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Through globalization and financial market liberalization, the opening up of markets has increased cross-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention given to emerging markets that offer higher...
Persistent link: https://www.econbiz.de/10012872753
This paper examines exchange rate exposure of country level stock returns in three emerging market economies: Korea, Taiwan and Thailand. The analysis is carried out at country level using stock indexes and trade-weighted exchange rates. Time-varying exchange rate exposure coefficients are...
Persistent link: https://www.econbiz.de/10013033258
In this paper, the effects of the US stock market returns, exchange rate changes and volatilities on stock market volatilities in 10 emerging market economies between 2000-2013 (also two sub-periods covering the time between 2000-2007, and between 2008-2013) have been analysed with separate 30...
Persistent link: https://www.econbiz.de/10012950808
Persistent link: https://www.econbiz.de/10011537948
The present paper examines the dynamic interaction between stock returns and exchange rate changes in the emerging economies of BRIC (Brazil, Russia, India and China). The paper tries to analyze the portfolio balance effect according to which the two variables are expected to be negatively...
Persistent link: https://www.econbiz.de/10012985473
Using a novel data set on capital control actions in 17 emerging-market economies (EMEs) over the period 2001 - 11, we provide new evidence on domestic and multilateral (or spillover) effects of capital controls. Our results, based on panel vector autoregressions, suggest that capital control...
Persistent link: https://www.econbiz.de/10011372773
This research analyzes and extend the study of contagion for BRICS Emerging Stock Markets in the context of the last two international financial crises: the Lehman Brothers Bankruptcy Crisis and the European Sovereign Debt Crisis. We investigate changes in the relationship and the co-movements...
Persistent link: https://www.econbiz.de/10012931029
In this study, we analyze the effects of sovereign credit rating reviews on national stock market performances in GIIPS and BRIC countries during the European Sovereign Debt Crisis of 2009-2013. Through an event study, we test the Null Hypothesis that cumulative abnormal returns on national...
Persistent link: https://www.econbiz.de/10013060066
While two different streams of literature exist investigating 1) the relationship between oil prices and emerging market stock prices and 2) the relationship between oil prices and exchange rates, relatively little is known about the dynamic relationship between oil prices, exchange rates and...
Persistent link: https://www.econbiz.de/10013124610
We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intra-day data from 2011–2015. Our...
Persistent link: https://www.econbiz.de/10012908658