A new look at stock price-exchange rate nexus: Analysis of COVID-19 pandemic waves in advanced and emerging economies.
| Autor: | Alimi AS; Federal Ministry of Women Affairs, Abuja, Nigeria., Adediran IA; Centre for Econometrics and Applied Research, Ibadan, Nigeria. |
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| Jazyk: | angličtina |
| Zdroj: | Scientific African [Sci Afr] 2023 Jul; Vol. 20, pp. e01671. Date of Electronic Publication: 2023 Apr 14. |
| DOI: | 10.1016/j.sciaf.2023.e01671 |
| Abstrakt: | 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. Competing Interests: We, the authors (Ahmed S. Alimi and Idris A. Adediran) hereby declare that there is no conflict of interest on this manuscript. (© 2023 The Author(s).) |
| Databáze: | MEDLINE |
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