重要事項 Import Notes

重要事項 Import Notes
修習國際金融專題學生,
請務必參見 課程網頁維護重要事項 Import Notes
Registered students MUST see the Import Notes

2015-11-01

Cointegration between stock prices and exchange rates in Asia-Pacific countries

Abidin, S., Walters, C., Lim, K. and Banchit, A. (2013). Cointegration between stock prices andexchange rates in Asia-Pacific countries. Investment Management and Financial Innovations, 10(2), pp.142-146.

Abstract
There is considerable interest surrounding the relationship between stock markets and exchange rates due to the potential predicatory power for policy makers and investors. From a sample of seven Australasian countries, the authors find that there is no evidence of a long run cointegration between stock markets and exchange rates. This result interfaces with some of Bahmani-Oskooee and Sohrabian’s (1992) and Nieh and Lee’s (2001) findings, but contrasts to previous literature which suggests that there should be some cointegration relationship between the two markets (Lin, 2000). Although Japan showes some evidence of cointegration, Ramasay and Yeung (2005) suggest that such anomalies could merely be the product of the time period chosen, providing resolve to our conclusion that there is no long run significant relationship between stock markets and exchange rates.

Keywords 
Cointegration, Stock Prices, Exchange Rates, Investments.

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== Posted on 2009.10.05 ==
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