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, S.Y.
dc.contributor.authorYavuz, Özge Selvi
dc.date.accessioned2022-05-11T14:33:42Z
dc.date.available2022-05-11T14:33:42Z
dc.date.issued2015
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. © 2015, IGI Global.
dc.identifier.doi10.4018/978-1-4666-7288-8.ch011
dc.identifier.endpage181
dc.identifier.isbn9781466672901
dc.identifier.isbn1466672889
dc.identifier.isbn9781466672895
dc.identifier.scopus2-s2.0-84956768194
dc.identifier.startpage166
dc.identifier.urihttps://doi.org/10.4018/978-1-4666-7288-8.ch011
dc.identifier.urihttps://hdl.handle.net/20.500.11776/7875
dc.indekslendigikaynakScopus
dc.institutionauthorYavuz, Özge Selvi
dc.language.isoen
dc.publisherIGI Global
dc.relation.ispartofHandbook of Research on Strategic Developments and Regulatory Practice in Global Finance
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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