Dynamic relationship between stock prices and exchange rates in emerging markets: Evidence from fragile five economies

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dc.authorscopusid57091744700
dc.authorscopusid32167473300
dc.authorscopusid57091353500
dc.contributor.authorAkel, Veli
dc.contributor.authorKandır, Serkan Yılmaz
dc.contributor.authorYavuz, Özge Selvi
dc.date.accessioned2022-05-11T14:33:43Z
dc.date.available2022-05-11T14:33:43Z
dc.date.issued2016
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, Maliye Bölümü
dc.description.abstractAll the emerging markets are vulnerable to the fears of capital outflows after the US Federal Reserve’s tapering on May 22, 2013. The term “Fragile Five” was introduced by a research note of Morgan Stanley to refer to the countries of Brazil, India, Indonesia, South Africa and Turkey. The aim of this study is to examine whether there are stock and foreign exchange markets integration among Brazil, India, Indonesia, South Africa and Turkey. The authors employ cointegration-based tests, vector error correction modeling techniques, and Granger causality tests to examine the long-run and short-run linkages between stock prices and exchange rates. The results of cointegration tests suggest that there is one long-run stationary relationship between the stock indices and the foreign exchange rates. Four of the Fragile Five (excluding Brazil) show that the stock prices are positively associated with exchange rates. Finally, vector error correction estimates lead to miscellaneous results. © 2016 by IGI Global.
dc.identifier.doi10.4018/978-1-4666-9814-7.ch103
dc.identifier.endpage2273
dc.identifier.isbn9781466698161
dc.identifier.isbn9781466698154
dc.identifier.scopus2-s2.0-84969988727
dc.identifier.startpage2257
dc.identifier.urihttps://doi.org/10.4018/978-1-4666-9814-7.ch103
dc.identifier.urihttps://hdl.handle.net/20.500.11776/7877
dc.indekslendigikaynakScopus
dc.institutionauthorYavuz, Özge Selvi
dc.language.isoen
dc.publisherIGI global
dc.relation.ispartofInternational Business: Concepts, Methodologies, Tools, and Applications
dc.relation.publicationcategoryKitap Bölümü - Uluslararasıen_US
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.titleDynamic relationship between stock prices and exchange rates in emerging markets: Evidence from fragile five economies
dc.typeBook Chapter

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