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Applied Financial Economics Volume 15, 2005 - Issue 8
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Original Articles

Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries

Abdulnasser Hatemi-J Department of Economics, University of Skovde, P-O Box 408, 521 28 Skovde, Sweden
&
Eduardo Roca * Department of Accounting, Finance and Economics, Griffith University, Nathan, Queensland 4111, Australia
Pages 539-546 | Published online: 21 Aug 2006

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Parham Parsva & Chor Foon Tang. (2017) A note on the interaction between stock prices and exchange rates in Middle-East economies. Economic Research-Ekonomska Istraživanja 30:1, pages 836-844.
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Feyyaz Zeren & Mustafa Koç. (2016) Time varying causality between stock market and exchange rate: evidence from Turkey, Japan and England. Economic Research-Ekonomska Istraživanja 29:1, pages 696-705.
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Chin-Chia Liang, Ming-Yung Chen & Cheng-Hua Yang. (2015) The Interactions of Stock Prices and Exchange Rates in the ASEAN-5 Countries: New Evidence Using a Bootstrap Panel Granger Causality Approach. Global Economic Review 44:3, pages 324-334.
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Athanasios Koulakiotis, Apostolis Kiohos & Vassilios Babalos. (2015) Exploring the interaction between stock price index and exchange rates: an asymmetric threshold approach. Applied Economics 47:13, pages 1273-1285.
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Walid M. A. Ahmed. (2014) Dynamic interactions between Egyptian equity and currency markets prior to and during political unrest. Applied Financial Economics 24:20, pages 1347-1359.
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Walid Chkili. (2012) The dynamic relationship between exchange rates and stock returns in emerging countries: Volatility spillover and portfolio management. International Journal of Management Science and Engineering Management 7:4, pages 253-262.
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Emawtee Bissoondoyal-Bheenick, Robert Brooks, Samantha Hum & Sirimon Treepongkaruna. (2011) Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis. Applied Financial Economics 21:13, pages 997-1003.
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Tomoe Moore. (2007) Has entry to the European Union altered the dynamic links of stock returns for the emerging markets?. Applied Financial Economics 17:17, pages 1431-1446.
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R. Scott Hacker & Abdulnasser Hatemi-J. (2006) Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application. Applied Economics 38:13, pages 1489-1500.
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Abdulnasser Hatemi-J & R. Scott Hacker. (2005) An alternative method to test for contagion with an application to the Asian financial crisis. Applied Financial Economics Letters 1:6, pages 343-347.
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Articles from other publishers (27)

Maoxi Tian, Rim El Khoury & Muneer M. Alshater. (2023) The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies. Journal of International Financial Markets, Institutions and Money 82, pages 101712.
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Şadan ÇALIŞKAN, Mustafa KARABACAK & Oytun MEÇİK. (2022) THE ANALYSIS OF THE RELATIONSHIP BETWEEN HOUSING PRICES AND INTEREST RATES IN TURKEYTÜRKİYE’DE KONUT FİYATLARI VE FAİZ ORANLARI ARASINDAKİ İLİŞKİNİN ANALİZİ. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi 23:1, pages 15-34.
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GÖRKEM ATAMAN & SERPIL KAHRAMAN. (2021) STOCK MARKET PREDICTION IN BRICS COUNTRIES USING LINEAR REGRESSION AND ARTIFICIAL NEURAL NETWORK HYBRID MODELS. The Singapore Economic Review 67:02, pages 635-653.
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Sumit Kumar Maji, Arindam Laha & Debasish SurSumit Kumar Maji, Arindam Laha & Debasish Sur. 2022. Indian Manufacturing Sector in Post-Reform Period. Indian Manufacturing Sector in Post-Reform Period 37 67 .
Pami Dua & Divya Tuteja. (2021) Regime Shifts in the Behaviour of International Currency and Equity Markets: A Markov-Switching Analysis. Journal of Quantitative Economics 19:S1, pages 309-336.
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Zainudin Arsad, Nur Atiqah Baharudin & Rosmanjawati Abdul Rahman. Estimating dynamic relationship between stock price and macroeconomic variables using Kalman filter approach. Estimating dynamic relationship between stock price and macroeconomic variables using Kalman filter approach.
Zixiong Xie, Shyh-Wei Chen & An-Chi Wu. (2020) The foreign exchange and stock market nexus: New international evidence. International Review of Economics & Finance 67, pages 240-266.
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Jung Wan LEE & Tantatape BRAHMASRENE. (2019) Long-run and Short-run Causality from Exchange Rates to the Korea Composite Stock Price Index. The Journal of Asian Finance, Economics and Business 6:2, pages 257-267.
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Mohammad Enamul Hoque & Mohd Azlan Shah Zaidi. (2018) The impacts of global economic policy uncertainty on stock market returns in regime switching environment: Evidence from sectoral perspectives. International Journal of Finance & Economics 24:2, pages 991-1016.
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Neveen Ahmed. (2018) The effect of the financial crisis on the dynamic relation between foreign exchange and stock returns. Journal of Economic Studies 45:5, pages 994-1031.
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Zafer Adalı & Gözde Yıldırım. (2018) Linear and Non-Linear Causality Tests of Stock Price and Real Exchange Rate Interactions in Turkey. Fiscaoeconomia 2:1, pages 55-555.
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김성기, Sangkuck Chung & Subedi Shyam. (2015) Uncertainty Channel between Stock Prices and Foreign Exchange Rates in Nepal. The Journal of International Trade & Commerce 11:4, pages 1-19.
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Walid Chkili & Duc Khuong Nguyen. (2014) Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries. Research in International Business and Finance 31, pages 46-56.
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Guglielmo Maria Caporale, John Hunter & Faek Menla Ali. (2014) On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007–2010. International Review of Financial Analysis 33, pages 87-103.
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Ram Babu Roy & Uttam Kumar Sarkar. (2012) A social network approach to change detection in the interdependence structure of global stock markets. Social Network Analysis and Mining 3:3, pages 269-283.
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Chin-Chia Liang, Jeng-Bau Lin & Hao-Cheng Hsu. (2013) Reexamining the relationships between stock prices and exchange rates in ASEAN-5 using panel Granger causality approach. Economic Modelling 32, pages 560-563.
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Ram Babu Roy & Uttam Kumar Sarkar. 2013. Trends and Applications in Knowledge Discovery and Data Mining. Trends and Applications in Knowledge Discovery and Data Mining 59 70 .
Mazila Md-Yusuf & Hamisah Abd Rahman. (2012) The Granger causality effect between the stock market and exchange rate volatility in the ASEAN 5 countries. The Granger causality effect between the stock market and exchange rate volatility in the ASEAN 5 countries.
Hooi Hooi Lean & Parham Parsva. (2012) Performance of Islamic Indices in Malaysia FTSE Market: Empirical Evidence from CAPM. Journal of Applied Sciences 12:12, pages 1274-1281.
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Shyh‐Wei Chen & Tzu‐Chun Chen. (2012) Untangling the non‐linear causal nexus between exchange rates and stock prices. Journal of Economic Studies 39:2, pages 231-259.
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Georgios Chortareas, Andrea Cipollini & Mohamed Abdelaziz Eissa. (2011) Exchange Rates and Stock Prices in the MENA Countries: What Role for Oil?. Review of Development Economics 15:4, pages 758-774.
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Abdulnasser Hatemi-J & Eduardo Roca. (2011) How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test. Economic Modelling 28:6, pages 2560-2565.
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Chkili Walid, Aloui Chaker, Omar Masood & John Fry. (2011) Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach. Emerging Markets Review 12:3, pages 272-292.
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HOOI HOOI LEAN, PARESH NARAYAN & RUSSELL SMYTH. (2011) EXCHANGE RATE AND STOCK PRICE INTERACTION IN MAJOR ASIAN MARKETS: EVIDENCE FOR INDIVIDUAL COUNTRIES AND PANELS ALLOWING FOR STRUCTURAL BREAKS. The Singapore Economic Review 56:02, pages 255-277.
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Soumya Saha & Gagari Chakrabart. (2011) Financial Crisis and Financial Market Volatility Spill-Over. The International Journal of Applied Economics and Finance 5:3, pages 185-199.
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Giulia Piccillo. (2008) Asset Prices and Exchange Rates: A Time Dependent Approach. SSRN Electronic Journal.
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Giulia Piccillo. (2008) Foreign Exchange and Stock Market: Two Related Markets?. SSRN Electronic Journal.
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