TY  - JOUR
AB  - Purpose This paper aims to investigate simultaneously the causality and the dynamic links between exchange rates and stock market indices. It attempts to identify the short- and long-term effect of the US dollar on major stock market indices of Brazil, Russia, India, China and South-Africa (BRICS) nations.Design/methodology/approach This paper applies a new methodology combining the panel generalized method of moments model and the panel auto-regressive distributed lag (ARDL) method to investigate the existence of a causal short-/long-run relationships and dynamic dependence among all stock market returns and exchanges rates changes of BRICS countries.Findings Results show that exchange rate changes have a significant effect on the past and the current volatility of the BRICS stock indices. Besides, ARDL estimations reveal that exchange rate movements have a significant effect on short- and long-term stocks market indices of all BRICS countriesOriginality/value The findings have implications for policymakers and market participants who try to manage the exchange rate will have a different dose of intervention if they know that the effects of currency depreciation are different than appreciation. These results have important implications that investors should take into account in frequency-varying exchange rates and stock returns and regulators should consider developing sound policy measures to prevent financial risk.
VL  - 25
IS  - 50
SN  - 2077-1886
DO  - 10.1108/JEFAS-04-2019-0054
UR  - https://doi.org/10.1108/JEFAS-04-2019-0054
AU  - Mroua Mourad
AU  - Trabelsi Lotfi
PY  - 2020
Y1  - 2020/01/01
TI  - Causality and dynamic relationships between exchange rate and stock market indices in BRICS countries: Panel/GMM and ARDL analyses
T2  - Journal of Economics, Finance and Administrative Science
PB  - Emerald Publishing Limited
SP  - 395
EP  - 412
Y2  - 2024/09/22
ER  -