Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7413776 | Research in International Business and Finance | 2018 | 10 Pages |
Abstract
Uncovered Equity Parity condition states that the foreign equity market outperformance relative to the home equity market associates with foreign exchange rate depreciation. This study examines this condition in the emerging financial markets context using bounds testing approach to the level relations. Our rigorous analysis shows an evidence opposite to the UEP prediction such that an outperformance of foreign equity market links with a foreign exchange rate appreciation. Moreover, a nonlinear model shows an asymmetry in the equity market effect on the exchange rate, both in the short run and long run.
Keywords
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Social Sciences and Humanities
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Business and International Management
Authors
Muhammad Aftab, Rubi Ahmad, Izlin Ismail,