Return to search

Stock Prices and Exchange Rate Dynamics:The Evidence for Asian Area

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.

Identiferoai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0715111-100653
Date15 July 2011
CreatorsJian, Mei-yin
ContributorsMing-Jang Weng, Ching-Nun Lee, Zih-Wei Wang
PublisherNSYSU
Source SetsNSYSU Electronic Thesis and Dissertation Archive
LanguageCholon
Detected LanguageEnglish
Typetext
Formatapplication/pdf
Sourcehttp://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0715111-100653
Rightsnot_available, Copyright information available at source archive

Page generated in 0.0017 seconds