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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
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/63901


    Title: The comovement between exchange rates and stock prices in the Asian emerging markets
    Authors: Lin, Chien-Hsiu
    林建秀
    Contributors: 金融系
    Keywords: Comovement;Stock prices;Exchange rates;Asian emerging markets;ARDL model
    Date: 2012-04
    Issue Date: 2014-02-17 17:48:13 (UTC+8)
    Abstract: 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.
    Relation: International Review of Economics and Finance, 22(1), 161-172
    Data Type: 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
    Appears in Collections:[金融學系] 期刊論文

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