The relationship between exchange rates and stock markets for the fragile five countries
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Date
2020
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
İstanbul Ticaret Üniversitesi
Access Rights
info:eu-repo/semantics/openAccess
Abstract
This paper aims to determine the significance relation and direction of stock markets and exchange rate on Fragile five Countries (South Africa, Turkey, Indonesia, India, and Brazil) from January 2010 to December 2019. This study applied the VAR Analysis and Granger Causality Test to determine the relationship between exchange rates and stock indexes. The results show that South Africa and Turkey exchange rates and stock indexes are in bidirectional relationships, for India and Brazil, there is a one-way causality finding from the exchange rate to stock price, and the results for Indonesia show no causality.
Description
Keywords
Exchange Rate, Stock Indexes, Granger Causality
Journal or Series
Journal of International Trade, Logistics and Law
WoS Q Value
Scopus Q Value
Volume
6
Issue
1
