Global Financial Crisis in Effecting Asymmetrical Co-integration between Exchange Rate and Stock Indexes of South Asian Region: Application of Panel Data NARDL and ARDL Modelling Approach with Asymmetrical Granger Causility

Global Financial Crisis in Effecting Asymmetrical Co-integration between Exchange Rate and Stock Indexes of South Asian Region: Application of Panel Data NARDL and ARDL Modelling Approach with Asymmetrical Granger Causility

This research examines the impact of positive and negative shocks of exchange rate on South Asian Stock indexes by employing a Non-linear Panel autoregressive distributive lag model along with a Panel Asymmetric granger casualty test. For the Panel-NARDL model, the Pre-crisis regime comprises of 289...

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Bibliographic Details
Main Authors: Umaid A Sheikh, Mosab I. Tabash, Muzaffar Asad
Format: Article
Language:English
Published: Taylor & Francis Group 2020-01-01
Series:Cogent Business & Management
Subjects:
non-linear panel ardl
cross-sectional augmented ips unit root
south asian stock indexes
global financial crisis
asymmetric granger causality analysis
exchange rate and stock prices
Online Access:http://dx.doi.org/10.1080/23311975.2020.1843309

Internet

http://dx.doi.org/10.1080/23311975.2020.1843309

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