Causality between Foreign Currency and Equity Markets of Singapore and Thailand: Evidence from Post-Crisis Daily Data

키워드

참고문헌 (29)

1. Abdalla, I. S. A., "Exchange rate and stock price interactions in emerging financial markets: Evidence on India, Pakistan, and Philippines", Applied Financial Economics, 7, pp.25~35 (1997)
2. Ajayi, R. A., "On the dynamic relation between stock prices and exchange rates", Journal of Financial Research, XIX, pp.193~207 (1996)
3. Akaike, H., "Fitting autoregression for prediction", Annals of the Institute of Statistical Mathematics, 21, pp.243~247 (1969)
4. Amihud, Y., "Evidence on exchange rates and valuation of equity shares: Recent advances in corporate performance" (1993), Business One Irwin
5. Bodnar, G., "Exchange rate exposure and industry characteristics: Evidence from Canada, Japan, and the US", Journal of International Money and Finance, 12, pp.29~45 (1993)
6. Branson, W. H., "Managing foreign exchange risk" (1983), Cambridge University Press
7. Chen, N. F., "Economic forces and the stock market", Journal of Business, 59, pp.383~403 (1986)
8. Choi, J. J., "Is foreign exchange risk priced in the Japanese stock market?", Journal of Financial and Quantitative Analysis, 33, pp.361~382 (1998)
9. Chow, E. H., "The exchange rate risk exposure of asset returns", Journal of Business, 70, pp.105~123 (1997)
10. Dickey, D. A., "Likelihood ratio statistics for autoregressive time series with a unit root", Econometrica, 49, pp.1057~1072 (1981)
11. Dornbusch, R., "Exchange rates and the current account", American Economic Review, 70, pp.960~971 (1980)
12. Fama, E., "Stock returns, real activity, inflation and money", American Economic Review, 71, pp.545~565 (1981)
13. Fama, E., "Business conditions and expected returns on stocks and bonds", Journal of Financial Economics, 25, pp.23~49 (1989)
14. Fang, W., "The effects of currency depreciation on stock returns : Evidence from five East Asian countries", Applied Economics Letters, 9, pp.195~199 (2002)
15. Frankel, J. A., "Economic interdependence and flexible exchange rates" (1983), MIT Press
16. Fuller, W. A., "Introduction to Statistical Time Series" (1996), John Wiley and Sons
17. Gavin, M., "The stock market and exchange rate dynamics", Journal of International Money and Finance, 8, pp.181~200 (1989)
18. Granger, C. W. J., "Some recent developments in concepts of causality", Journal of Econometrics, 39, pp.199~211 (1988)
19. Homma, T., "Exchange rate and stock prices in Japan", Applied Financial Economies, 15, pp.469~478 (2005)
20. High-Frequency contagion between the exchange rates and stock prices, "Ito, T.", NBER, ~, pp.Working Paper 10448 (2004)
21. Jorion, P., "The exchange rate exposure of US multinationals", Journal of Business, 63, pp.331~345 (1990)
22. Jorion, P., "The pricing of exchange rate risk in the stock market", Journal of Financial and Quantitative Analysis, 26, pp.363~376 (1991)
23. Khalid, A. M., "Was financial market contagion the source of economic crisis in Asia? Evidence using a multivariate VAR model", Journal of Asian Economics, 14, pp.131~156 (2003)
24. Ma, C. K., "On exchange rate changes and stock price reaction", Journal of Finance and Accounting, 17, pp.441~449 (1990)
25. Mishra, B., "Joint efficiency of the US stock and foreign exchange markets : Evidence from cointegration", International Journal of Finance, 6, pp.640~650 (1993)
26. Solnik, B., "Using financial prices to test exchange rate models : A note", Journal of Finance, 42, pp.141~149 (1987)
27. Wongbangpo, P., "Stock market and macroeconomic fundamental dynamic interactions : ASEAN-5 countries", Journal of Asian Economics, 13, pp.27~51 (2002)
28. Wu, Y., "Exchange rates, stock prices, and money markets: Evidence from Singapore", Journal of Asian Economics, 12, pp.445~458 (2001)
29. Zhou, S., "The power of cointegration tests versus data frequency and time spans", 67, pp.90~ (2001)

관련 논문AI추천