TESTING THE RELATIONSHIP BETWEEN EXCHANGE RATE AND STOCK PRICE IN THE ASEAN COUNTRIES

被引：0
|
作者：
Harjito, Dwipraptono Agus [1 ]
机构：
[1] Univ Islam Indonesia, Fac Econ, Yogyakarta, Indonesia
来源：
ECONOMIC JOURNAL OF EMERGING MARKETS | 2009年 / 1卷 / 03期
关键词：
Stock; exchange rates; ASEAN;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The aim of this paper is to investigate the statistical relationship between stock prices and exchange rates in ASEAN from 1993-2006. Using Engle-Granger test, it finds that the relationship between stock prices and exchange rates is characterized by a feedback system, with Singapore Dollar as the dominant exchange rate. Johansen co-integration test finds that all of the stock prices and exchange rates are co-integrated. The results are supported by Vector Autoregression and Vector Error Correction Models. With respect to the relationship between stock prices and exchange rates, the results are inconclusive. The causality mostly runs from exchange rates to stock prices.
引用
收藏
页码：181 / 195
页数：15
相关论文
共 50 条
  • [1] THE RELATIONSHIP BETWEEN EXCHANGE RATES AND STOCK PRICES: COMPARATIVE EXAMPLE OF ASEAN AND BRICS COUNTRIES
    Aydin, Rahman
    Logun, Anil
    Aydin, Buket
    [J]. ROMANIAN JOURNAL OF ECONOMIC FORECASTING, 2023, 26 (04): : 128 - 142
  • [2] The Granger Causality Effect Between The Stock Market And Exchange Rate Volatility In The ASEAN 5 Countries
    Md-Yusuf, Mazila
    Abd Rahman, Hamisah
    [J]. IEEE SYMPOSIUM ON BUSINESS, ENGINEERING AND INDUSTRIAL APPLICATIONS (ISBEIA 2012), 2012, : 754 - 759
  • [3] The Time–Frequency Relationship between Oil Price, Stock Returns and Exchange Rate
    Das S.
    [J]. Journal of Business Cycle Research, 2021, 17 (2) : 129 - 149
  • [4] Dynamic relationship between exchange rate and stock price: Evidence from China
    Zhao, Hua
    [J]. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2010, 24 (02) : 103 - 112
  • [5] DYNAMIC RELATIONSHIP BETWEEN STOCK MARKET AND EXCHANGE RATE: EMPIRICAL EVIDENCE IN ASEAN-3
    Nor, Abu Hassan Shaari Mohd
    Kogid, Mori
    Sarmidi, Tamat
    [J]. INTERNATIONAL JOURNAL OF MANAGEMENT STUDIES, 2012, 19 (02): : 151 - 171
  • [6] INTEREST, EXCHANGE, AND INFLATION RATE AND STOCK PRICE IN ASIA COUNTRIES
    Hashim, Sahaida Laily Md
    Komarsamy, Laliithashree
    Singaveloo, Jeyaasree
    [J]. 9TH INTERNATIONAL ECONOMICS AND BUSINESS MANAGEMENT CONFERENCE (IEBMC 2019), 2020, 100 : 627 - 633
  • [7] The relationship between stock price index and exchange rate in Asian markets: A quantile regression approach
    Tsai, I-Chun
    [J]. JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2012, 22 (03): : 609 - 621
  • [8] Empirical analysis of relationship of exchange rate risk and stock price in China
    Yu, Shuxiu
    [J]. PROCEEDINGS OF INTERNATIONAL SYMPOSIUM ON STATISTICS AND MANAGEMENT SCIENCE 2010, 2010, : 383 - 386
  • [9] The Impact of Subprime Mortgage Crisis on the Relationship between Exchange Rate and Stock Price: Evidence from China
    Song, Qin
    [J]. ICMS2010: PROCEEDINGS OF THE THIRD INTERNATIONAL CONFERENCE ON MODELLING AND SIMULATION, VOL 6: MODELLING & SIMULATION INDUSTRIAL ENGINEERING & MANAGEMENT, 2010, : 149 - 152
  • [10] Analyzing time-frequency relationship between interest rate, stock price and exchange rate through continuous wavelet
    Andries, Alin Marius
    Ihnatov, Iulian
    Tiwari, Aviral Kumar
    [J]. ECONOMIC MODELLING, 2014, 41 : 227 - 238
12345