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.

期中報告影片網址:https://www.youtube.com/watch?v=-ZUe8fbl1uQ

期末資料來源

The Impact of Exchange Rate Volatility on Foreign Direct Investment in Iran

Abstract

The flows of foreign investment are the fundamental elements in the economical evolution of countries within the globalization process of economy. Previous research on exchange rate shows its significance as a key role in trades and flows of FDI. Although exchange rate and FDI are empirically investigated but the relationship between the volatility of exchange rate and flows of international investments is generally not identified. Therefore, considering the importance of the subject discussed, it is needed to consider the determinants of FDI specially the volatility of exchange rate and provide better situations for attracting FDI in Iran.

The main goal of this study is evaluating the determinants of inward FDI particularly volatility of exchange rate in Iran by using the Johansen and Juselius's cointegration system approach model covering the period 1980Q2-2006Q3. The findings of this study reveal that gross domestic product, openness and exchange rate to have positive relationship with foreign direct investment but, world crude oil prices and volatility of exchange rate have negative relationship with foreign direct investment. The empirical results obtained in this paper recommend the economy Politicians in Iran to implement exchange rate policies that promote stability of exchange rate, which could help reduce exchange rate volatility in order to attract more FDI.

Pre and Post Crisis Analysis of Stock Price and Exchange Rate: Evidence from Malaysia

Pre and Post Crisis Analysis of Stock Price and Exchange Rate: Evidence from Malaysia

Author  : Baharom, A. H., & Habibullah, M. S

Source  : International Applied Economics and Management Letters, 1(1), p.33-36.

Publication Date: 2008

Abstract：

The furore and chaos created by the Asian financial crisis have ignited many studies on numerous subjects, and it is believed that the crisis has changed the way nations being administered and policies formed and implemented especially those regarding monetary and fiscal policies. In this study Johansen (1991) cointegration method was used and the period was divided into two sub periods, albeit pre crisis and post crisis. The results obtained are similar with a number of past literatures pointing to no long run relationship between stock price and exchange rate for both periods.

Keywords：

Stock price, exchange rate, Asian financial crisis, Cointegration.

Baharom, A. H., & Habibullah, M. S, “Pre and post crisis analysis of stock price and exchange rate: Evidence from Malaysia” , 2008 , International Applied Economics and Management Letters, vol.1 , p.33-36.

Exchange rates, exports and economic growth in Turkey: Evidence from Johansen cointegration tests

作者:

KOÇÇAT, Halil

資料來源:

International Journal of Economic Perspectives. 2008, Vol. 2 Issue 1, p5-11. 7p. 2 Charts.

文件類型:

Article

主題術語:

*FOREIGN exchange rates
*EXPORTS
*ECONOMIC development
*COINTEGRATION
*ECONOMETRICS
*GROSS domestic product

地理詞彙:

TURKEY

作者提供的關鍵字:

Cointegration
Exports
GDP
Real Exchange Rate
Turkey

摘要:

The relationship between economics growth, foreign trade and exchange rate movements is inconclusive in the relevant literature. Most of the results from empirical studies show different conclusions depending on the country, data and model to be selected. Turkey is a developing country, which is strongly depending on foreign trade with others. Turkey experienced trade deficits and high exchange rate fluctuations in the economy more than 50 years. In this study, the relationship between economic growth, exchange rate movements and Turkey's exports empirically was evaluated by using time series quarterly data. The basic finding of this study is that no long-run equilibrium relationship has been found between real income per capita, real exchange rates and real exports of goods and services in Turkey based on the Johansen methodology. [ABSTRACT FROM AUTHOR]

 

Copyright of International Journal of Economic Perspectives is the property of International Economic Society and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

作者所屬機構:

Turkish Bank Ltd., Central Office, Nicosia Northern Cyprus, Via Mersin 10, Turkey

ISSN:

1307-1637

入藏號碼:

35639179

資料庫:

Business Source Complete

Exchange Rate and Economic Growth in Pakistan (1975-2011)

Author  : Arslan Ahmad, Najid Ahmad, Sharafat Ali

Source  : Journal of Basic and Applied Scientific Research, 3(8)740-746, 2013

Publication Date: September 2013

Abstract:
This paper investigates the impact of inflation, nominal exchange rate, FDI and capital stock on economic growth of Pakistan by using time series data for the period of 1975-2011. Augmented Dickey Fuller (ADF) test is applied to check the stationary of variables. All variables found stationary at level. So Ordinary Least Squares method is applied to check the relation between dependent variable (GDP) and independent variables (Exchange rate, FDI, capital stock). The results of OLS show that inflation and exchange rate has negative and significant affect economic growth of Pakistan. Capital stock (GFCF) does not significantly affect economic growth. Foreign direct investment has positive and significant effect on economic growth of Pakistan. Our model is free from hetroskedasticity and autocorrelation with satisfactory functional form that suggests the stability of the model. The CUSUM and CUSUMSQ are showing that the model is structurally stable within the 5% of critical bounds.

Keywords: Economic Growth, FDI, Inflation, Pakistan

Publication Type: Journal Article
(https://mpra.ub.uni-muenchen.de/49395/1/MPRA_paper_49395.pdf)

ISSN: 2090-4304

Authors’s Email: Email: najid_2iqbal@yahoo.com

國際金融學習記事 (Learning Notes) 丁淑妤 10292026

2015/10/19

Tools (methods) for econometric modeling in Int. Finance

1.       Classical assumption on residuals of OLS (Gauss – Markov theorem)
à to ensure the randomness of OLS residuals
à in multiple regression: X and Z should be independent

2.       Testing classical assumptions on residuals
à   E(u_t) = 0 (ignored if there is an intercept in OLS)

è Cov(u_t,u_t-j) = 0  for j¹1 (no autocorrelation in u_t)

è Var(u_t) = s_u for all t (Homoskedasticity)

è Jarque-Bera (JB) test (Test if the residual is normally distributed)

3.       Doornick-Hansen test (for multivariate normality)

4.       Statistical significance testing P-values
- Choose the certain a (level of significance), for example 5%
- If p-value > a, fail to reject Ho
- If p-value  < a, reject Ho

5.       Testing for no-autocorrelation (Q Tests)
à H0: there is no autocorrelation among residuals (u_t) up to lag p
       -   If reject H0, there exists autocorrelation among u_t and u_t-j 

-   If fail to reject H0,  no autocorrelation among u_t and u_t-j

6.       Testing for homeskedasticity (Q² tests)
à H0: there is no ARCH-type heteroscedasticity among residuals (u_t) up to lag p
       -  If reject H0,  there exists (ARCH-type) heteroskedasticity among u_t
       -  If fail to reject H0,  homeskedasticity, no (ARCH-type) heteroskedasticity among u_t

7.       JB Normality test on residuals
ex: Jarque-bera test = 0.310095, with P-Value 0.856374 we can say that P-Value of JB test suggest failure to reject HO. It means that “residuals are normally distributed”

Notes:
* Check OLS residuals before estimating the result of OLS in order to get BLUE estimates
BLUE means: Best, Liniear, Unbiased, Estimators.
* make sure that there are no autocorrelation, homoscesadticity, in small sample (N<30)
* Implication of the autocorrelation in residuals à Estimated coefficients are not BLUE
* Possible rescues for problems in OLS diagnosis
   - Re-estimate OLS with “robut standard errors”
   - model/Time sereies/AR(1)
   - Re-specify the model

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The unemployment effect of exchange rate volatility in industrial countries

作者:Feldmann, Horst

作者關係機構:

U Bath

資料來源:

Economics Letters, June 2011, v. 111, iss. 3, pp. 268-71

出版日期:

June 2011

摘要:

Using data on 17 industrial countries from 1982 to 2003 and controlling for a wide array of factors, this paper finds that higher exchange ratevolatility increases the unemployment rate. The magnitude of the effect is small. The results are robust to variations in specification.

描述項:

Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital (E24)
Foreign Exchange (F31)

關鍵字:

Exchange Rate; Unemployment; Unemployment Rate

地理位置描述項:

Selected MDCs

ISSN:

01651765

出版品類型:

Journal Article

數位物件識別碼:

http://0-dx.doi.org.cylis.lib.cycu.edu.tw/10.1016/j.econlet.2011.01.003

有無:

http://0-www.sciencedirect.com.cylis.lib.cycu.edu.tw/science/journal/01651765

更新代碼:

201107

入藏號碼:

1243262

How Sensitive Are Malaysia's Bilateral Trade Flows to Depreciation?

圖片

    

作者:

Bahmani-Oskooee, Mohsen; Harvey, Hanafiah

作者關係機構:

U WI, Milwaukee; U WI, Milwaukee

資料來源:

Applied Economics, June 2006, v. 38, iss. 11, pp. 1279-86

出版日期:

June 2006

摘要:

In an attempt to assess the impact of currency depreciation on the trade balance, recent studies are employing disaggregated trade data to avoid aggregation bias. However, since import and export prices are not available at disaggregated level, recent studies are using export and import values rather than their volumes so that they can establish direct relation between inpayments and theexchange rate as well as between outpayments and the exchange rate. This study explores the experience of Malaysia. Bilateral inpayments and outpayments models are estimated between Malaysia and her 14 trading partners using quarterly data and bound testing approach to cointegration. The results show that while real depreciation of the ringgit has short-run effects, in the long-run it increases Malaysia's inpayments from only five trading partners.

描述項:

Empirical Studies of Trade (F14)
Foreign Exchange (F31)
International Linkages to Development; Role of International Organizations (O19)

關鍵字:

Exchange Rate; Exports; Import; Trade

地理位置描述項:

Malaysia; Selected Countries

Geographic Region:

Asia

ISSN:

00036846

出版品類型:

Journal Article

有無:

http://0-www.tandfonline.com.cylis.lib.cycu.edu.tw/loi/raec20

更新代碼:

200611

入藏號碼:

0868914

Exchange-rate volatility, exchange-rate regime, and trade volume: evidence from the UK–US export function (1889–1999)

Aristotelous, Kyriacos

作者關係機構:

Otterbein College

資料來源:

Economics Letters, July 2001, v. 72, iss. 1, pp. 87-94

出版日期:

July 2001

摘要:

This paper investigated the impact of exchange-rate volatility and exchange-rate regime on the British exports to the United States using data for the period 1889-1999. The empirical findings suggest that neither exchange-rate volatility nor the different exchange-rate regimesthat spanned the last century had an effect on export volume.

描述項:

Foreign Exchange (F31)
International Monetary Arrangements and Institutions (F33)
Empirical Studies of Trade (F14)
Economic History: Transport, Trade, Energy, Technology, and Other Services: U.S.; Canada: 1913- (N72)
Economic History: Transport, Trade, Energy, Technology, and Other Services: Europe: 1913- (N74)

關鍵字:

Exchange Rates; Exports; Trade

地理位置描述項:

U.K.; U.S.

Geographic Region:

Europe; Northern America

ISSN:

01651765

出版品類型:

Journal Article

有無:

http://0-www.sciencedirect.com.cylis.lib.cycu.edu.tw/science/journal/01651765

更新代碼:

200110

入藏號碼:

0582021