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Do Financial Crises Matter for Nonlinear Exchange Rate and Stock Market Cointegration? A Heterogeneous Nonlinear Panel Data Model with PMG Approach
(2023)
The existing literature has explained the causality flow from the exchange rates toward the stock market without explaining the role of the economic crisis in effecting this nexus. This study examines the role of the ...
Do positive and negative variations in stock indexes lead to depreciation in local currencies? A beyond symmetrical evidence from ASEAN-5 region
(Taylor and Francis Ltd., 2023)
Preliminary studies overlooked the importance of the financial crisis in the asymmetric transmission of financial market shocks to FX market returns. Moreover, existing studies also concentrated on the response of aggregate ...