Spillover effect of US dollar on the stock indices of BRICS
Tài liệu tham khảo
Abdalla, 1997, Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines, Appl. Financ. Econ., 7, 25, 10.1080/096031097333826
Aggarwal, 1981, Exchange rates and stock prices: a study of US capital market under floating exchange rates, Akron Bus. Econ. Rev., 12, 7
Anatolyev, 2008, A 10-year retrospective on the determinants of Russian stock returns, Res. Int. Bus. Finance, 22, 56, 10.1016/j.ribaf.2006.12.001
Bahmani-Oskooee, 2016, Do exchange rate changes have symmetric or asymmetric effects on stock prices?, Global Finance J., 31, 57, 10.1016/j.gfj.2016.06.005
Bhar, 2009, Return, volatility spillovers and dynamic correlation in the BRIC equity markets: an analysis using a bivariate EGARCH framework, Global Finance J., 19, 203, 10.1016/j.gfj.2008.09.005
Blonigen, 1997, Firm-specific assets and the link between exchange rates and foreign direct investment, Am. Econ. Rev., 447
Branson, 1977, Exchange rate in the short run: the dollar Deutsche mark rate, Eur. Econ. Rev., 10, 303, 10.1016/S0014-2921(77)80002-0
Chow, 1997, The exchange-rate risk exposure of asset returns, J. Bus., 105, 10.1086/209710
Do, 2015, Realized spill-over effects between stock and foreign exchange market: evidence from regional analysis, Global Finance J., 28, 24, 10.1016/j.gfj.2015.11.003
Dornbusch, 1980, Exchange rates and the current account, Am. Econ. Rev., 70, 960
Eiteman, 2009
Garg, 2014, Foreign portfolio investment flows to India: determinants and analysis, World Dev., 59, 16, 10.1016/j.worlddev.2014.01.030
Gujarati, 2011
Helleiner, 2015, International policy coordination for development: the forgotten legacy of bretton woods, United Nations Conference on Trade and Development, Discussion Paper, No. 221
Ho, 2015, The nonlinear relationships between stock indexes and exchange rates, Jpn. World Economy, 33, 20, 10.1016/j.japwor.2015.02.002
Kanas, 2000, Volatility spillovers between stock returns and exchange rate changes: international evidence, J. Bus. Finance Account., 27, 447, 10.1111/1468-5957.00320
Kenneth, 2016
Leeves, 2007, Asymmetric volatility of stock returns during the Asian crisis: evidence from Indonesia, Int. Rev. Econ. Finance, 16, 272, 10.1016/j.iref.2005.04.001
Ma, 1990, On exchange rate changes and stock price reactions, J. Bus. Finance Account., 17, 441, 10.1111/j.1468-5957.1990.tb01196.x
Mahalakshmi, 2015, Determinants of foreign direct investment inflows in to India, J. Int. Econ., 6, 24
Mahalakshmi, 2016, Causal links between foreign direct investment inflows and macro economic indicators of India, South Asian J. Manage., 23, 112
Mozumder, 2015, Volatility spillover between stock prices and exchange rates: new evidence across the recent financial crisis period, Econ. Issues, 20, 43
Mun, 2008, Effects of exchange rate fluctuations on equity market volatility and correlations: evidence from the Asian financial crisis, Q. J. Finance Account., 77
Oberholzer, 2015, Volatility spill-over between the JSE/FTSE indices and the South African Rand, Procedia Econ. Finance, 24, 501, 10.1016/S2212-5671(15)00618-8
Radulescu, 2014, BRICS countries challenge to the world economy new trends, Procedia Econ. Finance, 8, 605, 10.1016/S2212-5671(14)00135-X
Reboredo, 2016, Downside and upside risk spillovers between exchange rates and stock prices, J. Bank. Finance, 62, 76, 10.1016/j.jbankfin.2015.10.011
Roll, 1992, Industrial structure and the comparative behavior of international stock market indices, J. Finance, 47, 3, 10.1111/j.1540-6261.1992.tb03977.x
Soenen, 1988, An analysis of exchange-rates and stock-prices-the united-states experience between 1980 and 1986, Akron Bus. Econ. Rev., 19, 7
Su, 2015, Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market, Econ. Modell., 46, 204, 10.1016/j.econmod.2014.12.022
Sui, 2016, Spillover effects between exchange rates and stock prices: evidence from BRICS around the recent global financial crisis, Res. Int. Bus. Finance, 36, 459, 10.1016/j.ribaf.2015.10.011
Tsagkanos, 2013, A long-run relationship between stock price index and exchange rate: a structural nonparametric cointegrating regression approach, J. Int. Financ. Markets Institutions Money, 25, 106, 10.1016/j.intfin.2013.01.008
Discussion Paper on International Policy Coordination for Development: The Forgotten Legacy of Bretton Woods. United Nations Conference on Trade and Development, No. 221, May 2015. http://unctad.org/en/pages/publications/Discussion-Papers-(Series).aspx.
Walid, 2011, Stock market volatility and exchange rates in emerging countries: a Markov-state switching approach, Emerg. Markets Rev., 12, 272, 10.1016/j.ememar.2011.04.003
Yong Fu, 2011, Volatility transmission and asymmetric linkages between the stock and foreign exchange markets: a sectoral analysis, Stud. Econ. Finance, 28, 36, 10.1108/10867371111110543