Time-frequency effect of crude oil and exchange rates on stock markets in BRICS countries: Evidence from wavelet quantile regression analysis

Zhu, Huiming; Yu, Duo; Hau, Liya; Wu, Hao; Ye, Fangyu

doi:10.1016/j.najef.2022.101708

Cited by 24 publications

(11 citation statements)

References 50 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Therefore, the exporters and importers should also consider this responsiveness of ER under different types of regimes, and they should also consider the volatile fluctuations in stock market indices before making any contractual agreements. These findings are inconsistent with recently published research because of the incapacity of the previous study to consider the importance of regime in affecting the ER response to SM's different behavioural conditions (Chang et al, 2021; Chen et al, 2022; Khan et al, 2021; Zhu et al, 2022). Secondly, these researchers also assumed that predictors could predict the predictors' variability irrespective of the timeframe or economic regime.…”

Section: Discussion Of Results With Practical Implications and Relevancycontrasting

confidence: 92%

“…They found that moderating influence of the exchange rate on the stock market depends upon its growth rate. Similarly, Zhu et al (2022) found the asymmetrical response of the stock market investors of BRICS member economies to exchange rate and oil prices using a time and frequency varying quantile regression approach. Findings suggested that the financial climate exacerbated the stock market's behavioural response to ER.…”

Section: Asymmetrical Relationship Between Exchange Rate and Stock In...mentioning

confidence: 99%

“…Authors have found that linear models cannot explore non‐linear links between currency value variations and stock indices. In the existing literature on the asymmetrical association between volatility in stock indices and exchange rate oscillations, some researchers have found non‐linear linkages between both (Chang et al, 2021; Chen et al, 2022; Khan et al, 2021; Zhu et al, 2022). However, the majority have not explored the response of ER to the regional stock market bullish‐bearish behaviour by using the asymmetrical PNARDL model and non‐linear panel‐based Granger causality approach.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Furthermore, prior studies have not adopted the non‐linear panel ARDL approach for regional analysis, incorporated ER as a regressor and did not include the role of the 2008 economic contraction in influencing non‐linear ties between currency rate instability and stock returns of Pakistan, Sri Lanka, India, and Bangladesh. Few papers on the non‐linear response of SM to ER fluctuations have utilized the time series‐based asymmetrical approaches (Chen et al, 2022; Hashmi et al, 2022; Xu et al, 2022; Zhu et al, 2022). However, these studies ignored the role of the crisis regime in affecting the vice versa response of ER returns to SM conditions.…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

Do stock market fluctuations lead to currency deflation in the South Asian region? Evidence beyond symmetry

2022

View full text Add to dashboard Cite

This study explores the role of the asymmetrical influence of stock market reaction to the fluctuations in US dollars against the domestic currencies of the South Asian region. The symmetrical Panel based autoregressive distributed lag model (PARDL) model and panel‐based non‐linear autoregressive distributed lag model (NARDL) model with the Pooled Mean Group Approach (PMG) approach were employed to estimate the impact of stock market bullish and bearish behaviour on local currency variabilities of the South Asian region. The results show that during the pre‐economic recession regime, negative fluctuations in stock indexes had a direct association with exchange rate fluctuations for a longer period. However, after the crisis, both negative and positive stock index shocks have formulated an indirect or inverse association with exchange rate fluctuations. These findings pose important practical implications for the short‐term and long‐term shareholders and financial analysts. Hence, it is recommended that shareholders and financial analysts should base their investment in South Asian stock indices on negative and positive shocks since the non‐linear connectivity between both variables also exhibits regime dependence characteristics.

show abstract

Section: Discussion Of Results With Practical Implications and Relevancycontrasting

confidence: 92%

Section: Asymmetrical Relationship Between Exchange Rate and Stock In...mentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Do stock market fluctuations lead to currency deflation in the South Asian region? Evidence beyond symmetry

2022

View full text Add to dashboard Cite

show abstract

“…Researches on relationship between stock and foreign exchange markets are not limited to developed countries. After the global financial crisis broke out, stock and foreign exchange markets in emerging markets have received widespread attention (Huang et al, 2021; Scherrer, 2021; Zhu et al, 2022). To study the correlation between stock market and foreign exchange markets for the five ASEAN countries, Liang et al (2015) applied the guide panel Granger causality method.…”

Section: Literature Reviewmentioning

confidence: 99%

Risk spillover networks in financial markets: Evidence from emerging markets

Jin

Liu

2023

Manage Decis Econ

View full text Add to dashboard Cite

This paper empirically explores dynamic risk impact of extreme volatility between stock and foreign exchange markets in emerging markets. Based on CoVaR analysis, we construct networks to investigate the nonlinear and dynamic evolution characteristics of risk contagion. The results show that stock and foreign exchange markets exhibit asymmetric tail dependence. All networks present small world network characteristics. The risk tolerance impact is more noticeable than risk overflow and stock markets are more sensitive to risk contagion. In the minimum spanning tree (MST), Korean stock market and foreign exchange markets of India and China are critical nodes in the minimum path of risk overflow.

show abstract

Connectedness Structure and Volatility Dynamics Between BRICS Markets and International Volatility Indices: An Investigation

Gökgöz,

Ben Salem,

Bejaoui

et al. 2024

Int. J Fin Econ

View full text Add to dashboard Cite

This research aims to explore and understand the dynamic nature of volatility connectedness between BRICS stock markets and various asset price implied volatility indices through a TVP‐VAR broadened connectedness approach. Results display nontrivial dynamic connectedness in the BRICS stock markets and uncertainties in different markets during the period 31 March 2019–31 August 2023. They also report heterogeneous patterns in the connectedness between stock indices and volatility indices. The time‐varying spillover effect seems to be strong during the black‐swan events. The variations of volatility connectedness among each volatility index and stock market increasingly depend on unusual stress caused by the outbreak of unexpected events. These finding provide significant guidance for investors seeking to enhance their risk management practices. By leveraging the insights into volatility transmission mechanisms and the roles of different volatility indices, investors can make informed decisions to protect and grow their investments in an increasingly volatile global market.

show abstract

Time-frequency effect of crude oil and exchange rates on stock markets in BRICS countries: Evidence from wavelet quantile regression analysis

Cited by 24 publications

References 50 publications

Do stock market fluctuations lead to currency deflation in the South Asian region? Evidence beyond symmetry

Do stock market fluctuations lead to currency deflation in the South Asian region? Evidence beyond symmetry

Risk spillover networks in financial markets: Evidence from emerging markets

Connectedness Structure and Volatility Dynamics Between BRICS Markets and International Volatility Indices: An Investigation

Contact Info

Product

Resources

About