Symmetric and Asymmetric Effects of Exchange Rate Changes on Stock Prices in Fragile Five Economies: Analysis of the Global Crisis and Pandemic Period

Isil Erem Ceylan () and Fatih Ceylan ()
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Isil Erem Ceylan: Faculty of Economics and Administrative Sciences, Department of Business Administration, Usak University, Usak, Turkey, Postal: Faculty of Economics and Administrative Sciences Department of Business Administration Usak University Usak Turkey
Fatih Ceylan: Faculty of Economics and Administrative Sciences, Department of Business Administration, Usak University, Usak, Turkey, Postal: Faculty of Economics and Administrative Sciences Department of Business Administration Usak University Usak Turkey

Journal of Economic Integration, 2023, vol. 38, issue 4, 646-669

Abstract: This study examined the symmetric and asymmetric effects of exchange rate changes on stock prices in the economies of India, Indonesia, Brazil, South Africa, and Turkey, collectively known as the "Fragile Five" due to their similar economic dynamics in light of the global financial crisis and pandemic period. The study uses monthly data from July 2000 to July 2022, and panel autoregressive distributive lag and panel nonlinear autoregressive distributive lag models to investigate the effects of exchange rate changes on stock prices in the Fragile Five economies. Prior to the global financial crisis, exchange rate changes have both long- and short-term asymmetric effects on stock prices in the Fragile Five economies. However, after the global financial crisis, exchange rate changes have both short- and long-term asymmetric and symmetric effects. Similarly, exchange rate changes also have asymmetric effects on stock prices during the COVID-19 period.

Keywords: Exchange rates; stock prices; panel ARDL; nonlinear panel ARDL (search for similar items in EconPapers)
JEL-codes: B22 C33 E44 F31 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:ris:integr:0890

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