Testing for cointegration with threshold effect between stock prices and exchange rates in Japan and Taiwan

2009 ◽  
Vol 21 (3) ◽  
pp. 292-300 ◽  
Author(s):  
Hwey-Yun Yau ◽  
Chien-Chung Nieh
Keyword(s):  
Exchange Rates ◽  
Stock Prices ◽  
Threshold Effect

An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

2014 ◽  
pp. 74-89 ◽  
Author(s):  
Vinh Vo Xuan
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Foreign Exchange Rates ◽  
Factors Affecting ◽  
Crude Oil Prices ◽  
Before And After

This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. In addition, Vietnam’s stock prices are also affected significantly by US stock prices, and foreign exchange rates over the period before the 2008 Global Financial Crisis. There is evidence that Vietnam’s stock prices are highly correlated with US stock prices, foreign exchange rates and gold prices for the same period. Furthermore, Vietnam’s stock prices were cointegrated with US stock prices both before and after the crisis, and with foreign exchange rates, gold prices and crude oil prices only during and after the crisis.

On the Causal Relationship between Stock Prices and Exchange Rates: Evidence from Romania

2009 ◽  
Author(s):  
Sorin Dumitrescu ◽  
Alexandra Horobet
Keyword(s):  
Exchange Rates ◽  
Causal Relationship ◽  
Stock Prices

On the Causal Relationship Between Stock Prices and Exchange Rates: Evidence from MENA Region

2002 ◽  
Author(s):  
Lokman Gunduz ◽  
Abdulnasser Hatemi-J
Keyword(s):  
Exchange Rates ◽  
Causal Relationship ◽  
Stock Prices ◽  
Mena Region

scholarly journals Monetary policy, exchange rates and stock prices in the Middle East region

2015 ◽  
Vol 37 ◽  
pp. 14-28 ◽  
Author(s):  
Hashem E. Abouwafia ◽  
Marcus J. Chambers
Keyword(s):  
Monetary Policy ◽  
Middle East ◽  
Exchange Rates ◽  
Stock Prices ◽  
East Region ◽  
Middle East Region

Threshold effect in international linkage of stock prices

1998 ◽  
Vol 10 (4) ◽  
pp. 441-453 ◽  
Author(s):  
Kenjiro Hirayama ◽  
Yoshiro Tsutsui
Keyword(s):  
Stock Prices ◽  
Threshold Effect ◽  
International Linkage

MODELING THE INTERACTIONS OF STOCK PRICE AND EXCHANGE RATE IN MALAYSIA

2009 ◽  
Vol 54 (04) ◽  
pp. 605-619 ◽  
Author(s):  
MOHD TAHIR ISMAIL ◽  
ZAIDI BIN ISA
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Price Index ◽  
Composite Index ◽  
Regime Shifts ◽  
Var Model ◽  
Vector Autoregressive ◽  
Stock Price Index

After the East Asian crisis in 1997, the issue of whether stock prices and exchange rates are related or not have received much attention. This is due to realization that during the crisis the countries affected saw turmoil in both their currencies and stock markets. This paper studies the non-linear interactions between stock price and exchange rate in Malaysia using a two regimes multivariate Markov switching vector autoregression (MS-VAR) model with regime shifts in both the mean and the variance. In the study, the Kuala Lumpur Composite Index (KLCI) and the exchange rates of Malaysia ringgit against four other countries namely the Singapore dollar, the Japanese yen, the British pound sterling and the Australian dollar between 1990 and 2005 are used. The empirical results show that all the series are not cointegrated but the MS-VAR model with two regimes manage to detect common regime shifts behavior in all the series. The estimated MS-VAR model reveals that as the stock price index falls the exchange rates depreciate and when the stock price index gains the exchange rates appreciate. In addition, the MS-VAR model fitted the data better than the linear vector autoregressive model (VAR).

Dynamic correlation between stock prices and exchange rates

2011 ◽  
Vol 21 (11) ◽  
pp. 789-800 ◽  
Author(s):  
Chia-Hao Lee ◽  
Shuh-Chyi Doong ◽  
Pei-I Chou
Keyword(s):  
Exchange Rates ◽  
Stock Prices ◽  
Dynamic Correlation

Exchange rates and stock prices: implications for European convergence

2002 ◽  
Vol 24 (5) ◽  
pp. 523-526 ◽  
Author(s):  
Bruce Morley
Keyword(s):  
Exchange Rates ◽  
Stock Prices
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