Spillover effects between exchange rates and stock prices: Evidence from BRICS around the recent global financial crisis

被引：100

作者：

Sui, Lu ^{[1
]}

Sun, Lijuan ^{[1
,2
]}

机构：

[1] Univ Texas Rio Grande Valley, Coll Business & Entrepreneurship, Dept Econ & Finance, 1201 West Univ Dr, Edinburg, TX 78539 USA

[2] 1705 W McIntyre St Apt 6, Edinburg, TX 78541 USA

来源：

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2016年 / 36卷

关键词：

BRICS; Foreign exchange market; Stock market; Interest differentials; Global financial crisis; Spillover effects; RETURNS;

D O I：

10.1016/j.ribaf.2015.10.011

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study examines the dynamic relationships among local stock returns, foreign exchange rates, interest differentials, and U.S. S&P 500 returns. The research countries are Brazil, Russia, India, China, and South Africa (BRICS) in the regime of managed floating exchange rate, but China manipulates the foreign exchange rate, interest rate and restricts foreign capital flows most strictly. We find significant spillover effects from foreign exchange rates to stock returns in the short-run, but not vice versa. U.S. S&P 500 shocks significantly influence stock markets in Brazil, China, and South Africa. Furthermore, there are stronger spillover effects between exchange rates and stock returns during the 2007-2009 financial crisis. (C) 2015 Elsevier B.V. All rights reserved.

引用

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页码：459 / 471

页数：13

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