Journal article
Comparative analysis of the exchange rates-stock returns nexus in commodity-exporters and -importers before and during the war in Ukraine
Research in international business and finance, v 67, p102152
01 Jan 2024
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This study conducts a comparative empirical examination of the dynamics of exchange ratesstock market returns nexus in four selected advanced economies before and during the war in Ukraine. We selected those countries from a commodity point of view, although we do not include commodities in the analysis. More explicitly, we focus on Germany and the UK as two major importers, and Australia and Canada as two major exporters of commodities. We use daily data and employ two complementary methodologies including the time-varying granger causality and the DS-ARDL techniques to investigate: first, how the exchange rates-stock market return nexus changes before and during the war, and second, whether the nature of this relationship is different for commodity-exporters and -importers. Our analysis shows that the causality mainly flows from the stock market indices to the exchange rates in both periods before and during the war and it does not distinguish between commodity-exporters and -importers. Practical implications for investors and decision-makers are also discussed.
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Details
- Title
- Comparative analysis of the exchange rates-stock returns nexus in commodity-exporters and -importers before and during the war in Ukraine
- Creators
- Amin Sokhanvar - Final International UniversitySerhan Ciftcioglu - Ural Federal UniversityShawkat Hammoudeh - Drexel University
- Publication Details
- Research in international business and finance, v 67, p102152
- Publisher
- Elsevier
- Number of pages
- 19
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:001109784600001
- Scopus ID
- 2-s2.0-85175811500
- Other Identifier
- 991021811747304721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance