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Stock Prices and Exchange Rate Dynamics
Fabiola Ravazzolo,Kate Phylaktis +1 more
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In this article, the authors studied the long-run and short-run dynamics between stock prices and exchange rates and the channels through which exogenous shocks impact on these markets and found that the US stock market acts as a conduit through which the foreign exchange market and the local stock markets are linked.Abstract:
We study the long-run and short-run dynamics between stock prices and exchange rates and the channels through which exogenous shocks impact on these markets. We apply the analysis to a group of Pacific Basin countries and examine whether foreign exchange controls and the Asian financial crisis of mid 1997 affected the links between the markets. The evidence shows that the US stock market acts as a conduit through which the foreign exchange market and the local stock markets are linked. It also provides support for a close relationship between financial and economic integration. Finally, the evidence shows that the financial crisis had a temporary effect on the long-run comovement between the various markets.read more
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Journal ArticleDOI
Hedges and Safe Havens: An Examination of Stocks, Bonds, Gold, Oil and Exchange Rates
Cetin Ciner,Constantin Gurdgiev,Constantin Gurdgiev,Brian M. Lucey,Brian M. Lucey,Brian M. Lucey +5 more
TL;DR: This paper investigated the return relations between major asset classes using data from both the US and the UK and found that gold can be regarded as a safe haven against exchange rates in both countries, highlighting its monetary asset role.
Journal ArticleDOI
Stock Market Linkages in Emerging Markets: Implications for International Portfolio Diversification
Fabiola Ravazzolo,Kate Phylaktis +1 more
TL;DR: This article examined the stock market linkages of a group of Pacific-Basin countries with U.S. and Japan by estimating the multivariate cointegration model in both the autoregressive and moving average forms over the period 1980-1998.
Journal ArticleDOI
Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries
Walid Chkili,Duc Khuong Nguyen +1 more
TL;DR: In this paper, the authors used a Markov switching model approach to investigate the dynamic linkages between the exchange rates and stock market returns for the BRICS countries (Brazil, Russia, India, China and South Africa).
Journal ArticleDOI
Fractional Neuro-Sequential ARFIMA-LSTM for Financial Market Forecasting
Ayaz Hussain Bukhari,Muhammad Asif Zahoor Raja,Muhammad Sulaiman,Saeed Islam,Muhammad Shoaib,Poom Kumam +5 more
TL;DR: A novel hybrid model with the strength of fractional order derivative is presented with their dynamical features of deep learning, long-short term memory (LSTM) networks, to predict the abrupt stochastic variation of the financial market.
Journal ArticleDOI
Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach
TL;DR: In this article, the authors employ a Markov-Switching EGARCH model to investigate the dynamic linkage between stock price volatility and exchange rate changes for four emerging countries over the period 1994-2009.
References
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