Do Financial Crises Matter for Nonlinear Exchange Rate and Stock Market Cointegration? A Heterogeneous Nonlinear Panel Data Model with PMG Approach

The existing literature has explained the causality flow from exchange rates toward stock market without explaining role of economic crisis in effecting this nexus. This study examines financial affecting nonlinear flowing indexes ASEAN-5 region. precrisis, postcrisis, and overall sample duration comprised 365, 650, 1085 observations over periods January 2002 to 2008, 2010 2020, respectively. results showed that conventional symmetrical panel ARDL (PARDL) model was not able formulate long-run cointegration between currency value fluctuations for both regimes, i.e., post recessionary pre periods. However, asymmetrical established values period sampling time frame by utilizing panel-based NARDL framework (PNARDL). suggests practical implications exporters importers consider regime as well negative positive shocks international dollar while making forward contractual agreements.