کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1003137 | 1481802 | 2014 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
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چکیده انگلیسی
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 of the BRICS countries evolve according to two different regimes: a low volatility regime and a high volatility regime. On the other hand, our evidence from Markov switching VAR models suggests that stock markets have more influence on exchange rates during both calm and turbulent periods. These empirical insights have important implications for portfolio investments and currency risk hedging.
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ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 31, May 2014, Pages 46–56
Journal: Research in International Business and Finance - Volume 31, May 2014, Pages 46–56
نویسندگان
Walid Chkili, Duc Khuong Nguyen,