Dynamic relationship between stock prices and exchange rates for G-7 countries

Nieh, Chien-Chung; Lee, Cheng-Few

doi:10.1016/s1062-9769(01)00085-0

Cited by 328 publications

(210 citation statements)

References 30 publications

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“…The lag lengths for our models of co-integration are two based on the smallest number of AIC. We follow Nieh and Lee (2001) decision procedure described in Section 3 among the hypotheses H(r) and H * (r) of the five Johansen models. The result shows that no cointegrating vector is found.…”

Section: Resultsmentioning

confidence: 99%

“…(2) C 0 (5%), C Ã 1 ð5%Þ, C 1 (5%), C Ã 2 ð5%Þ, and C 2 (5%) are the 5% LR critical values for Johansen's five models, which are extracted from Osterwald-Lenum (1992). (3) The model selection follows Nieh and Lee's (2001) decision procedure, diagnosing models one by one until the model that cannot be rejected for the null. (4) The bold number with underline indicates the selection of the rank in the presence of linear deterministic trend.…”

Section: Resultsmentioning

confidence: 99%

“…A decision procedure, following Nieh and Lee (2001) among the hypotheses H(r) and H * (r) of the above five different models, is presented in the following procedure 14 :…”

Section: Co-integration Test 321 Johansen's Co-integration Testmentioning

confidence: 99%

“…2 However, the results are quite mixed with the sign and causal direction between exchange rates and stock prices. 3,4 Mok (1993) found weak bi-directional causality between stock prices and the exchange rates, while Bahmani-Oskooee and Sohrabian (1992) and Nieh and Lee (2001) argued for a bidirectional causality between stock prices and exchange rates in the short run but not in the long run.…”

Section: Introductionmentioning

confidence: 99%

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Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate

Yau

Nieh

2006

Journal of Asian Economics

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Since the Asian Financial Crisis in 1997, the relationship between stock prices and exchange rates has received considerable amount of attention from the economists, international investors and policy makers. The work reported here employs various linear and non-linear, time-series methodologies to investigate the short-term and long-term interrelationships among the stock prices of Taiwan and Japan and the NTD/Yen exchange rate during the period of January 1991-July 2005. The findings from this study include: firstly, the stock prices of Taiwan and Japan impact each other for short durations; secondly, with regard to relationship between stock prices and exchange rates, the portfolio approach is supported for the short-term and the traditional approach is more plausible for the long-term in the Taiwanese financial market, whereas the portfolio approach is not suitable for the Japanese stock market; and thirdly, there appears to be no long-term relation between NTD/Yen exchange rate and the stock prices of Taiwan and Japan. #

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Section: Resultsmentioning

confidence: 99%

Section: Resultsmentioning

confidence: 99%

“…A decision procedure, following Nieh and Lee (2001) among the hypotheses H(r) and H * (r) of the above five different models, is presented in the following procedure 14 :…”

Section: Co-integration Test 321 Johansen's Co-integration Testmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate

Yau

Nieh

2006

Journal of Asian Economics

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“…However, there are some studies that could not establish any relationship between exchange rate and stock market prices. Some of these studies are as follows Nieha and Lee (2001) found no significant long-run relationship between stock market prices and exchange rates in G-7 countries, using both Engel-Granger and Johansen"s co-integration tests. Rahman and Uddin (2009) in their study on dynamic relationship between stock market prices and exchange rate in South Asian countries found no relationship between stock market prices and exchange rates.…”

Section: Macroeconomic Variables (Independent Variable)mentioning

confidence: 99%

Effect of Macroeconomic Variables on Stock Market Performance of SAARC Countries

Ullah

Islam

Alam

et al. 2017

Asian Economic and Financial Review

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Article HistoryStock market is one of the most widely followed markets in the world with a horde of transactions facilitated every day. Thus, not surprisingly a plethora of research has been dedicated to understanding the nature of these markets and what factors affect their movements and performance in general. Several studies have postulated that macroeconomic variables do tend to significantly affect stock market performance, while other studies found inconclusive relation at best. It is also worth noting that most of these studies were conducted on developed markets and rarely touched on the developing markets. On this background, the objective of this study is to examine the significance of macroeconomic variables in effecting stock market performance of SAARC countries using the OLS multiple regression Model. We have used annual data for the period [2005][2006][2007][2008][2009][2010][2011][2012][2013][2014][2015]. The findings of the study showed that macroeconomic variables i.e. exchange rate, foreign currency reserve and interest rate are all statistically significant in affecting stock market performance of SAARC countries. Whereas, inflation and money do not have a significant relationship in affecting stock market performance. Contribution/ Originality:This study is one of very few studies which have investigated the effect of macroeconomic variables on stock market performance of SAARC countries. A regression analysis on the variables establishes links the significance of the market performance with key macroeconomic indicators in the region.

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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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Dynamic relationship between stock prices and exchange rates for G-7 countries

Cited by 328 publications

References 30 publications

Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate

Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate

Effect of Macroeconomic Variables on Stock Market Performance of SAARC Countries

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

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