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Journal of Economic Integration 2023 December;38(4) :646-669.
DOI: https://doi.org/10.11130/jei.2023.38.4.646
Symmetric and Asymmetric Effects of Exchange Rate Changes on Stock Prices in Fragile Five Economies: Analysis of the Global Crisis and Pandemic Period

Isil Erem CeylanFatih Ceylan 

Faculty of Economics and Administrative Sciences, Department of Business Administration, Usak University, Usak, Turkey
Corresponding Author: Isil Erem Ceylan ,Email: isil.erem@usak.edu.tr
Copyright ©2023 Journal of Economic Integration
ABSTRACT
This study examined the symmetric and asymmetric effects of exchange rate changes on stock prices in the economies of India, Indonesia, Brazil, South Africa, and Turkey, collectively known as the "Fragile Five" due to their similar economic dynamics in light of the global financial crisis and pandemic period. The study uses monthly data from July 2000 to July 2022, and panel autoregressive distributive lag and panel nonlinear autoregressive distributive lag models to investigate the effects of exchange rate changes on stock prices in the Fragile Five economies. Prior to the global financial crisis, exchange rate changes have both long- and short-term asymmetric effects on stock prices in the Fragile Five economies. However, after the global financial crisis, exchange rate changes have both short- and long-term asymmetric and symmetric effects. Similarly, exchange rate changes also have asymmetric effects on stock prices during the COVID-19 period.

JEL Classification
B22: Macroeconomics
C33: Models with Panel Data; Longitudinal Data; Spatial Time Series
E44: Financial Markets and the Macroeconomy
F31: Foreign Exchange
Keywords: Exchange rates | stock prices | panel ARDL | nonlinear panel ARDL
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