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A new look at stock price-exchange rate nexus: Analysis of COVID-19 pandemic waves in advanced and emerging economies

This study takes a new look at the stock price-exchange rate nexus and attempts contributions to the extant studies in a number of intuitive ways. First, we analyze the reverse relationships given the theory-backed two-way causality between the two variables. We reassess the nexus across the First,...

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Detalles Bibliográficos
Autores principales: Alimi, Ahmed S., Adediran, Idris A.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: The Author(s). Published by Elsevier B.V. on behalf of African Institute of Mathematical Sciences / Next Einstein Initiative. 2023
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10102500/
https://www.ncbi.nlm.nih.gov/pubmed/37101599
http://dx.doi.org/10.1016/j.sciaf.2023.e01671
Descripción
Sumario:This study takes a new look at the stock price-exchange rate nexus and attempts contributions to the extant studies in a number of intuitive ways. First, we analyze the reverse relationships given the theory-backed two-way causality between the two variables. We reassess the nexus across the First, Second and Third Waves of the COVID-19 pandemic, as well as comparison between advanced and emerging economies. Third, we adopt a panel modeling approach that simultaneously takes nonstationarity, cross sectional dependence, and asymmetry into account. The data analyses show that the relationship is statistically negative for the two nexuses. The magnitudes were higher during the crisis (the COVID-19 pandemic) although the relationship broke down during the Second Wave as the Delta variant surged. We identify relevant investment and policy implications of the findings.