This study explores the dynamics between stock price and exchange rates through the cointegration methodology proposed by Herwartz and Luetkepohl (2011). Moreover, it consider the vector error correction model (VECM) with conditional heteroscedastic variance. And we use a feasible generalized least squares (FGLS) estimator to estimate the cointegrating vector.
This paper analysis some Asian countries' data from 1997 to 2010. The evidence result suggests that Malaysia and Singapor's stock price and exchange rate are positively related. But Hong Kong's stock price is negatively related to exchange rate.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0715111-100653 |
| Date | 15 July 2011 |
| Creators | Jian, Mei-yin |
| Contributors | Ming-Jang Weng, Ching-Nun Lee, Zih-Wei Wang |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0715111-100653 |
| Rights | not_available, Copyright information available at source archive |
Page generated in 0.0017 seconds