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The effects of exchange rate fluctuations on the stock market and the affecting mechanisms: Evidence from BRICS countries

Qian Huang, Xiangning Wang and Shuguang Zhang

The North American Journal of Economics and Finance, 2021, vol. 56, issue C

Abstract: Using data from BRICS countries, we apply the TVP-VAR model to analyze the effects of exchange rate fluctuations on their stock markets and the mechanisms leading to those effects. We find that for BRICS countries, there are similarities as well as differences in the extent, direction, and duration of the effects of exchange rate changes on the stock market. As for the affecting mechanisms, Brazil is almost entirely driven by the financial account, while the current account is dominant for Russia, whereas India, China, and South Africa depend on both mechanisms.

Keywords: Exchange rate fluctuations; Stock market; Mechanisms; The current account; The financial account; TVP-VAR model (search for similar items in EconPapers)
JEL-codes: E44 F31 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302254

DOI: 10.1016/j.najef.2020.101340

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