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
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页码：181 / 195
页数：15
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