政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/60515
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113822/144841 (79%)
Visitors : 51783513      Online Users : 548
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/60515


    Title: 股票市場與外匯市場的連動性
    Stock prices and exchange rates: evidences from emerging markets and g-7
    Authors: 朱柏誠
    Contributors: 謝淑貞
    朱柏誠
    Keywords: Correlation of Coefficient
    Johansen cointegration test
    Stock prices
    Exchange Rates
    Date: 2009
    Issue Date: 2013-09-05 16:47:44 (UTC+8)
    Abstract: 本篇論文使用Correlation of Coefficient 與 Johansen cointegration test來探討股票市場與匯率市場之間的連動性。實證結果顯示股票市場與匯率市場之間有高度的相關性，特別是在西元2000年之後，全球呈現出集體的連動性。而此兩變數之間的關係亦可在不同的地區或是不同的工業化程度國家下看見不同的結果，歐體以及諸多新興市場等區域內皆呈現出股市與匯市相關係數的一致性。然而，當此研究以Johansen cointegration test來分析時，無法在此兩研究變數間發現顯著的長期關係。
    This study utilized Correlation of Coefficient as well as Johansen cointegration test to investigate the relationship between stock prices and exchange markets. The empirical results show that the two markets of study are highly correlated, especially after the year of 2000. Since then, the stock prices and exchange rates worldwide have presented one common trend, either negative correlation or positive. Different region, such as European Union or East Asian countries exclude Japan, and different level of industrialization lead to diverse relationship between exchange rates and stock prices. Put this relationship in a long-term scope, however, no distinct trend can be discerned by using Johansen cointegration test.
    Reference: Abdalla, I. S. A. and V. Murinde, 1997, “Exchange Rate and Stock Price Interactions
    in Emerging Financial Markets: Evidence on India, Korea, Pakistan, and Philippines.” Applied Financial Economics 7, 25–35.
    Aggarwal, R., 1981, “Exchange Rates and Stock Prices: A Study of U.S. Capital Market under Floating Exchange Rates,” Akron Business and Economic Review, 7–12.
    Ajayi, R. A. and M. Mougoue. 1996, “On the Dynamic Relation between
    Stock Prices and Exchange Rates,” Journal of Financial Research 19, 193–207.
    Baharom, A.H. and M.S. Habibullah and R.C., Royfaizal, 2008, "Pre and Post Crisis Analysis of Stock Price and Exchange Rate: Evidence from Malaysia," MPRA Paper 12445, University Library of Munich, Germany.
    Bahmani-Oskooee, M. and A. Sohrabian, 1992, “Stock Prices and the Effective
    Exchange Rate of the Dollar,” Applied Economics 24, 459–464.
    Bartov, E. and G. M. Bodnar, 1994, “Firm Valuation, Earnings Expectations, and
    The Exchange-Rate Exposure Effect,” Journal of Finance 49, 1755–1785.
    Branson, W. H., 1983, “Macroeconomic Determinants of Real Exchange Risk,” in
    Managing Foreign Exchange Risk, R. J. Herring ed., Cambridge: Cambridge
    University Press
    Cheung, Y. W. and K. S. Lai., 1993, “Finite Sample Sizes of Johansen’s Likelihood
    Ratio Tests for Cointegration,” Oxford Bulletin of Economics and Statistics 55: 3, 313–328.
    Donnelly, R. and E. Sheehy, 1996, “The share price reaction of U.K. exporters to exchange rate movements: An empirical study,” Journal of International Business Studies 27, 157−165.
    Dornbusch, R. and S. Fisher, 1980, "Exchange Rates and the Current Account,"
    American Economic Review 70, 960-971.
    Franck, P. and A. Young, 1972, “Stock Price Reaction of Multinational Firms to
    Exchange Realignments,” Financial Management 1, 1972, 66–73.
    Frankel, J.A., 1983, "Monetary and Portfolio Balance Models of Exchange Rate Determination", in J.S. Bhandari and B. H. Putnam (eds) "Economic Interdependence and Flexible Exchange Rates," MIT Press, Cambridge, MA.
    Granger, C.W.J. and I. Newbold, 1974, “Spurious regressions in econometrics,”
    Journal of Econometrics 2, 111-120.
    Johansen, S., 1991, “Estimation and Hypothesis Testing of Cointegrating Vectors in
    Gaussian Vector Autoregressive Models,” Econometrica 59: (November), 1551– 1580.
    Johansen, S. and K. Juselius, 1990, “Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money,” Oxford Bulletin of Economics and Statistics 52, 169–210.
    Ma, C. K. and G. W. Kao, 1990, “On Exchange Rate Changes and Stock Price
    Reactions,” Journal of Business Finance and Accounting, 17(3), 441-450.
    Muhammad, N. and A. Rasheed, 2003, “Stock Prices and Exchange Rates: Are they Related? Evidence from South Asian Countries”, Paper presented at the 18th Annual General Meeting and Conference of the Pakistan Society of Development Economists, January 2003.
    Pan, M.S., R.C.W. Fok and Y.A. Liu, 2007, “Dynamic Linkages between Exchange Rates and Stock Prices: Evidence from East Asian Markets”, International Review of Economics and Finance 16, 2007, 503-520.
    Phylakits, K. and Ravazzolo, F., 2000, “Stock Prices and Exchange Rate Dynamics,” Paper presented at the EFMA 2000 Meeting in Athens, May 2000.
    Rittenberg, L., 1993, “Exchange Rate Policy and Price Level Changes: Causality
    Tests for Turkey in the Post-Liberalisation Period”, the Journal of Development
    Studies 29:2, 321–332.
    Smith, C., 1992, “Stock Market and the Exchange Rate: A Multi-Country Approach,”
    Journal of Macroeconomics 14, 607–629.
    Soenen, L.A. and E.S. Hennigar, 1988, "An Analysis of Exchange Rates and Stock
    Prices - The US Experience between 1980 and 1986," Akron Business and Economic Review:(Winter), 7-16.
    Solnik, B., 1987, “Using Financial Prices to Test Exchange Rate Models: A Note,”
    Journal of Finance, 42(1), 141-149.
    Stavarek, D., 2004, “Stock Prices and Exchange Rates in the EU and the USA: Evidence of their Mutual Interactions,” MPRA Paper 7297, University Library of Munich, Germany.
    Yang, S.Y. and S.C. Doong, 2004, “Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries,” International Journal of Business and Economics 3, 2004, 139-153.
    Yu, Q., 1997, “Stock Prices and Exchange Rates: Experience in Leading East Asian Financial Centres: Tokyo, Hong Kong and Singapore”, Singapore Economic Review 41, 47–56.
    Wu, Y., 2000, “Stock Prices and Exchange Rates in a VEC Model—the Case of Singapore in the 1990s,” Journal of Economics and Finance 24, 260-274.
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    97351016
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097351016
    Data Type: thesis
    Appears in Collections:[Department of International Business] Theses

    Files in This Item:

    File SizeFormat
    101601.pdf710KbAdobe PDF2230View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback