Alimi Ahmed S, Adediran Idris A
Federal Ministry of Women Affairs, Abuja, Nigeria.
Centre for Econometrics and Applied Research, Ibadan, Nigeria.
Sci Afr. 2023 Jul;20:e01671. doi: 10.1016/j.sciaf.2023.e01671. Epub 2023 Apr 14.
This study takes a new look at the stock price-exchange rate nexus and attempts contributions to the extant studies in a number of intuitive ways. First, we analyze the reverse relationships given the theory-backed two-way causality between the two variables. We reassess the nexus across the First, Second and Third Waves of the COVID-19 pandemic, as well as comparison between advanced and emerging economies. Third, we adopt a panel modeling approach that simultaneously takes nonstationarity, cross sectional dependence, and asymmetry into account. The data analyses show that the relationship is statistically negative for the two nexuses. The magnitudes were higher during the crisis (the COVID-19 pandemic) although the relationship broke down during the Second Wave as the Delta variant surged. We identify relevant investment and policy implications of the findings.
本研究重新审视了股价与汇率之间的关系，并试图以多种直观方式为现有研究做出贡献。首先，鉴于这两个变量之间存在理论支持的双向因果关系，我们分析了反向关系。我们重新评估了新冠疫情第一波、第二波和第三波期间的这种关系，以及发达经济体和新兴经济体之间的比较。第三，我们采用面板建模方法，同时考虑了非平稳性、横截面依赖性和不对称性。数据分析表明，这两种关系在统计上呈负相关。尽管在第二波疫情期间，随着德尔塔变种的激增，这种关系破裂，但在危机（新冠疫情）期间，这种关系的强度更高。我们确定了这些发现的相关投资和政策含义。
