Exchange rates and stock markets in emerging economies: new evidence using the Quantile-on-Quantile approach

Quantitative Finance and Economics

Baris Memduh Eren¹  Siamand Hesami²  Korhan Gokmenoglu² 

[1] 1. Department of Banking and Finance, Eastern Mediterranean University, Famagusta, North Cyprus via Mersin 10, Turkey 2. Faculty of Business and Economics, Rauf Denktas University, Lefkosa, North Cyprus via Mersin 10, Turkey;1. Department of Banking and Finance, Eastern Mediterranean University, Famagusta, North Cyprus via Mersin 10, Turkey;

关键词: emerging economies;    stock market return;    exchange rate;    asymmetry;    quantile-on-quantile approach;   

DOI  :  10.3934/QFE.2021005

来源: DOAJ

【 摘 要 】

This study aims to reconsider the relationship between exchange rate and stock market returns for selected emerging countries. The quantile-on-quantile approach is employed to present an inclusive and detailed image of the association between the variables under investigation. This approach can reveal the heterogeneous and the varying relationship between the variables at different quantiles. The estimation outcome demonstrates that the examined countries' stock market performances are not affected by the exchange rate changes unless certain market conditions are established. The empirical results suggest that the exchange rate flexibility has a crucial role in determining the market returns depending on the bearish or bullish conditions. Considering the asymmetric nature of the relationship between the exchange rate and the stock market, presented results can aid governmental authorities and investors to design dynamic economic policies and investment strategies.

【 授权许可】

Unknown