Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets

Pan, Ming‐Shiun; Fok, Robert C.W.; Liu, Y. Angela

doi:10.1016/j.iref.2005.09.003

Cited by 243 publications

(184 citation statements)

References 32 publications

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“…Several researches that analyze the changes of the exchange rate on stock returns, includes Yang and Chang (2008), Kohler (2010), Mingjie and Tang (2007), Agrawal, Srivastav and Srivastava (2010), Kasman, Vardar, and Tunç (2011), Chkili and Nguyen (2013), Purnomo and Rider (2012), Pan, Fok, and Liu (2007), Rahman and Uddin (2009), Kutty (2010), Zhao (2010), and Sinha and Kohli (2015), For example, the importance of the effect of exchange rate movements on stock prices can be observed in the Asian crisis of 1997-1998, which explains the dynamic relationship between stock prices and exchange rates. During the crisis period, it were observed that stock markets fell due to the depreciation of the exchange rate in developing countries.…”

Section: Jurnal Ekonomi Pembangunan Issn 1411-6081 E-issn 2460-9331mentioning

confidence: 99%

“…This study also estimates the impulse response function to simulate the shock effect of domestic and foreign sources on JCI. Pan, Fok and Liu (2007) outline the relationship between exchange rates and stock prices in seven East Asian countries from January 1988 to October 1998. Their study uses Granger causality test, Variance Decomposition Method (VDM) and Impulse Response Function (IRF).…”

Section: Literature Reviewmentioning

confidence: 99%

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The Stock Market and Exchange Rates in Five South Asian Countries

Firmansyah

Oktavilia

2017

JEP

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The composite price index and return of stocks are the important indicators, both as a measure of the company's portfolio performance, as well as an indicator of macroeconomic health and the aggregate investment. In addition, the stock prices are also influenced by macroeconomic variables and one of the most important is the exchange rates. The objective of this study is to determine the behavior of exchange rate affects the stock returns in Southeast Asia, pre and post of the 2008 world financial crisis. By employing the daily stock market return in Indonesia, Malaysia, the Philippines, Thailand, and Singapore more than seventeen years from 1 September 1999 to 31March 2017,thisstudy utilizesEngleGranger error correction model and cointegration approach to investigate and compare the long and short run of the structural effect of the exchange rates on stock returns.To differentiate the behavior of variables between pre and post occurrence of 2008 world financial crisis, the estimation of the model is divided into two periods. This study finds that the exchange rate growth influence the stock returns in the long and short run, and proves that the cointegration between the two variables exist in all countries.The study has the implication that the exchange rate, which the one of the fundamental measures of a country's macroeconomic health, is an important determinant of influencing stock return, even its effects are responded by the stock return in one day.

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Section: Jurnal Ekonomi Pembangunan Issn 1411-6081 E-issn 2460-9331mentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

The Stock Market and Exchange Rates in Five South Asian Countries

Firmansyah

Oktavilia

2017

JEP

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“…Vygodina [4] found that price fluctuations of exchange rate fluctuations in the United States. Pan [5] studied parts of Asia countries after the financial crisis, found that there is a one-way causality only that exchange rate affects the price. Those foreign studies used different measurement methods in different countries and different periods, this is why the supporting relevant conclusions are variance, but these lack of analysis of the situation of China.…”

Section: Introductionmentioning

confidence: 99%

Empirical Studies of the Relationship between RMB Exchange Rate and Stock Prices

An¹

2017

dtssehs

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Studies of the relationship between Exchange rate and stock price volatility after the 2008 international financial crisis, preventing financial risks of China, and consummating capital markets and foreign exchange mechanism is theoretically and practically significant. The classification based on the causality between price and exchange rate, puts the financial crisis exchange rate and Shanghai Composite index into the assumption that there is a causal relationship, from January 2008 to June 2014, between RMB exchange rate index and empirical analysis based on rolling correlation analysis method. There is a studies result that, there is contemporaneous correlation between the real exchange rate of RMB against the U.S. dollar and the trend of Shanghai composite index, and there is an advance correlation from Shanghai composite index's volatility relating to currency volatility. This article based on TodaYamamoto causality test, found that there is an interrelationship of Granger causality between the actual fluctuation of exchange rate and the Shanghai composite index, and there is no Granger causality between the trend of actual exchange rate and the trend of Shanghai composite index movements.

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“…Moreover, many studies have analyzed relationships between stock and foreign exchange markets, given the significant increase in global capital flows in the last two decades [24][25][26][27][28][29][30][31][32][33][34][35][36]. Other studies have focused on global stock market return predictability offering diverse findings across different regions and time periods [37][38][39][40][41][42][43][44][45][46][47].…”

Section: Introductionmentioning

confidence: 99%

Community Analysis of Global Financial Markets

Vodenska

Becker

Zhou

et al. 2016

Risks

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Abstract:We analyze the daily returns of stock market indices and currencies of 56 countries over the period of 2002-2012. We build a network model consisting of two layers, one being the stock market indices and the other the foreign exchange markets. Synchronous and lagged correlations are used as measures of connectivity and causality among different parts of the global economic system for two different time intervals: non-crisis (2002)(2003)(2004)(2005)(2006) and crisis (2007)(2008)(2009)(2010)(2011)(2012) periods. We study community formations within the network to understand the influences and vulnerabilities of specific countries or groups of countries. We observe different behavior of the cross correlations and communities for crisis vs. non-crisis periods. For example, the overall correlation of stock markets increases during crisis while the overall correlation in the foreign exchange market and the correlation between stock and foreign exchange markets decrease, which leads to different community structures. We observe that the euro, while being central during the relatively calm period, loses its dominant role during crisis. Furthermore we discover that the troubled Eurozone countries, Portugal, Italy, Greece and Spain, form their own cluster during the crisis period.

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Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets

Cited by 243 publications

References 32 publications

The Stock Market and Exchange Rates in Five South Asian Countries

The Stock Market and Exchange Rates in Five South Asian Countries

Empirical Studies of the Relationship between RMB Exchange Rate and Stock Prices

Community Analysis of Global Financial Markets

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