Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach

Chkili, Walid; Aloui, Chaker; Masood, Omar; Fry, John

doi:10.1016/j.ememar.2011.04.003

Cited by 179 publications

(100 citation statements)

References 58 publications

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“…They asserted that exchange rates impact stock prices negatively via capital mobility. In another study, Walid et al (2011) utilizing Markov switching EGARCH model and observing four countries (Hong Kong, Singapore, Malaysia and Mexico) found support for portfolio-balance approach since exchange rate has negative sign in the mean equation in all four countries. They concluded that exchange market volatility reduces stock market returns.…”

Section: Brief Theoretical Reviewmentioning

confidence: 99%

Dynamic Nexus between Exchange Rate and Stock Prices in the Major East European Economies

Živkov¹,

Njegić²,

Mirović³

2016

Prague Economic Papers

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This paper investigates the dynamic conditional correlation (DCC) between stock returns and exchange rate in four East European emerging markets. Due to persistent long memory and the presence of the asymmetric effect in all asset markets we applied DCC-FIAPARCH model. The estimated negative DCC parameters in all scrutinized countries confirmed that portfoliobalanced theory has predominance in the short run in all selected economies. DCC parameters revealed significant time-varying behaviour, especially during the major crisis periods. By embedding dummy variables in the variance equations, we came to the conclusion that global shocks affect the volatility of DCCs. Particularly, it happened during the Global Financial Crisis and European sovereign debt crisis, but the effects were not linearly equal in all countries. Complementary rolling analysis unveils how conditional volatilities of analysed assets influence DCC. The results suggested that exchange rate conditional volatility has higher influence on DCC than stock conditional volatility.

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Section: Brief Theoretical Reviewmentioning

confidence: 99%

Dynamic Nexus between Exchange Rate and Stock Prices in the Major East European Economies

Živkov¹,

Njegić²,

Mirović³

2016

Prague Economic Papers

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“…The portfolio-balance model advocates a direct relationship between these two variables. Some empirical evidence supported the flow-oriented hypothesis (see Fang, 2002;Phylaktis and Ravazzolo, 2005;Moore and Wang, 2014) while others favored the stock-oriented assumption (Tai, 2007;Walid et al (2011), Liang et al, 2013. The paper endeavors to determine which of the mentioned theories is more suitable for Serbian, Polish, Czech and Hungarian markets.…”

Section: Literature Reviewmentioning

confidence: 99%

“…In the study, he tested a dynamic integrated international capital asset pricing model (ICAPM), embedding it in an asymmetric multivariate GARCH(1,1)-in-Mean model. In another study, Walid et al (2011) …”

Section: Literature Reviewmentioning

confidence: 99%

10.5937/industrija42-5561 = Exchange rate effect on stock returns in the East European emerging markets: A quantile regression approach

Živkov¹,

Njegić²,

Markelić³

2014

Industrija

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This paper investigates relationship between returns of stock prices and exchange rate changes in four East European emerging markets (Serbia, Poland, Hungary and Czech Republic) , Vol.42, No.3, 2014 Češkoj) upotrebljavajući nedeljne podatke od januara 2003 do juna 2013. U ekonomskoj literaturi dve teorije objašnjavaju tu vezu -model na bazi toka i medel ravnotežnog portfolio, međutim bez konačnog i definitivnog zaključka koja teorija preovlađuje. Uzimajući u obzir relativno širok uzorak koji obuhvata i period svetske ekonomske krize, empirijski podaci koji su upotrebljeni su kompromitovani zbog prisustva strukturnih lomova i empirijske raspodele koja nije normalna. Kako bismo izbegli pristrasnost ocenjenih parametara i pogrešne zaključke, autori su opotrebili četiri ADL(2,2) modela ocenjena uz pomoć metode kvantilne regresije koja je otporna na problem raspodele koja ne prati normalnu distribuciju. Rezultati ukazuju da je veza između tih varijabli u skladu sa modelom ravnotežnog portfolio u tri od četiri analizirane zemlje.

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“…However, no evidence of causality between stock market volatility and the volatility of interest rate and inflation is found. Walid et al (2011) show that exchange rate changes exert a significant effect on stock market volatility in four emerging countries, namely Singapore, Hong Kong, Mexico and Malaysia. Recently, Beetsma and Giuliodori (2012) explore the linkage between GDP growth and stock market volatility in the US using a VAR model, impulse response function and forecast variance decomposition analysis.…”

Section: May-20mentioning

confidence: 99%

Causal Relationship between the Volatility of Stock Market and Selected Macroeconomic Variables: Case of Malaysia

Nikmanesh

Nor²,

Sarmidi³

et al. 2014

JEM

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Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach

Cited by 179 publications

References 58 publications

Dynamic Nexus between Exchange Rate and Stock Prices in the Major East European Economies

Dynamic Nexus between Exchange Rate and Stock Prices in the Major East European Economies

10.5937/industrija42-5561 = Exchange rate effect on stock returns in the East European emerging markets: A quantile regression approach

Causal Relationship between the Volatility of Stock Market and Selected Macroeconomic Variables: Case of Malaysia

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