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Applied Economics Letters Volume 9, 2002 - Issue 3
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Original Articles

The effects of currency depreciation on stock returns: evidence from five East Asian economies

Wenshwo Fang
Pages 195-199 | Published online: 07 Oct 2010

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Karan Rai & Bhavesh Garg. (2022) Dynamic correlations and volatility spillovers between stock price and exchange rate in BRIICS economies: evidence from the COVID-19 outbreak period. Applied Economics Letters 29:8, pages 738-745.
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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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Danbee Park & Joocheol Kim. (2015) Revisiting a story of two countries in East Asia after Abenomics. Applied Economics Letters 22:4, pages 255-260.
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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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Gary Gang Tian & Shiguang Ma. (2010) The relationship between stock returns and the foreign exchange rate: the ARDL approach. Journal of the Asia Pacific Economy 15:4, pages 490-508.
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Yuan-Hung Hsu Ku. (2008) Student-t distribution based VAR-MGARCH: an application of the DCC model on international portfolio risk management. Applied Economics 40:13, pages 1685-1697.
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Rodolfo Q. Aquino. (2006) A variance equality test of the ICAPM on Philippine stocks: post-Asian financial crisis period. Applied Economics 38:3, pages 353-362.
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Kenji Wada. (2004) Informational content of stock exchanges versus over-the-counter markets: the behaviour of stock indices around the Asian financial crisis in Japan and Korea. Applied Economics Letters 11:15, pages 949-955.
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Articles from other publishers (21)

Latha Sreeram & Samie Ahmed Sayed. (2022) Factors Associated with Growth in India’s International Reserves: VECM Analysis. Foreign Trade Review, pages 001573252211036.
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Afees A. Salisu, Kazeem Isah & Nnenna Ogbonnaya‐Orji. (2020) A firm level analysis of asymmetric response of U.S. stock returns to exchange rate movements . International Journal of Finance & Economics 27:1, pages 1220-1239.
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Xiyong Dong, Changhong Li & Seong-Min Yoon. (2021) How can investors build a better portfolio in small open economies? Evidence from Asia’s Four Little Dragons. The North American Journal of Economics and Finance 58, pages 101500.
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Juan Carlos Cuestas & Bo Tang. (2020) A Markov switching SVAR analysis on the relationship between exchange rate changes and stock returns in China. International Journal of Emerging Markets 16:3, pages 625-642.
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Mehmet SONGUR & Burak SERTKAYA. (2020) The Relationship Between Stock Prices and the Real Exchange Rate Index in BRICS Countries: Symmetric and Asymmetric Causality AnalysisBRICS Ülkelerinde Hisse Senedi Fiyatları ile Reel Döviz Kuru Endeksi Arasındaki İlişki: Simetrik ve Asimetrik Nedensellik Analizi. Yönetim ve Ekonomi Dergisi 27:3, pages 573-586.
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Ayaz Hussain Bukhari, Muhammad Asif Zahoor Raja, Muhammad Sulaiman, Saeed Islam, Muhammad Shoaib & Poom Kumam. (2020) Fractional Neuro-Sequential ARFIMA-LSTM for Financial Market Forecasting. IEEE Access 8, pages 71326-71338.
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Xiyong Dong & Seong-Min Yoon. (2018) Structural breaks, dynamic correlations, and hedge and safe havens for stock and foreign exchange markets in Greater China. The World Economy 41:10, pages 2783-2803.
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Hamid Raza & Weiou Wu. (2018) Quantile dependence between the stock, bond and foreign exchange markets – Evidence from the UK. The Quarterly Review of Economics and Finance 69, pages 286-296.
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Teng Zhang & Puman Ouyang. (2018) Is RMB appreciation a nightmare for the Chinese firms? An analysis on firm profitability and exchange rate. International Review of Economics & Finance 54, pages 27-43.
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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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Dejan Živkov, Jovan Njegić & Vera Mirović. (2016) Dynamic Nexus between Exchange Rate and Stock Prices in the Major East European Economies. Prague Economic Papers 25:6, pages 686-705.
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Dejan Živkov, Jovan Njegić & Jasmina Pavlović. (2016) DYNAMIC CORRELATION BETWEEN STOCK RETURNS AND EXCHANGE RATE AND ITS DEPENDENCE ON THE CONDITIONAL VOLATILITIES - THE CASE OF SEVERAL EASTERN EUROPEAN COUNTRIES. Bulletin of Economic Research 68:S1, pages 28-41.
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Jeng-Bau Lin & Shan-Heng Fu. (2016) Investigating the dynamic relationships between equity markets and currency markets. Journal of Business Research 69:6, pages 2193-2198.
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Emeka Nkoro & Aham Kelvin Uko. 2014. Global Strategies in Banking and Finance. Global Strategies in Banking and Finance 218 230 .
Lihong Wang. (2014) Who moves East Asian stock markets? The role of the 2007–2009 global financial crisis. Journal of International Financial Markets, Institutions and Money 28, pages 182-203.
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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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Dilip KumarS. Maheswaran. (2013) Return, Volatility and Risk Spillover from Oil Prices and the US Dollar Exchange Rate to the Indian Industrial Sectors. Margin: The Journal of Applied Economic Research 7:1, pages 61-91.
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김진웅, David J. Leatham & 서병선. (2010) Structural Change in Stock Price Volatility of Asian Financial Markets. Journal of Economic Research (JER) 15:1, pages 1-27.
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ZHENG YI & SWEE-LIANG TAN. (2011) AN EMPIRICAL ANALYSIS OF STOCK MARKET INTEGRATION: COMPARISON STUDY OF SINGAPORE AND MALAYSIA. The Singapore Economic Review 54:02, pages 217-232.
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Gareth Leeves. (2007) Asymmetric volatility of stock returns during the Asian crisis: Evidence from Indonesia. International Review of Economics & Finance 16:2, pages 272-286.
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Otavio Ribeiro de Medeiros. (2005) An Econometric Model of the Brazilian Stock Market. SSRN Electronic Journal.
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