Do financial crises matter for nonlinear exchange rate and stock market cointegration? : a heterogeneous nonlinear panel data model with PMG approach

The existing literature has explained the causality flow from the exchange rates toward the stock market without explaining the role of the economic crisis in effecting this nexus. This study examines the role of the financial crisis in affecting the nonlinear causality flowing from the exchange rat...
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Autor*in:	Tabash, Mosab I. [verfasserIn] Sheikh, Umaid A. [verfasserIn] Matar, Ali [verfasserIn] Ahmed, Adel [verfasserIn] Dang Khoa Tran [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2022

Rechteinformationen:	Open Access Namensnennung 4.0 International ; CC BY 4.0

Schlagwörter:	stock indexes exchange rate heterogeneous nonlinear panel ARDL model Hsiao test ofheterogeneity asymmetrical Granger causality global financial crisis 2008

Übergeordnetes Werk:	Enthalten in: International Journal of Financial Studies - Basel : MDPI, 2013, 11(2023), 1 vom: März, Artikel-ID 7, Seite 1-22
Übergeordnetes Werk:	volume:11 ; year:2023 ; number:1 ; month:03 ; elocationid:7 ; pages:1-22

Links:	Link aufrufen Link aufrufen

DOI / URN:	10.3390/ijfs11010007

Katalog-ID:	1836941927

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allfields	10.3390/ijfs11010007 doi (DE-627)1836941927 (DE-599)KXP1836941927 DE-627 ger DE-627 rda eng Tabash, Mosab I. verfasserin (DE-588)1226712134 (DE-627)1747759821 aut Do financial crises matter for nonlinear exchange rate and stock market cointegration? a heterogeneous nonlinear panel data model with PMG approach Mosab I. Tabash, Umaid A. Sheikh, Ali Matar, Adel Ahmed and Dang Khoa Tran 2022 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 The existing literature has explained the causality flow from the exchange rates toward the stock market without explaining the role of the economic crisis in effecting this nexus. This study examines the role of the financial crisis in affecting the nonlinear causality flowing from the exchange rates toward the stock market indexes of the ASEAN-5 region. The precrisis, postcrisis, and overall sample duration comprised 365, 650, and 1085 observations over the periods from January 2002 to January 2008, January 2010 to January 2020, and January 2002 to January 2020, respectively. The results showed that the conventional symmetrical panel ARDL (PARDL) model was not able to formulate long-run cointegration between currency value fluctuations and stock market indexes for both regimes, i.e., the post recessionary and pre recessionary periods. However, asymmetrical cointegration was established between the currency values and stock market indexes for the pre recessionary period and the overall sampling time frame by utilizing the panel-based NARDL framework (PNARDL). The study suggests practical implications for the exporters and importers to consider the regime as well as both the negative and positive shocks in the international dollar values while making forward contractual agreements. DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/ stock indexes (dpeaa)DE-206 exchange rate (dpeaa)DE-206 heterogeneous nonlinear panel ARDL model (dpeaa)DE-206 Hsiao test ofheterogeneity (dpeaa)DE-206 asymmetrical Granger causality (dpeaa)DE-206 global financial crisis 2008 (dpeaa)DE-206 Sheikh, Umaid A. verfasserin aut Matar, Ali verfasserin aut Ahmed, Adel verfasserin aut Dang Khoa Tran verfasserin (DE-588)1239199090 (DE-627)1767272138 aut Enthalten in International Journal of Financial Studies Basel : MDPI, 2013 11(2023), 1 vom: März, Artikel-ID 7, Seite 1-22 Online-Ressource (DE-627)737287705 (DE-600)2704235-2 (DE-576)379466791 2227-7072 nnns volume:11 year:2023 number:1 month:03 elocationid:7 pages:1-22 https://www.mdpi.com/2227-7072/11/1/7/pdf?version=1675153991 Verlag kostenfrei https://doi.org/10.3390/ijfs11010007 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 11 2023 1 3 7 1-22 26 01 0206 4273855410 x1z 17-02-23 2403 01 DE-LFER 4312764190 00 --%%-- --%%-- n --%%-- l01 23-04-23 2403 01 DE-LFER https://doi.org/10.3390/ijfs11010007 2403 01 DE-LFER https://www.mdpi.com/2227-7072/11/1/7/pdf?version=1675153991
spelling	10.3390/ijfs11010007 doi (DE-627)1836941927 (DE-599)KXP1836941927 DE-627 ger DE-627 rda eng Tabash, Mosab I. verfasserin (DE-588)1226712134 (DE-627)1747759821 aut Do financial crises matter for nonlinear exchange rate and stock market cointegration? a heterogeneous nonlinear panel data model with PMG approach Mosab I. Tabash, Umaid A. Sheikh, Ali Matar, Adel Ahmed and Dang Khoa Tran 2022 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 The existing literature has explained the causality flow from the exchange rates toward the stock market without explaining the role of the economic crisis in effecting this nexus. This study examines the role of the financial crisis in affecting the nonlinear causality flowing from the exchange rates toward the stock market indexes of the ASEAN-5 region. The precrisis, postcrisis, and overall sample duration comprised 365, 650, and 1085 observations over the periods from January 2002 to January 2008, January 2010 to January 2020, and January 2002 to January 2020, respectively. The results showed that the conventional symmetrical panel ARDL (PARDL) model was not able to formulate long-run cointegration between currency value fluctuations and stock market indexes for both regimes, i.e., the post recessionary and pre recessionary periods. However, asymmetrical cointegration was established between the currency values and stock market indexes for the pre recessionary period and the overall sampling time frame by utilizing the panel-based NARDL framework (PNARDL). The study suggests practical implications for the exporters and importers to consider the regime as well as both the negative and positive shocks in the international dollar values while making forward contractual agreements. DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/ stock indexes (dpeaa)DE-206 exchange rate (dpeaa)DE-206 heterogeneous nonlinear panel ARDL model (dpeaa)DE-206 Hsiao test ofheterogeneity (dpeaa)DE-206 asymmetrical Granger causality (dpeaa)DE-206 global financial crisis 2008 (dpeaa)DE-206 Sheikh, Umaid A. verfasserin aut Matar, Ali verfasserin aut Ahmed, Adel verfasserin aut Dang Khoa Tran verfasserin (DE-588)1239199090 (DE-627)1767272138 aut Enthalten in International Journal of Financial Studies Basel : MDPI, 2013 11(2023), 1 vom: März, Artikel-ID 7, Seite 1-22 Online-Ressource (DE-627)737287705 (DE-600)2704235-2 (DE-576)379466791 2227-7072 nnns volume:11 year:2023 number:1 month:03 elocationid:7 pages:1-22 https://www.mdpi.com/2227-7072/11/1/7/pdf?version=1675153991 Verlag kostenfrei https://doi.org/10.3390/ijfs11010007 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 11 2023 1 3 7 1-22 26 01 0206 4273855410 x1z 17-02-23 2403 01 DE-LFER 4312764190 00 --%%-- --%%-- n --%%-- l01 23-04-23 2403 01 DE-LFER https://doi.org/10.3390/ijfs11010007 2403 01 DE-LFER https://www.mdpi.com/2227-7072/11/1/7/pdf?version=1675153991
allfields_unstemmed	10.3390/ijfs11010007 doi (DE-627)1836941927 (DE-599)KXP1836941927 DE-627 ger DE-627 rda eng Tabash, Mosab I. verfasserin (DE-588)1226712134 (DE-627)1747759821 aut Do financial crises matter for nonlinear exchange rate and stock market cointegration? a heterogeneous nonlinear panel data model with PMG approach Mosab I. Tabash, Umaid A. Sheikh, Ali Matar, Adel Ahmed and Dang Khoa Tran 2022 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 The existing literature has explained the causality flow from the exchange rates toward the stock market without explaining the role of the economic crisis in effecting this nexus. This study examines the role of the financial crisis in affecting the nonlinear causality flowing from the exchange rates toward the stock market indexes of the ASEAN-5 region. The precrisis, postcrisis, and overall sample duration comprised 365, 650, and 1085 observations over the periods from January 2002 to January 2008, January 2010 to January 2020, and January 2002 to January 2020, respectively. The results showed that the conventional symmetrical panel ARDL (PARDL) model was not able to formulate long-run cointegration between currency value fluctuations and stock market indexes for both regimes, i.e., the post recessionary and pre recessionary periods. However, asymmetrical cointegration was established between the currency values and stock market indexes for the pre recessionary period and the overall sampling time frame by utilizing the panel-based NARDL framework (PNARDL). The study suggests practical implications for the exporters and importers to consider the regime as well as both the negative and positive shocks in the international dollar values while making forward contractual agreements. DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/ stock indexes (dpeaa)DE-206 exchange rate (dpeaa)DE-206 heterogeneous nonlinear panel ARDL model (dpeaa)DE-206 Hsiao test ofheterogeneity (dpeaa)DE-206 asymmetrical Granger causality (dpeaa)DE-206 global financial crisis 2008 (dpeaa)DE-206 Sheikh, Umaid A. verfasserin aut Matar, Ali verfasserin aut Ahmed, Adel verfasserin aut Dang Khoa Tran verfasserin (DE-588)1239199090 (DE-627)1767272138 aut Enthalten in International Journal of Financial Studies Basel : MDPI, 2013 11(2023), 1 vom: März, Artikel-ID 7, Seite 1-22 Online-Ressource (DE-627)737287705 (DE-600)2704235-2 (DE-576)379466791 2227-7072 nnns volume:11 year:2023 number:1 month:03 elocationid:7 pages:1-22 https://www.mdpi.com/2227-7072/11/1/7/pdf?version=1675153991 Verlag kostenfrei https://doi.org/10.3390/ijfs11010007 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 11 2023 1 3 7 1-22 26 01 0206 4273855410 x1z 17-02-23 2403 01 DE-LFER 4312764190 00 --%%-- --%%-- n --%%-- l01 23-04-23 2403 01 DE-LFER https://doi.org/10.3390/ijfs11010007 2403 01 DE-LFER https://www.mdpi.com/2227-7072/11/1/7/pdf?version=1675153991
allfieldsGer	10.3390/ijfs11010007 doi (DE-627)1836941927 (DE-599)KXP1836941927 DE-627 ger DE-627 rda eng Tabash, Mosab I. verfasserin (DE-588)1226712134 (DE-627)1747759821 aut Do financial crises matter for nonlinear exchange rate and stock market cointegration? a heterogeneous nonlinear panel data model with PMG approach Mosab I. Tabash, Umaid A. Sheikh, Ali Matar, Adel Ahmed and Dang Khoa Tran 2022 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 The existing literature has explained the causality flow from the exchange rates toward the stock market without explaining the role of the economic crisis in effecting this nexus. This study examines the role of the financial crisis in affecting the nonlinear causality flowing from the exchange rates toward the stock market indexes of the ASEAN-5 region. The precrisis, postcrisis, and overall sample duration comprised 365, 650, and 1085 observations over the periods from January 2002 to January 2008, January 2010 to January 2020, and January 2002 to January 2020, respectively. The results showed that the conventional symmetrical panel ARDL (PARDL) model was not able to formulate long-run cointegration between currency value fluctuations and stock market indexes for both regimes, i.e., the post recessionary and pre recessionary periods. However, asymmetrical cointegration was established between the currency values and stock market indexes for the pre recessionary period and the overall sampling time frame by utilizing the panel-based NARDL framework (PNARDL). The study suggests practical implications for the exporters and importers to consider the regime as well as both the negative and positive shocks in the international dollar values while making forward contractual agreements. DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/ stock indexes (dpeaa)DE-206 exchange rate (dpeaa)DE-206 heterogeneous nonlinear panel ARDL model (dpeaa)DE-206 Hsiao test ofheterogeneity (dpeaa)DE-206 asymmetrical Granger causality (dpeaa)DE-206 global financial crisis 2008 (dpeaa)DE-206 Sheikh, Umaid A. verfasserin aut Matar, Ali verfasserin aut Ahmed, Adel verfasserin aut Dang Khoa Tran verfasserin (DE-588)1239199090 (DE-627)1767272138 aut Enthalten in International Journal of Financial Studies Basel : MDPI, 2013 11(2023), 1 vom: März, Artikel-ID 7, Seite 1-22 Online-Ressource (DE-627)737287705 (DE-600)2704235-2 (DE-576)379466791 2227-7072 nnns volume:11 year:2023 number:1 month:03 elocationid:7 pages:1-22 https://www.mdpi.com/2227-7072/11/1/7/pdf?version=1675153991 Verlag kostenfrei https://doi.org/10.3390/ijfs11010007 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 11 2023 1 3 7 1-22 26 01 0206 4273855410 x1z 17-02-23 2403 01 DE-LFER 4312764190 00 --%%-- --%%-- n --%%-- l01 23-04-23 2403 01 DE-LFER https://doi.org/10.3390/ijfs11010007 2403 01 DE-LFER https://www.mdpi.com/2227-7072/11/1/7/pdf?version=1675153991
allfieldsSound	10.3390/ijfs11010007 doi (DE-627)1836941927 (DE-599)KXP1836941927 DE-627 ger DE-627 rda eng Tabash, Mosab I. verfasserin (DE-588)1226712134 (DE-627)1747759821 aut Do financial crises matter for nonlinear exchange rate and stock market cointegration? a heterogeneous nonlinear panel data model with PMG approach Mosab I. Tabash, Umaid A. Sheikh, Ali Matar, Adel Ahmed and Dang Khoa Tran 2022 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 The existing literature has explained the causality flow from the exchange rates toward the stock market without explaining the role of the economic crisis in effecting this nexus. This study examines the role of the financial crisis in affecting the nonlinear causality flowing from the exchange rates toward the stock market indexes of the ASEAN-5 region. The precrisis, postcrisis, and overall sample duration comprised 365, 650, and 1085 observations over the periods from January 2002 to January 2008, January 2010 to January 2020, and January 2002 to January 2020, respectively. The results showed that the conventional symmetrical panel ARDL (PARDL) model was not able to formulate long-run cointegration between currency value fluctuations and stock market indexes for both regimes, i.e., the post recessionary and pre recessionary periods. However, asymmetrical cointegration was established between the currency values and stock market indexes for the pre recessionary period and the overall sampling time frame by utilizing the panel-based NARDL framework (PNARDL). The study suggests practical implications for the exporters and importers to consider the regime as well as both the negative and positive shocks in the international dollar values while making forward contractual agreements. DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/ stock indexes (dpeaa)DE-206 exchange rate (dpeaa)DE-206 heterogeneous nonlinear panel ARDL model (dpeaa)DE-206 Hsiao test ofheterogeneity (dpeaa)DE-206 asymmetrical Granger causality (dpeaa)DE-206 global financial crisis 2008 (dpeaa)DE-206 Sheikh, Umaid A. verfasserin aut Matar, Ali verfasserin aut Ahmed, Adel verfasserin aut Dang Khoa Tran verfasserin (DE-588)1239199090 (DE-627)1767272138 aut Enthalten in International Journal of Financial Studies Basel : MDPI, 2013 11(2023), 1 vom: März, Artikel-ID 7, Seite 1-22 Online-Ressource (DE-627)737287705 (DE-600)2704235-2 (DE-576)379466791 2227-7072 nnns volume:11 year:2023 number:1 month:03 elocationid:7 pages:1-22 https://www.mdpi.com/2227-7072/11/1/7/pdf?version=1675153991 Verlag kostenfrei https://doi.org/10.3390/ijfs11010007 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 11 2023 1 3 7 1-22 26 01 0206 4273855410 x1z 17-02-23 2403 01 DE-LFER 4312764190 00 --%%-- --%%-- n --%%-- l01 23-04-23 2403 01 DE-LFER https://doi.org/10.3390/ijfs11010007 2403 01 DE-LFER https://www.mdpi.com/2227-7072/11/1/7/pdf?version=1675153991
language	English
source	Enthalten in International Journal of Financial Studies 11(2023), 1 vom: März, Artikel-ID 7, Seite 1-22 volume:11 year:2023 number:1 month:03 elocationid:7 pages:1-22
sourceStr	Enthalten in International Journal of Financial Studies 11(2023), 1 vom: März, Artikel-ID 7, Seite 1-22 volume:11 year:2023 number:1 month:03 elocationid:7 pages:1-22
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institution	findex.gbv.de
selectbib_iln_str_mv	26@1z 2403@01
topic_facet	stock indexes exchange rate heterogeneous nonlinear panel ARDL model Hsiao test ofheterogeneity asymmetrical Granger causality global financial crisis 2008
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container_title	International Journal of Financial Studies
authorswithroles_txt_mv	Tabash, Mosab I. @@aut@@ Sheikh, Umaid A. @@aut@@ Matar, Ali @@aut@@ Ahmed, Adel @@aut@@ Dang Khoa Tran @@aut@@
publishDateDaySort_date	2023-03-01T00:00:00Z
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spellingShingle	Tabash, Mosab I. misc stock indexes misc exchange rate misc heterogeneous nonlinear panel ARDL model misc Hsiao test ofheterogeneity misc asymmetrical Granger causality misc global financial crisis 2008 Do financial crises matter for nonlinear exchange rate and stock market cointegration? a heterogeneous nonlinear panel data model with PMG approach
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topic_title	Do financial crises matter for nonlinear exchange rate and stock market cointegration? a heterogeneous nonlinear panel data model with PMG approach Mosab I. Tabash, Umaid A. Sheikh, Ali Matar, Adel Ahmed and Dang Khoa Tran stock indexes (dpeaa)DE-206 exchange rate (dpeaa)DE-206 heterogeneous nonlinear panel ARDL model (dpeaa)DE-206 Hsiao test ofheterogeneity (dpeaa)DE-206 asymmetrical Granger causality (dpeaa)DE-206 global financial crisis 2008 (dpeaa)DE-206
topic	misc stock indexes misc exchange rate misc heterogeneous nonlinear panel ARDL model misc Hsiao test ofheterogeneity misc asymmetrical Granger causality misc global financial crisis 2008
topic_unstemmed	misc stock indexes misc exchange rate misc heterogeneous nonlinear panel ARDL model misc Hsiao test ofheterogeneity misc asymmetrical Granger causality misc global financial crisis 2008
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title	Do financial crises matter for nonlinear exchange rate and stock market cointegration? a heterogeneous nonlinear panel data model with PMG approach
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title_full	Do financial crises matter for nonlinear exchange rate and stock market cointegration? a heterogeneous nonlinear panel data model with PMG approach Mosab I. Tabash, Umaid A. Sheikh, Ali Matar, Adel Ahmed and Dang Khoa Tran
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title_sort	do financial crises matter for nonlinear exchange rate and stock market cointegration?a heterogeneous nonlinear panel data model with pmg approach
title_auth	Do financial crises matter for nonlinear exchange rate and stock market cointegration? a heterogeneous nonlinear panel data model with PMG approach
abstract	The existing literature has explained the causality flow from the exchange rates toward the stock market without explaining the role of the economic crisis in effecting this nexus. This study examines the role of the financial crisis in affecting the nonlinear causality flowing from the exchange rates toward the stock market indexes of the ASEAN-5 region. The precrisis, postcrisis, and overall sample duration comprised 365, 650, and 1085 observations over the periods from January 2002 to January 2008, January 2010 to January 2020, and January 2002 to January 2020, respectively. The results showed that the conventional symmetrical panel ARDL (PARDL) model was not able to formulate long-run cointegration between currency value fluctuations and stock market indexes for both regimes, i.e., the post recessionary and pre recessionary periods. However, asymmetrical cointegration was established between the currency values and stock market indexes for the pre recessionary period and the overall sampling time frame by utilizing the panel-based NARDL framework (PNARDL). The study suggests practical implications for the exporters and importers to consider the regime as well as both the negative and positive shocks in the international dollar values while making forward contractual agreements.
abstractGer	The existing literature has explained the causality flow from the exchange rates toward the stock market without explaining the role of the economic crisis in effecting this nexus. This study examines the role of the financial crisis in affecting the nonlinear causality flowing from the exchange rates toward the stock market indexes of the ASEAN-5 region. The precrisis, postcrisis, and overall sample duration comprised 365, 650, and 1085 observations over the periods from January 2002 to January 2008, January 2010 to January 2020, and January 2002 to January 2020, respectively. The results showed that the conventional symmetrical panel ARDL (PARDL) model was not able to formulate long-run cointegration between currency value fluctuations and stock market indexes for both regimes, i.e., the post recessionary and pre recessionary periods. However, asymmetrical cointegration was established between the currency values and stock market indexes for the pre recessionary period and the overall sampling time frame by utilizing the panel-based NARDL framework (PNARDL). The study suggests practical implications for the exporters and importers to consider the regime as well as both the negative and positive shocks in the international dollar values while making forward contractual agreements.
abstract_unstemmed	The existing literature has explained the causality flow from the exchange rates toward the stock market without explaining the role of the economic crisis in effecting this nexus. This study examines the role of the financial crisis in affecting the nonlinear causality flowing from the exchange rates toward the stock market indexes of the ASEAN-5 region. The precrisis, postcrisis, and overall sample duration comprised 365, 650, and 1085 observations over the periods from January 2002 to January 2008, January 2010 to January 2020, and January 2002 to January 2020, respectively. The results showed that the conventional symmetrical panel ARDL (PARDL) model was not able to formulate long-run cointegration between currency value fluctuations and stock market indexes for both regimes, i.e., the post recessionary and pre recessionary periods. However, asymmetrical cointegration was established between the currency values and stock market indexes for the pre recessionary period and the overall sampling time frame by utilizing the panel-based NARDL framework (PNARDL). The study suggests practical implications for the exporters and importers to consider the regime as well as both the negative and positive shocks in the international dollar values while making forward contractual agreements.
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title_short	Do financial crises matter for nonlinear exchange rate and stock market cointegration?
url	https://www.mdpi.com/2227-7072/11/1/7/pdf?version=1675153991 https://doi.org/10.3390/ijfs11010007
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