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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
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