کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5054937 | 1476536 | 2013 | 4 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Reexamining the relationships between stock prices and exchange rates in ASEAN-5 using panel Granger causality approach
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We revisit the relationships between the equity market and currency market in ASEAN-5 using the panel Granger causality and panel DOLS methodologies. Our results support the “stock-oriented” hypothesis of exchange rates proposed by Branson (1983) and Frankel (1983), which states that exchange rates impact stock prices negatively via capital mobility. Meanwhile, on a per country and panel basis, the testing results using the DOLS approach match those of the short-run and long-run causal relations running from exchange rates to stock prices. These findings suggest that the monetary authorities for the ASEAN-5 should keep allowing their currency values of being determined by the economic fundamentals instead of interrupting them only in order to stimulate export growth unless a great deal of short-term speculative funds (hot money) flow into the currency markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 32, May 2013, Pages 560-563
Journal: Economic Modelling - Volume 32, May 2013, Pages 560-563
نویسندگان
Chin-Chia Liang, Jeng-Bau Lin, Hao-Cheng Hsu,