A new look at stock price-exchange rate nexus: Analysis of COVID-19 pandemic waves in advanced and emerging economies

This study takes a new look at the stock price-exchange rate nexus and attempts contributions to the extant studies in a number of intuitive ways. First, we analyze the reverse relationships given the theory-backed two-way causality between the two variables. We reassess the nexus across the First,...

Full description

Saved in:
Bibliographic Details
Published inScientific African Vol. 20; p. e01671
Main Authors Alimi, Ahmed S., Adediran, Idris A.
Format Journal Article
LanguageEnglish
Published Netherlands Elsevier B.V 01.07.2023
Elsevier
Subjects
C23
C51
COVID-19 waves
Cross sectional dependence
E44
Emerging economies
G15
Stock price-exchange rate nexus
COVID-19 waves
E44
C23
Emerging economies
G15
Stock price-exchange rate nexus
C51
Cross sectional dependence
Online AccessGet full text

Cover

More Information
Summary:This study takes a new look at the stock price-exchange rate nexus and attempts contributions to the extant studies in a number of intuitive ways. First, we analyze the reverse relationships given the theory-backed two-way causality between the two variables. We reassess the nexus across the First, Second and Third Waves of the COVID-19 pandemic, as well as comparison between advanced and emerging economies. Third, we adopt a panel modeling approach that simultaneously takes nonstationarity, cross sectional dependence, and asymmetry into account. The data analyses show that the relationship is statistically negative for the two nexuses. The magnitudes were higher during the crisis (the COVID-19 pandemic) although the relationship broke down during the Second Wave as the Delta variant surged. We identify relevant investment and policy implications of the findings.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 23
ISSN:2468-2276
2468-2276
DOI:10.1016/j.sciaf.2023.e01671