Spillover Effects between Exchange Rate and Stock Price in Asian Emerging Markets
1
조회
0
다운로드
21
인용
0
참고문헌
키워드
초록
This study examined the returns and volatility spillover effects in Asian emerging markets to investigate the dynamic interaction between exchange rate and equity price for markets in Hong Kong, Korea, Singapore, and Taiwan, employing the Granger causality test and bivariate GARCH model. The main findings of this study can be summarized as follows. First, there was no long-term equilibrium relationship between the exchange rate and equity price in the emerging Asian region. Second, we found strong causal relationship between the exchange rate changes and equity returns. This evidence supports the flow-oriented approach that the change of exchange rates leads to that of stock prices. Third, we found strong bidirectional volatility spillover between the exchange rate changes and equity returns, except in the case of Hong Kong. This study’s analysis can provide a better understanding of the linkages between the exchange rate and equity markets in emerging Asian countries and the nature of the risks that the participants in both markets have to deal with.
Abstract
This study examined the returns and volatility spillover effects in Asian emerging markets to investigate the dynamic interaction between exchange rate and equity price for markets in Hong Kong, Korea, Singapore, and Taiwan, employing the Granger causality test and bivariate GARCH model. The main findings of this study can be summarized as follows. First, there was no long-term equilibrium relationship between the exchange rate and equity price in the emerging Asian region. Second, we found strong causal relationship between the exchange rate changes and equity returns. This evidence supports the flow-oriented approach that the change of exchange rates leads to that of stock prices. Third, we found strong bidirectional volatility spillover between the exchange rate changes and equity returns, except in the case of Hong Kong. This study’s analysis can provide a better understanding of the linkages between the exchange rate and equity markets in emerging Asian countries and the nature of the risks that the participants in both markets have to deal with.
참고문헌 (30)
- Apergis, N., "Asymmetric Cross-Market Volatility Spillovers: Evidence from Daily Data on Equity and Foreign Exchange Markets", Manchester School, 69, pp.81~96 (2001)
- Branson, W. H., "Macroeconomic Determinants of Real Exchange Rate Risk, In Managing Foreign Exchange Risk" (1983), Cambridge University Press
- Cheung, Y.-W., "A Causality-in-Variance Test and Its Application to Financial Market Prices", Journal of Econometrics, 72(1), pp.33~48 (1996)
- Diebold, F. X., "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets", Economic Journal, 119(534), pp.158~171 (2009)
- Dornbusch, R., "Exchange Rates and the Current Account", American Economic Review, 70(5), pp.960~971 (1980)
- Engle, R. F., "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market", Econometrica, 58(3), pp.525~542 (1990)
- Engle, R. F., "Multivariate Simultaneous Generalized ARCH", Econometric Theory, 11, pp.122~150 (1995)
- Frankel, J. A., "Monetary and Portfolio-Balance Models of Exchange Rate Determination, In Economic Interdependence and Flexible Exchange Rates", pp.84~115 (1983), MIT Press
- Granger, C. W. J., "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods", Econometrica, 37(3), pp.424~438 (1969)
- Granger, C. W. J., "A Bivariate Causality Between Stock Prices and Exchange Rates: Evidence from Recent Asian Flu", Quarterly Review of Economics and Finance, 40(3), pp.337~354 (2000)
- Hamori, S., "An Empirical Investigation of Stock Markets: The CCF Approach" (2003), Kluwer Academic Publishers
- Hong, Y., "A Test for Volatility Spillover with Application to Exchange Rates", Journal of Econometrics, 103(1), pp.183~224 (2001)
- Inagaki, K., "Testing for Volatility Spillover Between the British Pound and the Euro", Research in International Business and Finance, 21(2), pp.161~174 (2007)
- Ito, T., "Where Does the Meteor Shower Come from? The Role of Stochastic Policy Coordination", Journal of International Economics, 32(3), pp.221~240 (1992)
- Johansen, S., "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models", Econometrica, 59(6), pp.1551~1580 (1991)
- Kanas, A., "Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence", Journal of Business Finance & Accounting, 27(3), pp.447~467 (2000)
- 강상훈, "Volatility Spillover Effect between Chinese and Korean Stock Markets", 金融工學硏究, 10(1), pp.161~177 (2011), 한국금융공학회
- 김홍배, "신용스프레드와 주식시장간 변동성이전", 金融工學硏究, 8(3), pp.127~148 (2009), 한국금융공학회
- MacKinnon, J. G., "Critical Values for Cointegration Tests, In Long-Run Economic Relationships: Readings in Cointegration", pp.266~276 (1991), Oxford University Press
- Nieh, C.-C., "Dynamic Relationship Between Stock Prices and Exchange Rates for G-7 Countries", Quarterly Review of Economics and Finance, 41(4), pp.477~490 (2001)
- Osterwald-Lenum, M., "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics", Oxford Bulletin of Economics and Statistics, 54(3), pp.461~471 (1992)
- Pan, M.-S., "Dynamic Linkages Between Exchange Rates and Stock Prices: Evidence from East Asian Markets", International Review of Economics & Finance, 16(4), pp.503~520 (2007)
- Phylaktis, K., "Stock Prices and Exchange Rate Dynamics", Journal of International Money and Finance, 24(7), pp.1031~1053 (2005)
- Tabak, B. M., "The Dynamic Relationship Between Stock Prices and Exchange Rates: Evidence for Brazil", International Journal of Theoretical and Applied Finance, 9(8), pp.1377~1396 (2006)
- Tai, C.-S., "Market Integration and Contagion: Evidence from Asian Emerging Stock and Foreign Exchange Markets", Emerging Markets Review, 8(4), pp.264~283 (2007)
- Wu, R.-S., "International Transmission Effect of Volatility Between the Financial Markets during the Asian Financial Crisis", Transition Studies Review, 12(1), pp.19~35 (2005)
- Yang, S.-Y., "Price and Volatility Spillovers Between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries", International Journal of Business and Economics, 3(2), pp.139~153 (2004)
- Yang, Y.-L., "A Double-Threshold GARCH Model of Stock Market and Currency Shocks on Stock Returns", Mathematics and Computers in Simulation, 79(3), pp.458~474 (2008)
- Yau, H.-Y., "Testing for Cointegration with Threshold Effect Between Stock Prices and Exchange Rates in Japan and Taiwan", J apan and the World Economy, 21(3), pp.292~300 (2009)
- Zhao, H., "Dynamic Relationship Between Exchange Rate and Stock Price: Evidence from China", Research in International Business and Finance, 24(2), pp.103~112 (2010)