Journal de l'économie mondiale

Do Financial Crises Affect Nonlinear Exchange Rate and Stock Market Cointegration? A Heterogeneous Nonlinear Panel Data Model Using the PMG Approach

Abstract

Sergii Toth

The functional data displaying geographical dependency are the main focus of this work. Using the functional Moran's I statistic, classical principal component analysis and functional areal spatial principal component analysis, the spatial autocorrelation of stock exchange returns for exchanges in 69 countries was examined. This study focuses on the time when the global stock market sold off and established that there is spatial autocorrelation among the stock exchanges under consideration. Before completing the traditional analysis, the stock exchange return data were transformed into functional data. Results of the functional Monte Carlo test The worldwide market sell-off had a significant influence on the spatial autocorrelation of stock exchanges, according to Moran's I statistics. Positive spatial autocorrelation is visible in the stock exchanges' principal components. Regional clusters developed before to and following.