The comovement between exchange rates and stock prices in the Asian emerging markets

► I study the comovement between FX rate and stock price in the Asian emerging markets. ► I examine how the short-term and long-term relations change after major events. ► The comovement between FX rates and stock prices becomes stronger during crisis. ► Most of the spillovers during crisis are running from stock price shocks to FX rate. ► Governments should stimulate stock markets to prevent a currency crisis.