Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries

Walid Chkili and Duc Khuong Nguyen

No 2014-388, Working Papers from Department of Research, Ipag Business School

Abstract: We use a regime-switching model approach to investigate the dynamic linkages between the exchange rates and stock market returns for the BRICS countries (Brazil, Russia, India, China and South Africa). The univariate analysis indicates that stock returns

Keywords: Stock markets; Foreign exchange rate; BRICS countries; Markov switching VAR (search for similar items in EconPapers)
JEL-codes: C22 F31 G15 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-cis
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (111)

Downloads: (external link)
https://faculty-research.ipag.edu/wp-content/uploa ... IPAG_WP_2014_388.pdf (application/pdf)

Related works:
Journal Article: Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ipg:wpaper:2014-388

Access Statistics for this paper

More papers in Working Papers from Department of Research, Ipag Business School Contact information at EDIRC.
Bibliographic data for series maintained by Ingmar Schumacher ().