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The Relationship Between Stock Price Index And Exchange Rate In Asian Markets
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Book Synopsis The Relationship Between Stock Price Index and Exchange Rate in Asian Markets by : Arif Billah Dar
Download or read book The Relationship Between Stock Price Index and Exchange Rate in Asian Markets written by Arif Billah Dar and published by . This book was released on 2013 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use data set of five Asian countries to estimate the frequency and quantile based relationship between stock price index and exchange rate. We apply simple correlation and wavelet based correlation and in accordance with the portfolio balance effect, we find that the two variables are negatively related at all frequencies. Moreover it is found that correlation grows stronger with higher time scales. We further apply quantile regression to observe the various relationships between stock and foreign exchange markets at different quantiles of exchange rates. The results show an interesting pattern in the relation of these two markets in Asia, which indicates that the negative relation is asymmetric across different quantiles of exchange rates and more obvious when exchange rates are extremely low or both high and low.
Book Synopsis Dynamic Relationship Between Stock Prices and Exchange Rates in Asia by : Fauziah Ifa
Download or read book Dynamic Relationship Between Stock Prices and Exchange Rates in Asia written by Fauziah Ifa and published by LAP Lambert Academic Publishing. This book was released on 2016-01-04 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: There are two different and conflicting models to determine the relationship between exchange rate and stock prices. The first model, "Flow-Oriented" states that currency or exchange rate changes affect the competitiveness of a company, which in turn affect the company's revenues or cost of funds and the subsequent impact on the company's stock price. Meanwhile, according to the two models namely "Stock-oriented" which emphasizes the role of capital account transactions stated that the rise in stock returns (rising stock market) would attract capital flows which in turn will increase the domestic money permintaanmata and cause exchange rate to appreciate. Therefore, this study was conducted to determine if there cointegration and causality relationship between exchange rates and stock prices in Asia. The objects of this study are Indonesia, Singapore, Taiwan, Malaysia, China, South Korea, Japan, Hong Kong, Thailand, and India with the study period January 2009 to December 2013. Data used are secondary data in the form of monthly data from the foreign exchange market (exchange rate) and capital markets (stock index).
Book Synopsis The Nonlinear Dynamic Relationship Between Stock Prices and Exchange Rates in Asian Countries by : Ryuta Sakemoto
Download or read book The Nonlinear Dynamic Relationship Between Stock Prices and Exchange Rates in Asian Countries written by Ryuta Sakemoto and published by . This book was released on 2017 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study explores dynamic relationships between stock prices and exchange rates in Asian countries. These relationships are complex and include both linear and nonlinear relationships. We employ a nonparametric causality test to explore them. The nonparametric causality test is more robust to a nonlinear relationship. The empirical results reveal that most countries have bi-directional causality relationships between stock prices and exchange rates. Some relationships are not captured by the linear model. These results support the theoretical model which shows dynamic interactions between stock and exchange rate markets. This study investigates the main driver to generate the nonlinear causality relationships. The empirical results present that the main source for the nonlinearity is the volatility effects. In particular, they were substantial during the Asian and global financial crises. After controlling for the volatility effects, only one country shows the bi-directional causality relationship. In contrast to the previous studies, this study shows that the volatility effects are important between different asset markets. These findings suggest that controlling for exchange rate markets may be helpful to mitigate turmoil during a financial crisis.
Book Synopsis Linear and Non-Linear Dynamics between Exchange Rates and Stock Markets Returns by : Francisco J. Climent
Download or read book Linear and Non-Linear Dynamics between Exchange Rates and Stock Markets Returns written by Francisco J. Climent and published by . This book was released on 2004 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent crises of the nineties have made it clear that the links between exchange rates and stock market prices are relevant factors in the transmission of the crises. Using daily exchange rates and stock index prices of the last decade (1990-1999) the interactions between the stock market and exchange rates returns of twenty-three countries of two different geographical areas (Asia and Europe) are analysed. Our results suggest that: (i) short term relationships seem to be more relevant than long term ones, (ii) it is more relevant the presence of linear and nonlinear causality in the Asian countries, and (iii) the periods of crisis affect asymmetrically the relationship between exchange rates and stock market prices.
Book Synopsis What Triggers Market Jitters? by : Graciela Laura Kaminsky
Download or read book What Triggers Market Jitters? written by Graciela Laura Kaminsky and published by World Bank Publications. This book was released on 1999 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Movements in stock prices in East Asia during the crisis in 1997-98 were triggered by both local and neighbor-country news. Having the highest impact was news about agreements with international organizations and credit rating agencies. But some changes seem to have been driven by herd instincts in the market itself, including overreactions to bad news. In the chaotic financial environment of East Asia in 1997-98, daily changes in stock prices of as much as 10 percent became commonplace. Kaminsky and Schmukler analyze what type of news moved the market in those days of extreme market jitters. They find that movements are triggered by both local and neighbor-country news. News about agreements with international organizations and credit rating agencies have the most weight. Some of those large changes in stock prices, however, cannot be explained by any apparent substantial news but seem to be driven by herd instincts in the market itself. On average, the one-day market rallies are sustained while the largest one-day losses are recovered - suggesting that investors overreact to bad news.
Book Synopsis The Relationship Between Stock Prices and Exchange Rates by : Parham Parsva
Download or read book The Relationship Between Stock Prices and Exchange Rates written by Parham Parsva and published by LAP Lambert Academic Publishing. This book was released on 2012 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: In spite of fast economic growth in the Middle East, less attention has been paid by researchers and investigators to the region compared with other emerging markets in the Europe, Asia-Pacific region, etc. This study investigates the relationship between stock prices and exchange rates in ten Middle Eastern countries, namely, Bahrain, Egypt, Iran, Jordan, Kuwait, Lebanon, Oman, Qatar, Saudi Arabia, and the United Arab Emirates (UAE) before and after the 2007 global financial crisis. The main findings from this research provide valuable insights into the characteristics and patterns of Middle Eastern stock markets and foreign exchange markets for policymakers, particularly in the area of exchange rate management.
Book Synopsis Understanding Asian Equity Flows, Market Returns and Exchange Rates by : Chayawadee Chai-Anant
Download or read book Understanding Asian Equity Flows, Market Returns and Exchange Rates written by Chayawadee Chai-Anant and published by . This book was released on 2008 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines from various angles foreign investors' daily transactions in six emerging Asian equity markets and their relationship with local market returns and exchange rate changes over the period 1999-2006. Confirming much of the literature, we find that equity market returns matter for net equity purchases, and vice versa. In addition, we find that while currency returns tend to show little influence over foreign investors' demand for Asian equities, net equity purchases do have some explanatory power over near-term exchange rate changes. Moreover, we find that foreign investors do quite often move in or out of multiple Asian markets simultaneously - but more so on the way in than on the way out. Nonetheless, during specific events of heightened market volatility, we observe some interesting deviations from the full-sample average relationships.
Book Synopsis Studies On Financial Markets In East Asia by : Masayuki Susai
Download or read book Studies On Financial Markets In East Asia written by Masayuki Susai and published by World Scientific. This book was released on 2011-01-31 with total page 189 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book will be an important addition to the limited number of books that discuss finance and accounting issues in East Asian countries. While presenting recent empirical studies on finance and accounting in East Asian economies, it also reveals the underlying reasons for remarkable economic growth and emerging performance of the financial markets in the East Asian countries. It introduces newly developed financial products, institutions, governance mechanism, banking policy changes and their implications in the East Asian economies, and discusses the way forward for these economies with recommendations for policy implications. It also contains suggestions for other developing countries trying to achieve rapid growth.
Book Synopsis Stock Prices and Exchange Rate Dynamics by : Fabiola Ravazzolo
Download or read book Stock Prices and Exchange Rate Dynamics written by Fabiola Ravazzolo and published by . This book was released on 2004 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the long-run and short-run dynamics between stock prices and exchange rates and the channels through which exogenous shocks impact on these markets. We apply the analysis to a group of Pacific Basin countries and examine whether foreign exchange controls and the Asian financial crisis of mid 1997 affected the links between the markets. The evidence shows that the US stock market acts as a conduit through which the foreign exchange market and the local stock markets are linked. It also provides support for a close relationship between financial and economic integration. Finally, the evidence shows that the financial crisis had a temporary effect on the long-run comovement between the various markets.
Book Synopsis An Empirical Investigation of Stock Markets by : Shigeyuki Hamori
Download or read book An Empirical Investigation of Stock Markets written by Shigeyuki Hamori and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Empirical Investigation of Stock Markets: The CCF Approach attempts to make an empirical contribution to the literature on the movements of stock prices in major economies, i.e. Germany, Japan, the UK and the USA. Specifically, the cross-correlation function (CCF) approach is used to analyze the stock market. This volume provides some empirical evidence regarding the economic linkages among a group of different countries. Chapter 2 and Chapter 3 analyze the international linkage of stock prices among Germany, Japan, the UK and the USA. Chapter 2 applies the standard approach, whereas Chapter 3 uses the CCF approach. Chapter 4 analyzes the relationship between stock prices and exchange rates. Chapter 5 analyzes the relationship among stock prices, exchange rates, and real economic activities. Chapter 6 summarizes the main results obtained in each chapter and comments on the possible directions of future research.
Book Synopsis Asia’s Stock Markets by : Mr.Fabian Lipinsky
Download or read book Asia’s Stock Markets written by Mr.Fabian Lipinsky and published by International Monetary Fund. This book was released on 2014-02-26 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock markets play a key role in corporate financing in Asia. However, despite their increasing importance in terms of size and cross-border investment activity, the region’s markets are reputed to be more “idiosyncratic” and less reliant on economic and corporate fundamentals in their pricing. Using a model that draws on international asset pricing and economic theory, as well as accounting literature, we find evidence of greater idiosyncratic influences in the pricing of Asia’s stock markets, compared to their G-7 counterparts, beyond the identified systematic factors and local fundamentals. We also show proof of a significant relationship between the strength of implementation of securities regulations and the “noise” in stock pricing, which suggests that improvements in the regulation of securities markets in Asia could enhance the role of stock markets as stable and reliable sources of financing into the future.
Book Synopsis The Chinese Stock Market by : Nicolaas Groenewold
Download or read book The Chinese Stock Market written by Nicolaas Groenewold and published by Edward Elgar Publishing. This book was released on 2004-01-01 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: '. . . this book succeeds in its mission of analysing the efficiency, predictability and profitability of the Chinese stock market. It is strongly recommended to scholars. It is additionally recommended to practitioners involved in the market, sharing its prosperity and avoiding the possible risk. This book is also recommended to the students who want to learn the systematic application of econometric modelling to market efficiency analysis.' - Shiguang Ma, Economic Record The emergence of a stock market in China only occurred a decade ago and it remains something of an unknown quantity to many observers and traders outside of the country. This book provides an extensive historical and empirical analysis of the Chinese stock-market, the development of which is an integral part of the process of economic modernization that began in China in the late 1970s.
Book Synopsis Response of Stock Markets to Monetary Policy by : Naoyuki Yoshino
Download or read book Response of Stock Markets to Monetary Policy written by Naoyuki Yoshino and published by . This book was released on 2014 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: We estimate the response of Asian stock market prices to exogenous monetary policy shocks using a vector error correction model. In our paper, monetary policy transmits to stock market price through three routes: money by itself, exchange rate, and inflation. Our result points to the fact that stock prices increase persistently in response to an exogenous easing monetary policy. Variance deposition results show that, after 10 periods, the forecast error variance of beyond 53% of the Tehran Stock Exchange Price Index (TEPIX) can be explained by exogenous shocks to the US dollar-Iranian rial exchange rate, while this ratio for exogenous shocks to Iranian real gross domestic product was only 17%. We argue that such evidence can be accounted for by an endogenous response of the stock prices to the monetary policy shocks.
Book Synopsis Stock Returns and Macroeconomic Influences by : Wan Mansor Mahmood
Download or read book Stock Returns and Macroeconomic Influences written by Wan Mansor Mahmood and published by . This book was released on 2007 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the dynamics relationship between stock prices and economic variables in six Asian-Pacific selected countries of Malaysia, Korea, Thailand, Hong Kong, Japan, and Australia. The monthly data on stock price indices, foreign exchange rates, consumer price index and industrial production index that spans from January 1993 to December 2002 are used. In particular, we focus our analysis on the long run equilibrium and short run multivariate causality between these variables. The results indicate the existing of a long run equilibrium relationship between and among variables in only four countries, i.e., Japan, Korea, Hong Kong and Australia. As for short run relationship, all countries except for Hong Kong and Thailand show some interactions. The Hong Kong shows relationship only between exchange rate and stock price while the Thailand reports significant interaction only between output and stock prices. An accurate estimation of the relationship between the economic variables and stock market behaviour enables the investors - both local and foreign to make effective investment decisions. At the same time, for the policy makers, a precise prediction of this type of relationship may help government agencies in designing policies to encourage more capital inflows into the respective countries' capital market.
Book Synopsis Information Efficiency and Anomalies in Asian Equity Markets by : Qaiser Munir
Download or read book Information Efficiency and Anomalies in Asian Equity Markets written by Qaiser Munir and published by Taylor & Francis. This book was released on 2016-10-04 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient market hypothesis (EMH) maintains that all relevant information is fully and immediately reflected in stock prices and that investors will obtain an equilibrium rate of return. The EMH has far reaching implications for capital allocation, stock price prediction, and the effectiveness of specific trading strategies. Equity market anomalies reflect that the market is inefficient and hence, contradicts the EMH. This book gathers both theoretical and practical perspectives, by including research issues, methodological approaches, practical case studies, uses of new policy and other points of view related to equity market efficiency to help address the future challenges facing the global equity markets and economies. Information Efficiency and Anomalies in Asian Equity Markets: Theories and evidence is an insightful resource that will be useful for students, academics and professionals alike.
Book Synopsis On the Causal Relationship Between Stock Prices and Exchange Rates by : Lokman Gunduz
Download or read book On the Causal Relationship Between Stock Prices and Exchange Rates written by Lokman Gunduz and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the causality between the exchange rates and stock prices in the Middle East and North Africa Region before and after Asian financial crisis. Applying a non-causality testing procedure developed by Toda and Yamamoto (1995), we empirically find that there is a unidirectional Granger causality from exchange rates to stock prices for Israel and Morocco before and after the Asian financial crisis, and for Jordan only after the crisis. However the causality runs from stock prices to exchange rates for Turkey after the Asian financial crisis. Moreover, we do not find any support for causal relationship between these two variables for Egypt. These findings have implications regarding the influence of exchange rates on the development of stock markets and the effect of financial crises on the relation between stock prices and exchange rates.
Book Synopsis Causality Test Between Exchange Rate, Inflation Rate and Stock Price Index in Southeast Asia by : Tifa Noer Amelia
Download or read book Causality Test Between Exchange Rate, Inflation Rate and Stock Price Index in Southeast Asia written by Tifa Noer Amelia and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the causality relationship between stock price index, exchange rate and inflation. The sample is gathered from monthly report for the period of 2012-2015 published in Southeast Asia consisting of Lao PDR, Malaysia, Indonesia, Singapore and Thailand. Hypothesis is found that all of the variables identified have a causality relationship. Research proves that the Southeast Asian countries should monitor each others' Economic condition continuously since a change in a country's indicator can relate and has the impact on the other country. However, the relationship strength is moderate and weak. So the research must be updated every year since it is valid for short term or maximum for one year.
