重要事項 Import Notes

重要事項 Import Notes
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請務必參見 課程網頁維護重要事項 Import Notes
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2014-10-29

The relationship between stock price index and exchange rate in Asian markets: A quantile regression approach


作者:
     Chun Tsai
資料來源:
         Journal of International Financial Markets, Institutions & Money
文件類型:
         Article
關鍵詞：
         Stock market
         Foreign exchange market
         Exchange rate
         Asian markets
         Quantile regression




摘要:
         This paper uses the data of six Asian countries to estimate the relationship between stock price index and exchange rate. According to the portfolio balance effect, these two variables should be negatively related. However, since the evidence from traditional ordinary least squares estimation is not favorable, the quantile regression model is adopted to observe the various relationships between stock and foreign exchange markets. The results show an interesting pattern in the relation of these two markets in Asia, which indicates that the negative relation between stock and foreign exchange markets is more obvious when exchange rates are extremely high or low.[ABSTRACT FROM AUTHOR]
作者所屬機構:
          Department of Finance, National University of Kaohsiung, No. 700, Kaohsiung University Rd.,
Nanzih District, 811 Kaohsiung, Taiwan, ROC. Tel.: +886 7 5919767; fax: +886 7 5919239.

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國際金融專題期中報告： 10392009 國際金融專題期中報告 張氏秋香

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== Posted on 2009.10.05 ==
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