EconPapers    
Economics at your fingertips  
 

Exchange rate volatility and stock market development in emerging economies

Massomeh Hajilee and Omar Al Nasser

Journal of Post Keynesian Economics, 2014, vol. 37, issue 1, 163-180

Abstract: The effect of exchange rate risk on individual countries' macroeconomic variables can follow an ambiguous pattern, thus making it better to text each case empirically. The effect of exchange rate volatility on stock market development is still an enigma. This article investigates the effect of exchange rate uncertainty on stock market development as one of the most important indicators of financial market development. To do this, we develop long- and short-run models (a bounds testing approach to cointegration) for twelve emerging economies over the period 1980-2010. Estimates from all models show that exchange rate volatility has a significant effect on stock market development in both the short run and long run in a majority of countries. Despite many similarities among emerging economies, the results obtained in this article suggest that the effect of exchange rate volatility on stock market development works via each country's specific structure and characteristics.

Date: 2014
References: Add references at CitEc
Citations View citations in EconPapers (15) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.2753/PKE0160-3477370110 (text/html)
Access to full text is restricted to subscribers.

Related works:
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:mes:postke:v:37:y:2014:i:1:p:163-180

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MPKE20

Access Statistics for this article

More articles in Journal of Post Keynesian Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2018-03-28
Handle: RePEc:mes:postke:v:37:y:2014:i:1:p:163-180