Exchange rates, bond yields and the stock market: nonlinear evidence of Indonesia during the COVID-19 period

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dc.contributor.authorPrananta, Billy
dc.contributor.authorAlexiou, Constantinos
dc.date.accessioned2023-04-12T10:38:02Z
dc.date.available2023-04-12T10:38:02Z
dc.date.issued2023-04-07
dc.description.abstractPurpose The authors explore the relationship between the exchange rate, bond yield and the stock market as well as the effect of capital market dynamics on the exchange rate before and during the COVID-19 pandemic. Design/methodology/approach The authors employ a non-linear autoregressive distributed lag (NARDL) methodology using daily data of the Indonesian economy over the period 2012–2021. Findings Whilst, over the full sample period, the authors find no cointegration between the exchange rate, the 10-year bond yield and stock market, for the COVID-19 period, evidence of cointegration is present. Furthermore, the results suggest that asymmetric effects are evident both in the short as well as the long run. Originality/value To the best of the authors’ knowledge, this is the first time that the relationship between the exchange rate, bond yield and the stock market as well as the effect of capital market dynamics on the exchange rate before and during the COVID-19 pandemic has been explored in the case of the Indonesian economy.en_UK
dc.identifier.citationPrananta B, Alexiou C. (2024) Exchange rates, bond yields and the stock market: nonlinear evidence of Indonesia during the COVID-19 period. Asian Journal of Economics and Banking, Volume 8, Issue 1, March 2024, pp. 83-99en_UK
dc.identifier.issn2615-9821
dc.identifier.urihttps://doi.org/10.1108/AJEB-12-2022-0157
dc.identifier.urihttps://dspace.lib.cranfield.ac.uk/handle/1826/19443
dc.language.isoenen_UK
dc.publisherEmeralden_UK
dc.rightsAttribution 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/*
dc.subjectCapital market dynamicsen_UK
dc.subjectExchange rateen_UK
dc.subjectAsymmetric effecten_UK
dc.subjectBond marketen_UK
dc.subjectStock marketen_UK
dc.titleExchange rates, bond yields and the stock market: nonlinear evidence of Indonesia during the COVID-19 perioden_UK
dc.typeArticleen_UK

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