کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5084900 | 1477920 | 2014 | 49 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007-2010
ترجمه فارسی عنوان
در ارتباط بین قیمت سهام و نرخ ارز: شواهد از بحران بانکی 2007-2010
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate UEDCC-GARCH models are estimated producing evidence of unidirectional Granger causality from stock returns to exchange rate changes in the US and the UK, in the opposite direction in Canada, and bidirectional causality in the euro area and Switzerland. Furthermore, causality-in-variance from stock returns to exchange rate changes is found in the US and in the opposite direction in the euro area and Japan, while there is evidence of bidirectional feedback in Switzerland and Canada. The results of the time-varying correlations also show that the dependence between the two variables has increased during the recent financial crisis. These findings imply limited opportunities for investors to diversify their assets during this period.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 33, May 2014, Pages 87-103
Journal: International Review of Financial Analysis - Volume 33, May 2014, Pages 87-103
نویسندگان
Guglielmo Maria Caporale, John Hunter, Faek Menla Ali,