Exploring the interaction between stock price index and exchange rates: an asymmetric threshold approach

References

• Abdalla, I. S. A. and Murinde, V. (1997) Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines, Applied Financial Economics, 7, 25–35. doi:10.1080/096031097333826
   Google Scholar
• Aggarwal, R. (1981) Exchange rates and stock prices: a study of the US capital markets under floating exchange rates, Akron Business Economic Review, 12, 7–12.
   Google Scholar
• Ajayi, R. A., Friedman, J. and Mehdian, S. M. (1998) On the relationship between stock returns and exchange rates: tests of Granger causality, Global Finance Journal, 9, 241–51. doi:10.1016/S1044-0283(98)90006-0
   Google Scholar
• Apergis, N. and Miller, S. M. (2006) Consumption asymmetry and the stock market: empirical evidence, Economics Letters, 93, 337–42. doi:10.1016/j.econlet.2006.06.002
   Web of Science ®Google Scholar
• Bollerslev, T. (1990) Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model, The Review of Economics and Statistics, 72, 498–505. doi:10.2307/2109358
   Web of Science ®Google Scholar
• Branson, W. H. (1983) Macroeconomic determinants of real exchange risk, in Managing Foreign Exchange Rate Risk, Herring, R. J. (Ed.), Cambridge University Press, Cambridge, pp. 33–74.
   Google Scholar
• Chiang, T. C. and Yang, S.-Y. (2003) Foreign exchange risk premiums and time-varying equity market risks, International Journal of Risk Assessment and Management, 4, 310–31. doi:10.1504/IJRAM.2003.003828
   Google Scholar
• Chiang, T. C., Yang, S. Y. and Wang, T. S. (2000) Stock return and exchange rate risk: evidence from Asian stock markets based on a bivariate GARCH model, International Journal of Business, 2, 97–117.
   Google Scholar
• Dickey, D. A. and Fuller, W. A. (1981) Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, 49, 1057–72. doi:10.2307/1912517
   Web of Science ®Google Scholar
• Dornbusch, R. and Fischer, S. (1980) Exchange rates and current account, American Economic Review, 70, 960–71.
   Web of Science ®Google Scholar
• Fang, W. S. (2002) The effects of currency depreciation on stock returns: evidence from five East Asian economies, Applied Economics Letters, 9, 195–99. doi:10.1080/13504850110054931
   Web of Science ®Google Scholar
• Frankel, J. A. (1983) Monetary and portfolio-balance models of exchange rate determination, in Economic Interdependence and Flexible Exchange Rates, Bhandari, J. S. and Putnam, B. H. (Eds), MIT Press, Cambridge, MA, pp. 84–115.
   Google Scholar
• Gavin, M. (1989) The stock market and exchange rate dynamics, Journal of International Money and Finance, 8, 181–200. doi:10.1016/0261-5606(89)90022-3
   Web of Science ®Google Scholar
• Hatemi-Ja, A. and Roca, E. (2005) Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries, Applied Financial Economics, 15, 539–46. doi:10.1080/09603100500056635
   Google Scholar
• Ibrahim, H. and Aziz, H. (2003) Macroeconomic variables and the Malaysian equity market: a view through rolling sub-samples, Journal of Economic Studies, 30, 6–27. doi:10.1108/01443580310455241
   Google Scholar
• Johansen, S. and Juselius, K. (1990) Maximum likelihood estimation and inference on cointegration – with applications to the demand for money, Oxford Bulletin of Economics and Statistics, 52, 169–210. doi:10.1111/j.1468-0084.1990.mp52002003.x
   Web of Science ®Google Scholar
• Jorion, P. (1990) The exchange rate exposure of U.S. multinationals, The Journal of Business, 63, 331–45. doi:10.1086/296510
   Web of Science ®Google Scholar
• Kanas, A. (2000) Volatility spillovers between stock returns and exchange rate changes: international evidence, Journal of Business, Finance and Accounting, 27, 447–67. doi:10.1111/1468-5957.00320
   Google Scholar
• Kwona, C. S. and Shinb, T. S. (1999) Cointegration and causality between macroeconomic variables and stock market returns, Global Finance Journal, 10, 71–81. doi:10.1016/S1044-0283(99)00006-X
   Google Scholar
• Lee, C.-H., Doong, S.-C. and Chou, P.-I. (2011) Dynamic correlation between stock prices and exchange rates, Applied Financial Economics, 21, 789–800. doi:10.1080/09603107.2010.537631
   Google Scholar
• Liang, C. C., Lin, J. B. and Hsu, H. C. (2013) Reexamining the relationships between stock prices and exchange rates in ASEAN-5 using panel Granger causality approach, Economic Modelling, 32, 560–3. doi:10.1016/j.econmod.2013.03.001
   Web of Science ®Google Scholar
• Longin, F. and Solnik, B. (1995) Is the correlation in international equity returns constant: 1960-1990, Journal of International Money and Finance, 14, 3–26. doi:10.1016/0261-5606(94)00001-H
   Web of Science ®Google Scholar
• MacKinnon, J. G., Haug, A. A. and Michelis, L. (1999) Numerical distribution functions of likelihood ratio tests for cointegration, Journal of Applied Econometrics, 14, 563–77.
   Web of Science ®Google Scholar
• Maysami, R. C. and Koh, T. S. (2000) A vector error correction model of the Singapore stock market, International Review of Economics and Finance, 9, 79–96. doi:10.1016/S1059-0560(99)00042-8
   Google Scholar
• Moore, T. and Wang, P. (2014) Dynamic linkage between real exchange rates and stock prices: evidence from developed and emerging Asian markets, International Review of Economics and Finance, 29, 1–11. doi:10.1016/j.iref.2013.02.004
   Web of Science ®Google Scholar
• Pan, M., Fok, R. C. and Liu, Y. A. (2007) Dynamic linkages between exchange rates and stock prices: evidence from east Asian markets, International Review of Economics and Finance, 16, 503–20. doi:10.1016/j.iref.2005.09.003
   Google Scholar
• Phylaktis, K. and Ravazzolo, F. (2005) Stock prices and exchange rate dynamics, Journal of International Money and Finance, 24, 1031–53. doi:10.1016/j.jimonfin.2005.08.001
   Web of Science ®Google Scholar
• Soenen, L. and Hennigar, E. (1988) An analysis of exchange rates and stock prices – the US experience between 1980 and 1986, Akron Business and Economic Review, 19, 7–16.
   Google Scholar
• Tai, C. S. (2007) Market integration and contagion: evidence from Asian emerging stock and foreign exchange markets, Emerging Markets Review, 8, 264–83. doi:10.1016/j.ememar.2006.09.011
   Google Scholar
• Tesar, L. and Werner, I. (1995) Home bias and high turnover, Journal of International Money and Finance, 14, 467–92. doi:10.1016/0261-5606(95)00023-8
   Web of Science ®Google Scholar
• Tsagkanos, A. and Siriopoulos, C. (2013) A long-run relationship between stock price index and exchange rate: a structural nonparametric cointegrating regression approach, Journal of International Financial Markets, Institutions and Money, 25, 106–18. doi:10.1016/j.intfin.2013.01.008
   Web of Science ®Google Scholar
• Tsai, I. C. (2012) The relationship between stock price index and exchange rate in Asian markets: a quantile regression approach, Journal of International Financial Markets, Institutions and Money, 22, 609–21. doi:10.1016/j.intfin.2012.04.005
   Web of Science ®Google Scholar
• Walid, C., Chaker, A., Masood, O. et al. (2011) Stock market volatility and exchange rates in emerging countries: a Markov-state switching approach, Emerging Markets Review, 12, 272–92. doi:10.1016/j.ememar.2011.04.003
   Web of Science ®Google Scholar
• Wongbangpo, P. and Sharma, S. C. (2002) Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries, Journal of Asian Economics, 13, 27–51. doi:10.1016/S1049-0078(01)00111-7
   Google Scholar
• Wu, Y. (2000) Stock prices and exchange rates in a VEC model-the case of Singapore in the 1990s, Journal of Economics and Finance, 24, 260–74. doi:10.1007/BF02752607
   Google Scholar
• Yang, S. and Doong, S. (2004) Price and volatility spillovers between stock prices and exchange rates: empirical evidence from the G-7 countries, International Journal of Business and Economics, 3, 139–53.
   Google Scholar
• Zhao, H. (2010) Dynamic relationship between exchange rate and stock price: evidence from China, Research in International Business and Finance, 24, 103–12. doi:10.1016/j.ribaf.2009.09.001
   Google Scholar