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Symmetric and Asymmetric Effects of Exchange Rate Changes on Stock Prices in Fragile Five Economies: Analysis of the Global Crisis and Pandemic Period

Author

Listed:
  • Ceylan, Isil Erem

    (Faculty of Economics and Administrative Sciences, Department of Business Administration, Usak University, Usak, Turkey)

  • Ceylan, Fatih

    (Faculty of Economics and Administrative Sciences, Department of Business Administration, Usak University, Usak, Turkey)

Abstract

This study examined the symmetric and asymmetric effects of exchange rate changes on stock prices in the economies of India, Indonesia, Brazil, South Africa, and Turkey, collectively known as the "Fragile Five" due to their similar economic dynamics in light of the global financial crisis and pandemic period. The study uses monthly data from July 2000 to July 2022, and panel autoregressive distributive lag and panel nonlinear autoregressive distributive lag models to investigate the effects of exchange rate changes on stock prices in the Fragile Five economies. Prior to the global financial crisis, exchange rate changes have both long- and short-term asymmetric effects on stock prices in the Fragile Five economies. However, after the global financial crisis, exchange rate changes have both short- and long-term asymmetric and symmetric effects. Similarly, exchange rate changes also have asymmetric effects on stock prices during the COVID-19 period.

Suggested Citation

  • Ceylan, Isil Erem & Ceylan, Fatih, 2023. "Symmetric and Asymmetric Effects of Exchange Rate Changes on Stock Prices in Fragile Five Economies: Analysis of the Global Crisis and Pandemic Period," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 38(4), pages 646-669.
    • Handle: RePEc:ris:integr:0890
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    Keywords

    Exchange rates; stock prices; panel ARDL; nonlinear panel ARDL;
    All these keywords.

    JEL classification:

    • B22 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Macroeconomics
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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