The Relationship between Stock Price Index and Exchange Rate in Asian Markets: A Wavelet Based Correlation and Quantile Regression Approach

Tracing Return and Volatility Spillover Effect between Exchange Rate and Pakistan Stock Exchange Index

“…They found that both financial series are not cointegrated and Granger causality test shows that there is no causality between the financial variables. Dar et al (2013) traced out the relationship between stock market returns and exchange rate. They used Wavelet analysis and quantile regression model and explored the similar results from both methodologies that there is no long run relationship between financial series and their asymmetric effect because the coefficients are changing with each quantile.…”

“…43.19 but it was gone to Rs. 61.4 (Qayyum & Kamal, 2007;Qayyum & Khan 2014;Din et al, 2010;Ghouse & Khan, 2017;Jebran & Iqbal, 2016;Bhat & Shah 2015;Dar et al, 2013;Aslam, 2104;Ali, 2015). On the other hand, many researchers explored causal linkages between these variables in case of Pakistan see for example (Zubair, 2013;Khan & Ali, 2015;Zia & Rahman, 2011).…”

Structural changes in exchange rate-stock returns dynamics in South Africa: examining the role of crisis and new trading platform

“…The Asian contagion crisis in 1998-1999 sparked a flurry of research interest concerned with examining the exchange rate-stock return nexus with specific reference to Asian economies. Prominent examples amongst this group of studies include the individual country analysis of Mishra (2004) and Ramasamy and Yeung (2005) for India; Zhao (2010) and Rutledge et al (2014) for China as well as the panel group studies of Abdalla and Murinde (1997) (2013) and Sui and Sun (2015)) or in instances where cointegration is found, there were no causality effects (Ocran (2010), Alam et al (2011) and Fowowe et al (2015) Initially, a majority of these 'nonlinear' studies relied on MTAR cointegration framework (Yau and Nieh (2009), , and Koulakiotis et al (2015)), nonlinear causality tests (Tabak (2006), Kumar (2009), Cakan and Ejra (2013) and Ho and Huang (2015)) as well as quantile regressions (Tsai (2012) and Dar et al (2014)). However, recent studies have turned to the N-ARDL model framework which provides more flexibility in modelling both short-run and long-run cointegration asymmetries between time series with different integration properties (i.e.…”