Dynamic linkages between Asian stock prices and exchange rates: new evidence from causality in quantiles

Zheng, Yuan; Tu, Anthony H.; Zeng, Yong

doi:10.1080/00036846.2013.868590

Cited by 50 publications

(32 citation statements)

References 31 publications

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“…Although our proposed test is computationally demanding, it has many interesting theoretical features: it does not require the choice of smoothing parameters, is consistent against all xed alternatives, and is asymptotically strictly unbiased against a sequence of Pitman's local alternatives. Chuang et al (2009) andYang et al (2014) estimated the quantile causal e ects by quantile regressions and tested the hypothesis of Granger noncausality by performing the Sup-Wald test of Koenker and Machado (1999) in all quantiles. We extend their method in two ways.…”

Section: Introductionmentioning

confidence: 99%

Testing for Granger-causality in quantiles

Troster

2016

Econometric Reviews

237

158

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This paper proposes a consistent parametric test of Granger-causality in quantiles. Although the concept of Granger-causality is de ned in terms of the conditional distribution, most articles have tested Granger-causality using conditional mean regression models in which the causal relations are linear. Rather than focusing on a single part of the conditional distribution, we develop a test that evaluates nonlinear causalities and possible causal relations in all conditional quantiles, which provides a su cient condition for Grangercausality when all quantiles are considered. The proposed test statistic has correct asymptotic size, is consistent against xed alternatives, and has power against Pitman deviations from the null hypothesis. As the proposed test statistic is asymptotically nonpivotal, we tabulate critical values via a subsampling approach. We present Monte Carlo evidence and an application considering the causal relation between the gold price, the USD/GBP exchange rate, and the oil price.

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Section: Introductionmentioning

confidence: 99%

Testing for Granger-causality in quantiles

Troster

2016

Econometric Reviews

237

158

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“…Yang et al. () perform empirical analysis by using data with daily frequency from 1997 to 2010 for Taiwan, Indonesia, Thailand, Korea, Japan, Malaysia, Philippines, Singapore, and India. They observe the feedback relationship in all sample countries between exchange rate and stock prices except for Thailand during financial crises.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Phylaktis and Ravazzolo (2005) conduct the study in the context of Thailand, Singapore, Philippines, Malaysia, Hong Kong, and Indonesia by using data with monthly frequency from 1980 to 1998 and find a positive relationship between these variables. Yang et al (2014) perform empirical analysis by using data with daily frequency from 1997 to 2010 for Taiwan, Indonesia, Thailand, Korea, Japan, Malaysia, Philippines, Singapore, and India. They observe the feedback relationship in all sample countries between exchange rate and stock prices except for Thailand during financial crises.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Smyth and Nandha (2003) and Phylaktis and Ravazzolo (2005) examine the relationship between exchange rate volatility and stock prices and find that the exchange rate significantly affects the stock prices. In addition, Yang, Tu, and Zeng (2014) examine the feedback relationship between exchange rate and stock prices. On the contrary, Rahman and Uddin (2009) use the Johansen cointegration and Granger causality test and do not find any causal or long-run relationship between exchange rate and stock prices.…”

Section: Introductionmentioning

confidence: 99%

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The effect of the global financial crisis on the asymmetric relationship between exchange rate and stock prices

Bhutto

Chang

2019

High Frequency

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This study replicates previous studies in the context of China by determining whether exchange rate changes have a symmetric or asymmetric effect on stock prices. Moreover, it extends previous studies by examining whether the relationship between the underlying variables changes as a result of the global financial crisis. For this purpose, we use both linear and nonlinear ARDL models during the full sample, pre‐crisis, and the post‐crisis periods. The findings of this study suggest that exchange rate asymmetrically affects the stock prices in the long run only when the whole sample period is selected, whereas it symmetrically affects both in the long run and in the short run during the pre‐crisis period and asymmetrically affects both in the long run and in the short run when the post‐crisis period is selected. These findings indicate that the financial crisis causes asymmetric relationship between exchange rate changes and stock prices and may, therefore, be taken into consideration while making investment or policy decisions.

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“…The prime findings using the Granger Causality test shows bi-directional relationship between exchange rate and stock prices. Yang, Tu, and Zeng (2014) study the relationship between exchange rates and stock returns using daily data from 1997 to 2010 for countries namely Indonesia, Malaysia, India, Japan, Korea, the Philippines, Singapore, Taiwan and Thailand. They apply Granger causality test and report that during the Asian financial crisis in all the countries, except Thailand, there are feedback relations between exchange rates and stock prices and specifically in Thailand, stock returns lead exchange rates.…”

Section: Literature Reviewmentioning

confidence: 99%

Co-Integration between Stock Prices and Exchange Rate of Selected SAARC Countries: An Empirical Study

Channa

Memon

Kalhoro

2016

SIJMB

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This study examines the relationship between stock prices and exchange rates of three selected SAARC countries including Pakistan, India and Srilanka; using monthly data from period of January 1999 to December 2015. This study employs statistical techniques of Augmented Dickey Fuller (ADF), Phillips Perron (PP), unit root tests, and Johansen's Co-integration test to determine long run equilibrium association ship between stock price indices and exchange rates. The study finds out no Co-integration between the two variables, hence no long run association is existing between them. This finding implies that investors in these markets are having more opportunities for diversifying their portfolios. However, using Granger Causality and impulse response tests, it finds significant short-run feedback effects, as stock prices Granger cause exchange rates in case of Pakistan and unidirectional causality flows from exchange rates to stock prices in case of Srilanka but no proof of causality running in either direction in case of India. Hence the findings for Pakistan and Srilanka have crucial policy implications.

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Dynamic linkages between Asian stock prices and exchange rates: new evidence from causality in quantiles

Cited by 50 publications

References 31 publications

Testing for Granger-causality in quantiles

Testing for Granger-causality in quantiles

The effect of the global financial crisis on the asymmetric relationship between exchange rate and stock prices

Co-Integration between Stock Prices and Exchange Rate of Selected SAARC Countries: An Empirical Study

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