Symmetric and Asymmetric Effects of Exchange Rate Changes on Stock Prices in Fragile Five Economies: Analysis of the Global Crisis and Pandemic Period

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Ceylan I., CEYLAN F.

Journal of Economic Integration, cilt.38, sa.4, ss.646-669, 2023 (ESCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 38 Sayı: 4
  • Basım Tarihi: 2023
  • Doi Numarası: 10.11130/jei.2023.38.4.646
  • Dergi Adı: Journal of Economic Integration
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus, Periodicals Index Online, ABI/INFORM, EconLit, Index Islamicus
  • Sayfa Sayıları: ss.646-669
  • Anahtar Kelimeler: Exchange rates, nonlinear panel ARDL, panel ARDL, stock prices
  • Uşak Üniversitesi Adresli: Evet

Özet

This study examined the symmetric and asymmetric effects of exchange rate changes on stock prices in the economies of India, Indonesia, Brazil, South Africa, and Turkey, collectively known as the "Fragile Five" due to their similar economic dynamics in light of the global financial crisis and pandemic period. The study uses monthly data from July 2000 to July 2022, and panel autoregressive distributive lag and panel nonlinear autoregressive distributive lag models to investigate the effects of exchange rate changes on stock prices in the Fragile Five economies. Prior to the global financial crisis, exchange rate changes have both long-and short-term asymmetric effects on stock prices in the Fragile Five economies. However, after the global financial crisis, exchange rate changes have both short-and long-term asymmetric and symmetric effects. Similarly, exchange rate changes also have asymmetric effects on stock prices during the COVID-19 period.