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題名 The comovement between exchange rates and stock prices in the Asian emerging markets
作者 Lin, Chien-Hsiu
林建秀
貢獻者 金融系
關鍵詞 Comovement ; Stock prices ; Exchange rates ; Asian emerging markets ; ARDL model
日期 2012-04
上傳時間 17-Feb-2014 17:48:13 (UTC+8)
摘要 Abstract: This study investigates the comovement between exchange rates and stock prices in the Asian emerging markets. The sample covers major institutional changes, such as market liberalization and financial crises, so as to examine how the short-term and long-term relations change after such events. The autoregressive distributed lag (ARDL) model proposed by is adopted, which allows us to deal with structural breaks easily, and to handle data that have integrals of different orders. Interest rates and foreign reserves are also included in the analysis to reduce potential omitted variable bias. My empirical results suggest that the comovement between exchange rates and stock prices becomes stronger during crisis periods, consistent with contagion or spillover between asset prices, when compared with tranquil periods. Furthermore, most of the spillovers during crisis periods can be attributed to the channel running from stock price shocks to the exchange rate, suggesting that governments should stimulate economic growth and stock markets to attract capital inflow, thereby preventing a currency crisis. However, the industry causality analysis shows the comovement is not stronger for export-oriented industries for all periods, such as industrials and technology industries, thus implying that comovement between exchange rates and stock prices in the Asian emerging markets is generally driven by capital account balance rather than that of trade.
關聯 International Review of Economics and Finance, 22(1), 161-172
資料類型 article
DOI http://dx.doi.org/http://dx.doi.org/10.1016/j.iref.2011.09.006
dc.contributor 金融系en_US
dc.creator (作者) Lin, Chien-Hsiuen_US
dc.creator (作者) 林建秀zh_TW
dc.date (日期) 2012-04en_US
dc.date.accessioned 17-Feb-2014 17:48:13 (UTC+8)-
dc.date.available 17-Feb-2014 17:48:13 (UTC+8)-
dc.date.issued (上傳時間) 17-Feb-2014 17:48:13 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/63901-
dc.description.abstract (摘要) Abstract: This study investigates the comovement between exchange rates and stock prices in the Asian emerging markets. The sample covers major institutional changes, such as market liberalization and financial crises, so as to examine how the short-term and long-term relations change after such events. The autoregressive distributed lag (ARDL) model proposed by is adopted, which allows us to deal with structural breaks easily, and to handle data that have integrals of different orders. Interest rates and foreign reserves are also included in the analysis to reduce potential omitted variable bias. My empirical results suggest that the comovement between exchange rates and stock prices becomes stronger during crisis periods, consistent with contagion or spillover between asset prices, when compared with tranquil periods. Furthermore, most of the spillovers during crisis periods can be attributed to the channel running from stock price shocks to the exchange rate, suggesting that governments should stimulate economic growth and stock markets to attract capital inflow, thereby preventing a currency crisis. However, the industry causality analysis shows the comovement is not stronger for export-oriented industries for all periods, such as industrials and technology industries, thus implying that comovement between exchange rates and stock prices in the Asian emerging markets is generally driven by capital account balance rather than that of trade.en_US
dc.format.extent 245058 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) International Review of Economics and Finance, 22(1), 161-172en_US
dc.subject (關鍵詞) Comovement ; Stock prices ; Exchange rates ; Asian emerging markets ; ARDL modelen_US
dc.title (題名) The comovement between exchange rates and stock prices in the Asian emerging marketsen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.iref.2011.09.006en_US
dc.doi.uri (DOI) http://dx.doi.org/http://dx.doi.org/10.1016/j.iref.2011.09.006en_US