This study examines the relationship between exchange rates and stock market indices in BRICS countries using panel data analysis. Exchange rates and stock indices are two key indicators reflecting a country’s overall economic health. The aim of the research is to reveal the interaction between these variables and evaluate its implications for investor behavior, policy-making, and macroeconomic balance. In the literature, portfolio balance and flow-oriented approaches present varying findings regarding the direction and magnitude of this relationship.

In the analysis, Iran and Ethiopia were excluded due to data unavailability, and daily data covering the post-2024 period were used. The variables were log-transformed, and tests for cross-sectional dependence, slope homogeneity, and unit roots were conducted. The Hausman test indicated that the random-effects (RE) model was appropriate. The results show that a one-unit increase in the exchange rate leads to approximately a 6.2% rise in stock indices, with a positive and statistically significant effect at the 5% level. However, the explanatory power of the model is low (R² < 0.01), suggesting that exchange rate changes alone do not sufficiently explain stock market movements.

In conclusion, a weak but statistically significant positive relationship was found between exchange rates and stock market indices in BRICS countries. This limited relationship may stem from structural differences among countries and the influence of other macroeconomic factors. Future research should expand the model by incorporating additional variables such as interest rates, inflation, oil prices, and risk premiums to enhance explanatory power and policy relevance.