[{"data":1,"prerenderedAt":-1},["ShallowReactive",2],{"detail-sidebar-cat-0-en-105":3,"doc-seo-202120-105":59,"doc-detail-202120-en":131},{"code":4,"msg":5,"data":6},0,"success",[7,13,18,23,28,33,38,43,48,51,55],{"id":8,"doc_module":4,"doc_module_name":9,"category_name":10,"show_sort_weight":11,"slug":12},1,"Document","Story & Novel",90,"story-novel",{"id":14,"doc_module":4,"doc_module_name":9,"category_name":15,"show_sort_weight":16,"slug":17},2,"Literature",80,"literature",{"id":19,"doc_module":4,"doc_module_name":9,"category_name":20,"show_sort_weight":21,"slug":22},4,"Exam",70,"exam",{"id":24,"doc_module":4,"doc_module_name":9,"category_name":25,"show_sort_weight":26,"slug":27},5,"Comic",60,"comic",{"id":29,"doc_module":4,"doc_module_name":9,"category_name":30,"show_sort_weight":31,"slug":32},6,"Technology",50,"technology",{"id":34,"doc_module":4,"doc_module_name":9,"category_name":35,"show_sort_weight":36,"slug":37},7,"Healthcare",40,"healthcare",{"id":39,"doc_module":4,"doc_module_name":9,"category_name":40,"show_sort_weight":41,"slug":42},8,"Research & Report",30,"research-report",{"id":44,"doc_module":4,"doc_module_name":9,"category_name":45,"show_sort_weight":46,"slug":47},9,"Religion & Spirituality",20,"religion-spirituality",{"id":46,"doc_module":4,"doc_module_name":9,"category_name":49,"show_sort_weight":46,"slug":50},"World Cup","world-cup",{"id":52,"doc_module":4,"doc_module_name":9,"category_name":53,"show_sort_weight":52,"slug":54},10,"Lifestyle","lifestyle",{"id":56,"doc_module":4,"doc_module_name":9,"category_name":57,"show_sort_weight":24,"slug":58},19,"General","general",{"code":4,"msg":60,"data":61},"ok",{"site_id":62,"language":63,"slug":64,"title":65,"keywords":66,"description":67,"schema_data":68,"social_meta":124,"head_meta":126,"extra_data":128,"updated_unix":130},105,"en","role-of-key-factors-in-the-exchange-rate-stock-market-relationship-minor-dissertation","Role of Key Factors in the Exchange Rate - Stock Market Relationship - Minor Dissertation","","This study examines the non-linear relationship between exchange rate movements and stock returns in developed and emerging markets, emphasizing moderation by interest rate and inflation differentials with the United States. A panel smooth transition regression model analyzes a crisis period from 2019 to 2021, capturing financial shocks linked to the COVID-19 pandemic. A quantile treatment effect analysis compares stock return responses across quantiles for thirty countries from 2015Q1 to 2022Q4, assessing both unconditional and conditional effects with macroeconomic controls. Results show significant non-linearities: emerging markets are more sensitive to exchange rate depreciations under high differentials, hurting stock returns, while developed markets remain more resilient. Policy and investor implications follow.",{"@graph":69,"@context":123},[70,84,106],{"@type":71,"itemListElement":72},"BreadcrumbList",[73,77,79,82],{"item":74,"name":75,"@type":76,"position":8},"https://docshare.wps.com","Home","ListItem",{"item":78,"name":9,"@type":76,"position":14},"https://docshare.wps.com/document/",{"item":80,"name":40,"@type":76,"position":81},"https://docshare.wps.com/document/research-report/",3,{"item":83,"name":65,"@type":76,"position":19},"https://docshare.wps.com/document/role-of-key-factors-in-the-exchange-rate-stock-market-relationship-minor-dissertation/202120/",{"url":83,"name":65,"@type":85,"image":86,"author":91,"headline":65,"publisher":94,"fileFormat":97,"inLanguage":63,"description":67,"dateModified":98,"datePublished":99,"encodingFormat":97,"isAccessibleForFree":100,"interactionStatistic":101},"DigitalDocument",{"url":87,"@type":88,"width":89,"height":90},"https://docshare.wps.com/thumbnails/role-of-key-factors-in-the-exchange-rate-stock-market-relationship-minor-dissertation/202120.png","ImageObject",300,407,{"name":92,"@type":93},"Paura","Person",{"url":74,"name":95,"@type":96},"DocShare","Organization","application/pdf","2026-10-30","2026-09-04",true,{"@type":102,"interactionType":103,"userInteractionCount":105},"InteractionCounter",{"@type":104},"ViewAction",12,{"@type":107,"mainEntity":108},"FAQPage",[109,115,119],{"name":110,"@type":111,"acceptedAnswer":112},"What main relationship does the study investigate?","Question",{"text":113,"@type":114},"The study investigates the non-linear relationship between exchange rate movements and stock returns in developed and emerging markets.","Answer",{"name":116,"@type":111,"acceptedAnswer":117},"How do interest rate and inflation differentials affect the dynamic?",{"text":118,"@type":114},"Interest rate and inflation differentials with the United States moderate the exchange rate–stock market relationship in the analysis.",{"name":120,"@type":111,"acceptedAnswer":121},"Which methods and periods are used to analyze the data?",{"text":122,"@type":114},"It uses a panel smooth transition regression model over 2019–2021 and a quantile treatment effect analysis across 2015Q1–2022Q4 for a panel of thirty countries.","https://schema.org",{"og:url":83,"og:type":125,"og:title":65,"og:site_name":95,"og:description":67},"article",{"robots":127,"canonical":83},"index,follow",{"doc_id":129,"site_id":62},202120,1788542458,{"code":4,"msg":5,"data":132},{"doc_id":129,"user_id":133,"nickname":92,"user_avatar":134,"doc_module":4,"category_id":39,"category_name":40,"doc_title":65,"doc_description":67,"doc_content":135,"file_id":136,"file_url":137,"file_type":138,"file_size":139,"view_count":105,"is_deleted":4,"is_public":8,"is_downloadable":8,"audit_status":8,"page_count":26,"language":140,"language_code":63,"site_id":62,"html_lang":63,"table_of_contents":141,"faqs":142,"seo_title":143,"seo_description":67,"update_tm":130,"read_time":144,"preview_page_count":4},13056712833777,"https://ap-avatar.wpscdn.com/davatar_29158cc5080c5b710cf443261637dec0","Role of key factors in the exchange rate–stock market  \nrelationship  \nby  \nMOISE KABWE WA KABWE  \nA minor dissertation submitted in partial fulfilment for the Degree  \nof  \nMaster of Financial Engineering  \nat the  \nCollege of Business and Economics  \nUNIVERSITY OF JOHANNESBURG  \nSupervisor: Prof. L. Bonga-Bonga  \nCOPYRIGHT AND CITATION CONSIDERATIONS FOR THIS THESIS/ DISSERTATION  \no Attribution—You must give appropriate credit, provide a link to the license, and indicate if changes were made. You may do so in any reasonable manner, but not in any way that suggests the licensor endorses you or your use.  \no NonCommercial—You may not use the material for commercial purposes.  \no ShareAlike—If you remix, transform, or build upon the material, you must distribute your contributions under the same license as the original.  \nHow to cite this thesis  \nSurname, Initial(s) . (2012) . Title of the thesis or dissertation (Doctoral Thesis / Master’s Dissertation) . Johannesburg: University of Johannesburg. Available from:  \n[http://hdl.handle.net/102000/0002](http://hdl.handle.net/102000/0002) (Accessed: 22 August 2017) .  \nDeclaration  \nI certify that the minor dissertation/dissertation/thesis submitted by me for the degree Master of Financial Engineering at the University of Johannesburg is my independent work and has not been submitted by me for a degree at another university.  \nMOISE KABWE WA KABWE  \nAcknowledgements  \nI would like to express my sincere gratitude to my supervisor, Prof. Lumengo BongaBonga, for his invaluable guidance, support, and insightful feedback throughout the research process. His expertise and encouragement were instrumental in shaping this minor dissertation. I am also deeply indebted to my family and friends for their constant love, patience, and understanding.  \nAbstract  \nThis study examines the non-linear relationship between exchange rate movements and stock returns in developed and emerging markets, focusing on how interest rate and inflation differentials with the United States moderate this dynamic. Using a panel smooth transition regression model, the analysis covers a crisis period from 2019 to 2021, capturing the unique financial shocks of the COVID-19 pandemic and its impact on global financial markets. Additionally, a quantile treatment effect analysis compares stock return responses across different quantiles for a panel of thirty countries from 2015Q1 to 2022Q4, examining both unconditional effects and conditional effects with controls for macroeconomic variables. The findings reveal significant non-linearities, with emerging markets showing greater sensitivity to exchange rate depreciations under high-interest or inflation differentials, negatively impacting stock returns. Conversely, developed markets demonstrate more resilience, particularly under moderate economic disparities. Policy implications suggest that emerging market policymakers should prioritise exchange rate stability to mitigate stock market volatility, while investors are encouraged to consider hedging and diversification strategies.  \nTable of Contents  \nDeclaration ..................................................................................................................................... ii  \nAcknowledgements ...................................................................................................................... iii  \nAbstract .......................................................................................................................................... iv  \n[List of Tables](List of Tables.................................................................................................................................vi)[.................................................................................................................................vi](List of Tables.................................................................................................................................v","cbCaivWBoqXszX9y","https://ap.wps.com/l/cbCaivWBoqXszX9y","pdf",795599,"English","# 1. Introduction\n## 1.1. Background and Problem Statement\n## 1.2. Research Question\n## 1.3. Research Design\n## 1.4. Importance of the Study\n## 1.5. Structure of the Study\n# 2. Literature Review\n# 3. Methodology\n## 3.1. Baseline Model Specification\n## 3.2. Panel Smooth Transition Regression\n## 3.3. Tests for Linearity and No Remaining Non-linearity\n## 3.4. Quantile Treatment Effects\n# 4. Data and Results","[{\"question\":\"What main relationship does the study investigate?\",\"answer\":\"The study investigates the non-linear relationship between exchange rate movements and stock returns in developed and emerging markets.\"},{\"question\":\"How do interest rate and inflation differentials affect the dynamic?\",\"answer\":\"Interest rate and inflation differentials with the United States moderate the exchange rate–stock market relationship in the analysis.\"},{\"question\":\"Which methods and periods are used to analyze the data?\",\"answer\":\"It uses a panel smooth transition regression model over 2019–2021 and a quantile treatment effect analysis across 2015Q1–2022Q4 for a panel of thirty countries.\"}]","Role of Key Factors in the Exchange Rate - Stock Market Relationship - Minor Dissertation | PDF",151]