Revisiting the Dynamic Linkages between the Stock Markets and the Currency Exchange Rates: Testament from the select BRICS Economies
DOI:
https://doi.org/10.58574/jaa.2026.v5.i1.12Keywords:
Stock Markets, Exchange Rates, Quantile Regression, Wavelet Coherence, BRICSAbstract
This study uses quarterly closing data of stock markets and currency exchange rates from the BRICS nations during Q3 1997 to Q2 2025, with 112 sample observations, to inspect the dynamic relationship along with co-movements between the stock market indices and currency exchange rates. Diverse econometric approaches, namely the ADF unit root test, the quantile regression model and the Wavelet Coherence analysis, are used to address the motives of the study. The dynamic relationship across different quantiles, along with the co-movements between the select stock market indices and currency exchange rates from BRICS nations, is captured as it evolves.
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Copyright (c) 2026 Dr. Raktim Ghosh
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