Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries

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

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Year of publication:	2014-06-23
Authors:	Chkili, Walid ; Nguyen, Duc Khuong
Institutions:	Institut de Préparation à l'Administration et à la Gestion (IPAG)
Subject:	Stock markets \| Foreign exchange rate \| BRICS countries \| Markov switching VAR

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2014-388 18 pages
Classification:	C22 - Time-Series Models ; G15 - International Financial Markets ; F31 - Foreign Exchange
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010784877