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Interaction between Stock Prices and Exchange Rate in Emerging Market Economies

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  • Serpil Kahraman Akdogu
  • Ayse Ozden Birkan

Abstract

In this study we apply a series of non-causality tests to determine the direction of the relationship between stock price indices and exchange rates in emerging market economies. The data set includes monthly observations for the 21 countries included in the MSCI Emerging Markets Index between January 2003 and June 2013. The results indicate that there is a statistically significant causal interaction between the two variables in 13 of the 21 countries we study. The direction of the causality varies from country to country and is subject to the joint effect of multiple factors depending on the particulars of the economy in question.

Suggested Citation

  • Serpil Kahraman Akdogu & Ayse Ozden Birkan, 2016. "Interaction between Stock Prices and Exchange Rate in Emerging Market Economies," Research in World Economy, Research in World Economy, Sciedu Press, vol. 7(1), pages 80-94, June.
    • Handle: RePEc:jfr:rwe111:v:7:y:2016:i:1:p:80-94
    DOI: 10.5430/rwe.v7n1p80
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    References listed on IDEAS

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    2. Abdul RASHID & Aamir JAVED & Zainab JEHAN & Uzma IQBAL, 2022. "Time-Varying Impacts of Macroeconomic Variables on Stock Market Returns and Volatility : Evidence from Pakistan," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 144-166, October.
    3. 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.
    4. Aravind M., 2017. "FX Volatility Impact on Indian Stock Market: An Empirical Investigation," Vision, , vol. 21(3), pages 284-294, September.

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