The Relationship Between the Exchange Rate and Financial Markets

Abstract

This thesis examines the relationship between exchange rate and stock market in four countries, namely Brazil, Canada, Norway and Russia. The first chapter sets out the objectives of the thesis. The first objective of the thesis is to introduce the theoretical concept of the relationship between exchange rate and stock market. The second objective of the thesis is to examine the relationship between the exchange rate and the stock market. The second chapter provides a theoretical overview of the exchange rate and its determinants, including an introduction to the theoretical concept of the relationship between the exchange rate and the stock market. The third chapter introduces the stock indices used as representatives of the stock market and presents the time paths of the exchange rates. The research is conducted on monthly data from January 2000 to January 2023. Within this chapter, the time series are transformed using logarithmic differences to ensure better stationarity. Then, descriptive statistics of the time series are presented. The fourth chapter presents the results of the wavelet analysis to assess the relationship between the exchange rate and the stock market. Finally, the fifth chapter concludes the thesis by discussing the results obtained and suggestions for further research in this area.