The effects of exchange rate fluctuations on the stock market and the affecting mechanisms: Evidence from BRICS countries |
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| Institution: | 1. Centre for Econometric & Allied Research, University of Ibadan, Nigeria;2. Monetary Policy Department, Central Bank of Nigeria, Nigeria;1. Department of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University, Muscat, Oman;2. Institute of Business Research, University of Economics Ho Chi Minh City, Vietnam;3. Institute of Business Research and CFVG Ho Chi Minh City, University of Economics Ho Chi Minh City, Vietnam;4. Department of Business Administration, Pusan National University, Republic of Korea;1. EGADE Business School, Tecnológico de Monterrey. Av. Garza Lagüera y Rufino Tamayo, Valle Oriente, Garza García, CP 64619 Nuevo León, Mexico;2. Tecnológico de Monterrey, CCM. Av. Carlos Lazo # 100, Colonia Santa Fe, Delegación Álvaro Obregón. Ciudad de México, 01389, Mexico;3. University of Akron, 7380 Sherman Road, Chesterland, OH 44026, USA;1. Department of International Economics and Trade, Institute of Resources, Environment, and Sustainable Development, College of Economics, Jinan University, Guangzhou, 510632, China;2. Department of International Business, Tunghai University, Taichung, 40704, Taiwan ROC;3. Institute of Economics, Academia Sinica, Taipei, 115, Taiwan ROC |
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| Abstract: | Using data from BRICS countries, we apply the TVP-VAR model to analyze the effects of exchange rate fluctuations on their stock markets and the mechanisms leading to those effects. We find that for BRICS countries, there are similarities as well as differences in the extent, direction, and duration of the effects of exchange rate changes on the stock market. As for the affecting mechanisms, Brazil is almost entirely driven by the financial account, while the current account is dominant for Russia, whereas India, China, and South Africa depend on both mechanisms. |
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| Keywords: | Exchange rate fluctuations Stock market Mechanisms The current account The financial account TVP-VAR model E44 F31 |
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