IDEAS home Printed from https://ideas.repec.org/a/src/sbseec/v4y2022i2p383-392.html
   My bibliography  Save this article

Regime Shift Behavior and Interconnectedness of Stock Market Volatility and Exchange Rate Movements: Empirical Evidence from Emerging and Developed Economies

Author

Listed:
  • Attaullah
  • Hamid, Kashif
  • Saeed, Muhammad Yasir
  • Hussain, Shareen

Abstract

Purpose: The purpose of this study is to examine the regime shift behavior and interconnectedness between stock market volatility and exchange rate in a pre and post COVID context.Design/Methodology/Approach: For this purpose Pakistan India and China has been taken as emerging economies and USA UK and Japan as developed economies. &Daily data of exchange rates and stock market indices have been used from Jan,1 2011 to Apr 30, 2021. Markov regime switching model, GARCH model and Granger causality test has been used.Findings: The outcomes of this study empirically confirmed that the Markov regime switching model is flexible model because it captures regime shifts in the mean and variance equation of all sample economies. Moreover, the sum of GARCH (1,1) indicates that volatility shocks are persistent except India. Study also concluded that exchange rate volatility has significant positive impact on stock market of Pakistan, USA and Japan in a pre COVID context.Implications/Originality/Value: A post COVID context has significant impact on the stock market of India, U.S.A. and U.K. Granger causality results indicates unidirectional relationship for Pakistan, China and USA. Whereas for Japan bi-directional relationship is found but for India and UK no directional causality exist. &&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&

Suggested Citation

  • Attaullah & Hamid, Kashif & Saeed, Muhammad Yasir & Hussain, Shareen, 2022. "Regime Shift Behavior and Interconnectedness of Stock Market Volatility and Exchange Rate Movements: Empirical Evidence from Emerging and Developed Economies," Sustainable Business and Society in Emerging Economies, CSRC Publishing, Center for Sustainability Research and Consultancy Pakistan, vol. 4(2), pages 383-392, June.
    • Handle: RePEc:src:sbseec:v:4:y:2022:i:2:p:383-392
    DOI: http://doi.org/10.26710/sbsee.v4i2.2329
    as

    Download full text from publisher

    File URL: https://publishing.globalcsrc.org/ojs/index.php/sbsee/article/view/2329/1429
    Download Restriction: no
    File URL: https://libkey.io/http://doi.org/10.26710/sbsee.v4i2.2329?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:src:sbseec:v:4:y:2022:i:2:p:383-392. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dr Rana Muhammad Adeel Farooq (email available below). General contact details of provider: https://edirc.repec.org/data/csrcmpk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.