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- W3124604328 abstract "The emergence of the BRICS (Brazil, Russia, India, China and South Africa) grouping and the rapid advancement of their stock market may results in the acceleration of the appreciation of their respective currencies and ultimately the loss of their trade competitiveness. Conversely, exchange rate risk in BRICS countries may compromise capital inflow in their respective stock markets and put at risk their returns. Thus, to explore the degree of the interaction between levels and volatilities of stock market returns and exchange rates in the BRICS grouping, this paper makes use of the multivariate VAR-GARCH-M model. This paper makes use of the multivariate VAR-GARCH-M model to assess the interaction between the level and volatility of the exchange rate and stock market returns in the BRICS economies The results of the paper indicate that stock returns in BRICS countries are influenced by the level and volatility of their respective exchange rates." @default.
- W3124604328 created "2021-02-01" @default.
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- W3124604328 date "2012-01-01" @default.
- W3124604328 modified "2023-09-23" @default.
- W3124604328 title "Interaction between levels and volatilities of Stock market returns and exchange rate in the BRICS grouping" @default.
- W3124604328 hasPublicationYear "2012" @default.
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