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Article
Publication date: 28 May 2021

Saffet Akdag, Hakan Yildirim and Andrew Adewale Alola

The recent dynamics of trade policy, especially that is associated with the United States of America (USA) and China, has not only triggered policy adjustments in two economies…

339

Abstract

Purpose

The recent dynamics of trade policy, especially that is associated with the United States of America (USA) and China, has not only triggered policy adjustments in two economies, it has also implied an uncertainty spillover to other economies across the globe. Consequently, the current study attempts to examine the effect of uncertainties in the USA–China trade policies on stock market indexes. In addition, the cointegration evidence between the USA–China trade policy uncertainty index and of the leading Global South fragile quintet (Brazil, Indonesia, South Africa, India and Turkey) stock market indices is investigated.

Design/methodology/approach

Mainly, the FMOLS and DOLS Granger causality analysis with cointegration coefficient estimators were employed for the dataset over the monthly data period of March 2003 and July 2019.

Findings

Accordingly, the study found a long-term relationship between the USA–China Trade Policy Uncertainty index and the stock exchange indexes. In addition, a causal relationship was established from the change in the USA–China Trade Policy Uncertainty index to the change in the stock market indexes of almost all of the examined countries (Brazil, Indonesia, South Africa, India and Turkey). In addition, the nonlinear Autoregressive Distributed Lag approach further offers evidence of asymmetric relationship among the examined indicators.

Originality/value

Moreover, this study contributed to the existing literature because it employed the indexes of BIST100, BOVESPA, BSE Sensex 30, IDX Composite and South Africa 40 in a novel approach. Thus, the study posited a useful policy guideline for associated economic uncertainties arising from the trade dispute, such as the case of the world’s two largest trading giants or partners (i.e. the USA and China).

Details

Journal of Economic and Administrative Sciences, vol. 39 no. 1
Type: Research Article
ISSN: 1026-4116

Keywords

Available. Open Access. Open Access
Article
Publication date: 31 May 2022

Hakan Yildirim, Saffet Akdag and Andrew Adewale Alola

The last decades have experienced increasingly integrated global political and economic dynamics ranging especially from the influence of exchange rates and trade amid other…

1593

Abstract

Purpose

The last decades have experienced increasingly integrated global political and economic dynamics ranging especially from the influence of exchange rates and trade amid other sources of uncertainties. The purpose of this study is to examine the exchange rate dynamics of Brazil, Russia, India, China, and South Africa (BRICS) and the Republic of Turkey.

Design/methodology/approach

Given this perceived global dynamics, the current study examined the BRICS countries and the Republic of Turkey's exchange rate dynamics by using the United States (US) monthly dollar exchange rate data between January 2002 and August 2019. The price bubble which is expressed as exceeding the real value of assets' prices which is observably caused by speculative movements is investigated by using the Supremum Augmented Dickey-Fuller (SADF) and the Generalized Supremum Augmented Dickey-Fuller (GSADF) approaches.

Findings

Accordingly, the GSADF test results opined that there are price bubbles in the dollar exchange rate of other countries except for the United States Dollar (USD)/Indian Rupee (INR) exchange rate. As the related countries are classified as developing countries in terms of their structure, they are also expectedly the subject of speculative exchange rate movements. Speculative movements in exchange rates may cause serious problems in national economies.

Originality/value

Thus, the current study provides a policy framework to the BRICS countries and the Republic of Turkey.

Details

Journal of Economics, Finance and Administrative Science, vol. 27 no. 54
Type: Research Article
ISSN: 2218-0648

Keywords

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