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On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007–2010

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Cited by:

  1. Mohsen Bahmani-Oskooee & Sujata Saha, 2019. "On the effects of policy uncertainty on stock prices," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(4), pages 764-778, October.
  2. Tian, Maoxi & El Khoury, Rim & Alshater, Muneer M., 2023. "The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
  3. Shahid Raza & M. Ali Kemal, 2017. "Daily Stock Market Movements: From the Lens of News and Events," PIDE-Working Papers 2017:146, Pakistan Institute of Development Economics.
  4. Kassouri YACOUBA & Halil ALTINTAS, 2019. "The Asymmetric Impact of Macroeconomic Shocks on Stock Returns in Turkey: A Nonlinear ARDL Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 98-116, June.
  5. Nusair, Salah A. & Olson, Dennis, 2022. "Dynamic relationship between exchange rates and stock prices for the G7 countries: A nonlinear ARDL approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
  6. Wu, Kai & Zhu, Jingran & Xu, Mingli & Yang, Lu, 2020. "Can crude oil drive the co-movement in the international stock market? Evidence from partial wavelet coherence analysis," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  7. Morales-Zumaquero, Amalia & Sosvilla-Rivero, Simón, 2018. "Volatility spillovers between foreign exchange and stock markets in industrialized countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 121-136.
  8. Karanasos, Menelaos & Paraskevopoulos, Alexandros G. & Menla Ali, Faek & Karoglou, Michail & Yfanti, Stavroula, 2014. "Modelling stock volatilities during financial crises: A time varying coefficient approach," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 113-128.
  9. Kumeka, Terver Theophilus & Uzoma-Nwosu, Damian Chidozie & David-Wayas, Maria Onyinye, 2022. "The effects of COVID-19 on the interrelationship among oil prices, stock prices and exchange rates in selected oil exporting economies," Resources Policy, Elsevier, vol. 77(C).
  10. Alexandros Pasiouras & Theodoros Daglis, 2020. "The Dollar Exchange Rates in the Covid-19 Era: Evidence from 5 Currencies," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 2), pages 352-361.
  11. Symitsi, Efthymia & Chalvatzis, Konstantinos J., 2019. "The economic value of Bitcoin: A portfolio analysis of currencies, gold, oil and stocks," Research in International Business and Finance, Elsevier, vol. 48(C), pages 97-110.
  12. Ngo Thai Hung, 2022. "Spillover Effects Between Stock Prices and Exchange Rates for the Central and Eastern European Countries," Global Business Review, International Management Institute, vol. 23(2), pages 259-286, April.
  13. Eraslan, Sercan & Ali, Faek Menla, 2017. "Financial crises and the dynamic linkages between stock and bond returns," Discussion Papers 17/2017, Deutsche Bundesbank.
  14. Anastasios Demertzidis & Vahidin Jeleskovic, 2021. "Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID," JRFM, MDPI, vol. 14(5), pages 1-23, May.
  15. Rabia Luqman & Rehana Kouser, 2018. "Asymmetrical Linkages between Foreign Exchange and Stock Markets: Empirical Evidence through Linear and Non-Linear ARDL," JRFM, MDPI, vol. 11(3), pages 1-13, August.
  16. Amira Akl Ahmed & Rania Ihab Naguib, 2018. "DCCs among Sector Indexes and Dynamic Causality between Foreign Exchange and Equity Sector Volatility: Evidence from Egypt," Applied Economics and Finance, Redfame publishing, vol. 5(1), pages 14-28, January.
  17. Hunter, John & Menla Ali, Faek, 2014. "Money demand instability and real exchange rate persistence in the monetary model of USD–JPY exchange rate," Economic Modelling, Elsevier, vol. 40(C), pages 42-51.
  18. Nathan Lael Joseph & Thi Thuy Anh Vo & Asma Mobarek & Sabur Mollah, 2020. "Volatility and asymmetric dependence in Central and East European stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 55(4), pages 1241-1303, November.
  19. Shahani, Rakesh & Paliwal, Riya, 2020. "An empirical analysis of the Co-movement of Crude, Gold, Rupee-Dollar Exchange rate and Nifty 50 Stock Index during Sub-prime and Coronavirus crisis periods," MPRA Paper 103568, University Library of Munich, Germany.
  20. Xiyong Dong & Seong‐Min Yoon, 2018. "Structural breaks, dynamic correlations, and hedge and safe havens for stock and foreign exchange markets in Greater China," The World Economy, Wiley Blackwell, vol. 41(10), pages 2783-2803, October.
  21. Effiong, Ekpeno L., 2016. "Nonlinear Dependence between Stock Prices and Exchange Rate in Nigeria," MPRA Paper 74336, University Library of Munich, Germany.
  22. Marie Ligocká & Tomáš Pražák & Daniel Stavárek, 2016. "The Effect of Macroeconomic Factors on Stock Prices of Swiss Real Estate Companies," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 64(6), pages 2015-2024.
  23. Andrea Bellucci & Gianluca Gucciardi, 2023. "A Turning Point for Banking: Unravelling the Changing Landscape of Banking Activity in Europe since the COVID-19 pandemic," Mo.Fi.R. Working Papers 183, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
  24. Emmanuel Joel Aikins Abakah & Aviral Kumar Tiwari & Chi‐Chuan Lee & Matthew Ntow‐Gyamfi, 2023. "Quantile price convergence and spillover effects among Bitcoin, Fintech, and artificial intelligence stocks," International Review of Finance, International Review of Finance Ltd., vol. 23(1), pages 187-205, March.
  25. Muhammad Aftab & Rubi Ahmad & Izlin Ismail & Kate Phylaktis, 2021. "Economic integration and the currency and equity markets nexus," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5278-5301, October.
  26. Andriansyah, Andriansyah & Messinis, George, 2019. "Stock Prices, Exchange Rates and Portfolio Equity Flows: A Toda-Yamamoto Panel Causality Test," MPRA Paper 97992, University Library of Munich, Germany.
  27. Oguzhan Ozcelebi & Nurtac Yildirim, 2017. "Impacts of short-term interest rates on stock returns and exchange rates: Empirical evidence from EAGLE countries," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 26(2), pages 228-255, February.
  28. Al-Shboul, Mohammad & Anwar, Sajid, 2014. "Pricing of the currency risk in the Canadian equity market," Research in International Business and Finance, Elsevier, vol. 30(C), pages 173-194.
  29. Shahzad, Syed Jawad Hussain & Rahman, Md Lutfur & Lucey, Brian M. & Uddin, Gazi Salah, 2021. "Re-examining the real option characteristics of gold for gold mining companies," Resources Policy, Elsevier, vol. 70(C).
  30. Dai, Zhifeng & Zhu, Huan & Dong, Xiaodi, 2020. "Forecasting Chinese industry return volatilities with RMB/USD exchange rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
  31. Wen, Danyan & Liu, Li & Ma, Chaoqun & Wang, Yudong, 2020. "Extreme risk spillovers between crude oil prices and the U.S. exchange rate: Evidence from oil-exporting and oil-importing countries," Energy, Elsevier, vol. 212(C).
  32. Kanda, Patrick & Burke, Michael & Gupta, Rangan, 2018. "Time-varying causality between equity and currency returns in the United Kingdom: Evidence from over two centuries of data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 1060-1080.
  33. Sakarombe, Upenyu & Marimbe-Makoni, Rudo, 2020. "Stock Exchange Fungibility and Exchange Rate Volatility in Zimbabwe," MPRA Paper 102464, University Library of Munich, Germany, revised 2020.
  34. Bahmani-Oskooee, Mohsen & Saha, Sujata, 2016. "Asymmetry cointegration between the value of the dollar and sectoral stock indices in the U.S," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 78-86.
  35. Nguyen, Dat Thanh & Phan, Dinh Hoang Bach & Anglingkusumo, Reza & Sasongko, Aryo, 2021. "US government shutdowns and Indonesian stock market," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
  36. Menelaos Karanasos & Alexandros Paraskevopoulos & Faek Menla Ali & Michail Karoglou & Stavroula Yfanti, 2014. "Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach," Papers 1403.7179, arXiv.org.
  37. Kumar, Satish & Khalfaoui, Rabeh & Tiwari, Aviral Kumar, 2021. "Does geopolitical risk improve the directional predictability from oil to stock returns? Evidence from oil-exporting and oil-importing countries," Resources Policy, Elsevier, vol. 74(C).
  38. Warshaw, Evan, 2020. "Asymmetric volatility spillover between European equity and foreign exchange markets: Evidence from the frequency domain," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 1-14.
  39. Uddin, Gazi Salah & Rahman, Md Lutfur & Hedström, Axel & Ahmed, Ali, 2019. "Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes," Energy Economics, Elsevier, vol. 80(C), pages 743-759.
  40. Dong, Xiyong & Li, Changhong & Yoon, Seong-Min, 2021. "How can investors build a better portfolio in small open economies? Evidence from Asia’s Four Little Dragons," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  41. Shakizada Niyazbekova & Igor Grekov & Tatiana Blokhina, 2016. "The Influence Of Macroeconomic Factors To The Dynamics Of Stock Exchange In The Republic Of Kazakhstan," Economy of region, Centre for Economic Security, Institute of Economics of Ural Branch of Russian Academy of Sciences, vol. 1(4), pages 1263-1273.
  42. Lee, Hangsuck & Ha, Hongjun & Lee, Minha, 2023. "Partial quanto lookback options," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
  43. Hock Tsen Wong, 2016. "Real Exchange Rate Returns And Real Stock Price Returns In The Stock Market Of Malaysia," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(05), pages 1319-1349, December.
  44. Malik, Farooq, 2021. "Volatility spillover between exchange rate and stock returns under volatility shifts," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 605-613.
  45. Yip, Pick Schen & Brooks, Robert & Do, Hung Xuan & Vo, Xuan Vinh, 2022. "What drives cross-market correlations during the United States Q.E.?," International Review of Financial Analysis, Elsevier, vol. 83(C).
  46. Rizwan Ali & Inayat Ullah Mangla & Ramiz Ur Rehman & Wuzhao Xue & Muhammad Akram Naseem & Muhammad Ishfaq Ahmad, 2020. "Exchange Rate, Gold Price, and Stock Market Nexus: A Quantile Regression Approach," Risks, MDPI, vol. 8(3), pages 1-16, August.
  47. Simona Moagăr-Poladian & Dorina Clichici & Cristian-Valeriu Stanciu, 2019. "The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe," Sustainability, MDPI, vol. 11(14), pages 1-22, July.
  48. Karanasos, Menelaos & Menla Ali, Faek & Margaronis, Zannis & Nath, Rajat, 2018. "Modelling time varying volatility spillovers and conditional correlations across commodity metal futures," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 246-256.
  49. P. K. Mishra & S. K. Mishra, 2022. "Is the Impact of COVID-19 Significant in Determining Equity Market Integration? Insights from BRICS Economies," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 14(2), pages 137-162, May.
  50. Xie, Zixiong & Chen, Shyh-Wei & Wu, An-Chi, 2020. "The foreign exchange and stock market nexus: New international evidence," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 240-266.
  51. Kola Ijasan & Peterson Owusu Junior & George Tweneboah & Tunbosun Oyedokun & Anokye M. Adam, 2021. "Analysing the relationship between global REITs and exchange rates: Fresh evidence from frequency-based quantile regressions," Advances in Decision Sciences, Asia University, Taiwan, vol. 25(3), pages 58-91, September.
  52. Gholamreza Zamanian & Kamran Mahmodpour & Sepideh Yari, 2017. "Exchange Rate Uncertainty Effect on Export-Oriented Companies at Tehran Stock Exchange (Yield) Rate of Return: A Panel-Vector Autoregressive Model," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 207-213.
  53. Maud Korley & Evangelos Giouvris, 2021. "The Regime-Switching Behaviour of Exchange Rates and Frontier Stock Market Prices in Sub-Saharan Africa," JRFM, MDPI, vol. 14(3), pages 1-30, March.
  54. Christos Kollias & Stephanos Papadamou & Costas Siriopoulos, 2016. "Stock markets and effective exchange rates in European countries: threshold cointegration findings," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 6(2), pages 215-274, August.
  55. Wong, Hock Tsen, 2017. "Real exchange rate returns and real stock price returns," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 340-352.
  56. Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon, 2015. "Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis," Global Finance Journal, Elsevier, vol. 28(C), pages 24-37.
  57. Konstantinos N. Konstantakis & Ioannis G. Melissaropoulos & Theodoros Daglis & Panayotis G. Michaelides, 2023. "The euro to dollar exchange rate in the Covid‐19 era: Evidence from spectral causality and Markov‐switching estimation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 2037-2055, April.
  58. Kassouri, Yacouba & Altıntaş, Halil, 2020. "Threshold cointegration, nonlinearity, and frequency domain causality relationship between stock price and Turkish Lira," Research in International Business and Finance, Elsevier, vol. 52(C).
  59. Balcilar, Mehmet & Ozdemir, Zeynel Abidin, 2019. "The volatility effect on precious metals price returns in a stochastic volatility in mean model with time-varying parameters," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
  60. Joseba Luzarraga-Goitia & Marta Regúlez-Castillo & Arturo Rodríguez-Castellanos, 2021. "The dynamics between the stock market and exchange rates: Spain 1999–2015," The European Journal of Finance, Taylor & Francis Journals, vol. 27(7), pages 655-678, May.
  61. Mollick, André Varella & Sakaki, Hamid, 2019. "Exchange rates, oil prices and world stock returns," Resources Policy, Elsevier, vol. 61(C), pages 585-602.
  62. Paulo Ferreira & Marcus Fernandes da Silva & Idaraí Santos de Santana, 2019. "Detrended Correlation Coefficients Between Exchange Rate (in Dollars) and Stock Markets in the World’s Largest Economies," Economies, MDPI, vol. 7(1), pages 1-11, February.
  63. I-Chun Tsai, 2022. "The connectedness between Hong Kong and China real estate markets: spillover effect and information transmission," Empirical Economics, Springer, vol. 63(1), pages 287-311, July.
  64. Su, Jung-Bin, 2015. "Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market," Economic Modelling, Elsevier, vol. 46(C), pages 204-224.
  65. Borg, Elin & Kits, Ilya & Junttila, Juha & Uddin, Gazi Salah, 2022. "Dependence between renewable energy related critical metal futures and producer equity markets across varying market conditions," Renewable Energy, Elsevier, vol. 190(C), pages 879-892.
  66. Baklaci, Hasan Fehmi & Aydoğan, Berna & Yelkenci, Tezer, 2020. "Impact of stock market trading on currency market volatility spillovers," Research in International Business and Finance, Elsevier, vol. 52(C).
  67. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Nicola, 2015. "Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 70-92.
  68. Mohsen Bahmani-Oskooee & Sujata Saha, 2018. "On the relation between exchange rates and stock prices: a non-linear ARDL approach and asymmetry analysis," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 112-137, January.
  69. Mirza Muhammad Naseer & Muhammad Asif Khan & József Popp & Judit Oláh, 2021. "Firm, Industry and Macroeconomics Dynamics of Stock Returns: A Case of Pakistan Non-Financial Sector," JRFM, MDPI, vol. 14(5), pages 1-18, April.
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