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The Relationship between Stock and Exchange Rates for BRICS Countries Pre - and Post - Crisis: A Mixed C - VINE Copula Model

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  • Yingying HAN

    (College of Economics & Management, South China Agricultural University, Guangzhou, China. School of Management, Huazhong University of Science & Technology, Wuhan, China)

  • Xiang ZHOU

    (School of Finance, Zhongnan University of Economics and Law, Wuhan, China.)

Abstract

We investigate the relationship between stock and foreign exchange rates for BRICS countries pre- and post- U.S. sub-prime crisis and European sovereign debt crisis. With a wide set of exchange rates, the mixed c-vine copula models are used. The results show the correlations are negative for most of the stock/exchange rate pairs. After the U.S. crisis, the stock markets in BRICS countries have stronger negative dependences and risk hedge ability with the USD and JPY currencies. However, after the European crisis, the changes of the correlations are diverse. The risk hedge effectiveness of stock markets in BRICS countries against foreign currencies decreases. These findings suggest that BRICS countries and investors should pay more attention on the multivariate exchange rates and the flows of cross-border capitals with their influence on the local stock markets after the crisis.

Suggested Citation

  • Yingying HAN & Xiang ZHOU, 2017. "The Relationship between Stock and Exchange Rates for BRICS Countries Pre - and Post - Crisis: A Mixed C - VINE Copula Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 38-59, March.
  • Handle: RePEc:rjr:romjef:v::y:2017:i:1:p:38-59
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    Cited by:

    1. Wing-Choong Lai & Kim-Leng Goh, 2019. "Impact of Chinese Yuan Devaluation on the Dependence Structure: The Archimedean Copula Approach," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-27, March.
    2. Wing-Choong Lai & Kim-Leng Goh, 2021. "Dependence Structure Between Renminbi Movements and Volatility of Foreign Exchange Rate Returns," China Report, , vol. 57(1), pages 57-78, February.
    3. Dohyun CHUN & Hoon CHO & Doojin RYU, 2018. "Macroeconomic Structural Changes in a Leading Emerging Market: The Effects of the Asian Financial Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 22-42, December.
    4. Benjamin, Oluwasegun Olawale & Fatile, John Ojo, 2019. "Structural Analysis of the Effect of Exchange Rate Movement on Stock Market Performance in Nigeria," MPRA Paper 98329, University Library of Munich, Germany, revised 19 Nov 2019.

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    More about this item

    Keywords

    crisis; relationship; stock; exchange rate; BRICS; mixed c-vine copula model;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G01 - Financial Economics - - General - - - Financial Crises

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