THE RELATIONSHIP BETWEEN STOCK AND EXCHANGE RATES FOR BRICS COUNTRIES PRE- AND POST-CRISIS: A MIXED C-VINE COPULA MODEL

We investigate the relationship between stock and foreign exchange rates for BR/CS countries pre-and post-U.S. sub-prime crisis and European sovereign debt crisis. With a wide set of exchange rates, the mixedc-vine copula models are used. The results show the correlations are negative for most of the stock/exchange rate pairs. After the U.S. crisis, the stock markets in BR/CS countries have stronger negative dependences and risk hedge ability with the USD and JPY currencies. However, after the European crisis, the changes of the correlations are diverse. The risk hedge effectiveness of stock markets in BR/CS countries against foreign currencies decreases. These findings suggest that BRICS countries and investors should pay more attention on the multivariate exchange rates and the flows of cross-border capitals with their influence on the local stock markets after the crisis.