USV Annals of Economics and Public Administration (Jun 2020)
Exchange rate movements, stock prices, volatility spillover and global recession
Abstract
Exchange rate and stock prices has grabbed the attention of researchers and had been a subject of empirical research for some decades now especially in the wake of events like Asian financial crisis and global recession. Exchange rates are said to effect stock prices, while a few argue that stock prices in turn effect exchange rates, this disagreement among the researchers has left the question open for research. This article attempts to review the existing empirical literature available on the subject and separating it into two (1) studies based on causality and Cointegration (2) studies based on volatility spillover. This article also tries to offer brief summary of each study for convenient understanding of researchers. Lastly, new direction for future research has been provided.
