Analysis of Symmetric and Asymmetric Nonlinear Causal Relationship between Stock Prices and Exchange Rates for Selected Emerging Market Economies



This study investigates the symmetric and the asymmetric nonlinear causal relationship between exchange rates and stock prices in BRICS and Turkey. To this end, the Mackey-Glass model allowing to test the symmetric and asymmetric nonlinear causality by identifying the types of feedbacks of the related variables has been employed. While the results of the symmetric nonlinear causality test present little evidence for the relationship, the asymmetric counterpart of the test indicates strong evidence for the causal relationship. As a result, these findings imply the existence of the noisy tradings and speculative behaviours in both exchange rate and stock markets.

Anahtar Kelimeler

Mackey-Glass Model; Symmetric and Asymmetric Causality; Stock Prices; Exchange Rates; Nonlinear Causality

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