THE IMPACT OF FINANCIAL CRISIS IN 2008 TO GLOBAL FINANCIAL MARKET: EMPIRICAL RESULT FROM ASIAN

This research examines the correlation between stock market and exchange rate return of eight Asian countries as Taiwan, Malaysia, South Korea, Indonesia, Vietnam from 2001 to 2015. Although the linkage between stock equity and exchange rate return affected through global financial crisis in 2008, its significances did not show obviousness of both short and long term. Following our empirical results, we found the existence of significances for bidirectional effect between two variables. Furthermore, we also estimated how long the relation lasts by using impulse response function. The Dynamic Conditional Correlation model's result showed the effect of financial crisis to the linkage in this research. In additions, we found that the "Debt crisis" affected to correlation between stock and exchange market. In this study, we focus on finding the relation causal in time of the global finance crisis, from 2008 to 2009 and the repercussion of effect has lasted until now. This crisis challenged Asia countries in their currency policy and stock market. However, we treated it as an opportunity to examine the linkage between exchange rate and stock prices return in ASIAN area.