پیوندهای سهام و بازار ارز در اقتصادهای نوظهور

This paper investigates bi-directional linkages between the stock and foreign exchange markets of a number of emerging economies. This is accomplished by estimating a vector autoregressive model with Generalized Autoregressive Conditional Heteroskedasticity (VAR-GARCH) for each of twelve emerging economies. Included in model dynamics are the effects of global and regional stock markets on the stock and foreign exchange markets. We find significant bi-directional spillovers between stock and foreign exchange markets. Moreover, we investigate whether a country's choice of exchange rate regime or the Asian financial crisis had a significant effect on the volatility spillover mechanism.

It is widely acknowledged that international financial markets have become substantially more integrated in recent years. On the one hand, the collapse of the Bretton Woods system was followed by greater exchange rate fluctuations. On the other, the liberalization of stock markets and capital flows in the 1990s was followed by a huge increase in the volume of cross border transactions in both securities and currencies. The interlinkage between the stock and foreign exchange markets has been a topic of interest of academic researchers and practitioners alike. There is a lot of interest in the financial press on the linkage between returns in the stock and foreign exchange markets in light of the implications of this issue for international portfolio management. There are contrasting views in the financial press, however, on the direction of linkage. For instance one article (“Asia Currencies Stay Buoyant Amid Storms,” Financial Times, August 18, 2011) reports that the ‘traditional’ correlation between higher equity returns and appreciating currencies appears to have broken down recently in Asia while another (“Weakest currency areas give best returns,” Financial Times, March 4, 2012) reports that higher stock returns in emerging economies are correlated with depreciating currencies. There is a considerable academic literature examining linkages between stock and foreign exchange markets. The flow and portfolio-balance theories of exchange rate determination posit theoretical links between changes in the value of a country's currency and stock prices. This issue has been examined empirically by a number of studies most of which have focused on advanced economies. In view of the increasing significance of the emerging economies in the global financial system, more recent studies have directed emphasis on these economies. Parallel to the literature on the linkage between the stock and foreign exchange market, another branch of the literature has focused on geographic linkages between stock markets. In particular, the mechanism by which shocks in mature stock markets (stock markets of developed economies) are transmitted to stock markets in emerging economies has been the subject of numerous theoretical and empirical studies. The literature on this issue is large and we provide a very brief review in the next section by way of motivating our inclusion of geographic (global and regional) spillovers between stock markets. Despite extensive research on these interrelated issues, there has been very little work incorporating all of them within a unified empirical framework. The purpose of this paper is to estimate empirically such a framework in order to examine the link between the stock and foreign exchange market in emerging economies allowing for geographic linkages across stock markets. Based on this framework, we provide evidence on a number of hypotheses and test various facets of stock and foreign exchange market interaction in emerging economies. The paper is organized as follows. Section 2 is a brief summary of the literature. Section 3 presents the methodology and Section 4 the data. Section 5 discusses the evidence from the estimation and tests of the empirical framework and the final section concludes the paper.

The aim of this paper is to investigate bi-directional return and volatility spillovers between the stock market and the foreign exchange market of twelve emerging economies. In addition to the emerging stock and foreign exchange markets, the model incorporates spillovers from the global and regional stock market. Our analysis shows that there is strong evidence of bi-directional causality in variance between the foreign exchange market and stock market in all emerging economies but Colombia. Global and regional stock markets also contribute significantly to volatility spillovers. Using the notion of shift contagion, the Asian crisis has had a significant effect on the volatility transmission mechanism between the foreign exchange market and the emerging stock market (in both directions). In addition, more flexible exchange rate regimes are associated with higher volatility spillovers between the foreign exchange and stock market for the majority of emerging economies in our sample.