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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/63901


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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: 2014-02-17 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 連結: http://dx.doi.org/http://dx.doi.org/10.1016/j.iref.2011.09.006
    DOI: 10.1016/j.iref.2011.09.006
    顯示於類別:[金融學系] 期刊論文

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