and China (Aroul & Swanson, 2018).…”

Section: Background and Literature Reviewmentioning

confidence: 99%

Return and Volatility Spillover Effects between Rupee–Dollar Exchange Rate and Asian Stock Indices

Mahalakshmi

Thiyagarajan

Vasudevan

et al. 2022

Journal of Emerging Market Finance

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India is a major Asian economy that has attracted global investment due to its economic stability and relatively open financial markets. We investigate the return and volatility spillover effects between the Indian rupee against US dollar and stock index volatility in neighboring (Asian) nations. Consistent with the uncovered equity parity, we find that when the rupee depreciates against US dollar, the foreign institutional investors pull back their portfolio investments from other Asian markets and invest in Indian stock market, similarly if rupee appreciates they may divest their investments to gain profits. The unidirectional causality from the exchange rate to all stock indices is indicated by the causality in the mean approach. Our study shows a strong linkage between the currency value of a stable economy and the economies with which it has strong trade ties. Further, the results also show that investors adjust their position in the related markets during periods of currency appreciation and depreciation in an economy with significant growth prospects. JEL Codes: F31, D53, B23

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Section: Background and Literature Reviewmentioning

confidence: 99%

Return and Volatility Spillover Effects between Rupee–Dollar Exchange Rate and Asian Stock Indices

Mahalakshmi

Thiyagarajan

Vasudevan

et al. 2022

Journal of Emerging Market Finance

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“…Various other researchers have contributed to the study of relationships, or linkages, among futures markets worldwide using cointegration test and causality test to study the long-run and short-run relationship (Booth, Brockman, and Tse, 1998;X. Li and Zhang, 2009;Aroul and Swanson, 2018;Aruga and Managi, 2011). For the copper futures in London and the UK, both markets infl uence each other for being informationally linked.…”

Section: Linkages Between Commodity Futures Marketsmentioning

confidence: 99%

“…But when trading the commodities, and their derivatives are considered, the largest producer and consumer economies deserve to be studied, as they affect a major portion of the world market. Aroul and Swanson (2018) mention that India and China lead in the supply of manufactured goods and services among the emerging economies. They share a similar development history and have adjusted their political rigidity to keep themselves abreast with global capitalism (Aroul and Swanson, 2018).…”

Section: Introductionmentioning

confidence: 99%

“…Aroul and Swanson (2018) mention that India and China lead in the supply of manufactured goods and services among the emerging economies. They share a similar development history and have adjusted their political rigidity to keep themselves abreast with global capitalism (Aroul and Swanson, 2018). China is one of the largest importers of copper, which is mostly used in electrical conductivity.…”

Section: Introductionmentioning

confidence: 99%

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Indian and Chinese Metal Futures Markets: A Linkage Analysis

Kumar

Dhiman

2022

Acta Universitatis Sapientiae, Economics and Business

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This paper aims to test the long-run and short-run relationships between the Indian and Chinese metal futures markets using the weekly closing prices of three nonferrous metals, that is, copper, aluminium, and zinc, for the period of 2009–2020. The empirical results show no cointegration for any of the three metals. The Granger causality test suggests a unidirectional relationship from India to China for copper futures and bidirectional causality for aluminium and zinc futures markets. This paper contributes to the literature by studying the relationship between the mentioned two emerging markets, which are top producers and consumers in commodities and have growing futures markets. The results have important implications for investors, portfolio makers, and policymakers of emerging economies.

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“…In the modern literature it is difficult to find many studies on the participation of the BRICS countries on the Forex market. The issue was analyzed in the work of Jagadeesan & Swanson (2018), in which the relations between BRICS currencies and the US dollar were examined. This study facilitated better understanding of the currency relations between these countries.…”

Section: Literature Reviewmentioning

confidence: 99%

Countries of BRICS group on Forex market

Pasionek

2020

EiP

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Motivation:The globalization process has deepened the links between economies in the global socio-economic system. It has resulted in the shift of economic power from high developed countries to economies that have entered the path of fast socio-economic development, especially emerging markets. The emerging economies' dynamic economic growth empowers the reduction of the development gap in relation to high developed economies. In the context of emerging markets, the special importance is dedicated to socalled BRICS countries. The share of BRICS countries in total world production as well as in total global trade, increases. The huge population and the GDP growth per capita make these economies the important markets nowadays. The financial market, especially the foreign exchange market becomes more and more important in the world economy.Aim: The aim of the paper is to examine the participation of the BRICS countries in the global foreign exchange market. The paper assumes that the increase of the BRICS group importance on the global markets does not correspond with the increase in the importance of these economies currencies on the Forex market. The BRICS group's turnover in global foreign exchange turnover will be examined. In addition, the share of these currencies in the segments of particular types of transactions will be examined. Results: The importance of the BRICS group in the global economy is growing. However, this growth is not accompanied by growth of interest in currencies of this group on Forex market. The share of transactions concluded with the use of currencies of BRICS group was only 5% in 2019. Whereas, total currency turnover of the BRICS group countries was only 3% in 2019. The share of BRICS countries in individual market segments can be considered stable, yet insignificant.

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Linkages Between the Foreign Exchange Markets of BRIC Countries—Brazil, Russia, India and China—and the USA

Cited by 10 publications

References 54 publications

Return and Volatility Spillover Effects between Rupee–Dollar Exchange Rate and Asian Stock Indices

Return and Volatility Spillover Effects between Rupee–Dollar Exchange Rate and Asian Stock Indices

Indian and Chinese Metal Futures Markets: A Linkage Analysis

Countries of BRICS group on Forex market

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