6,704
Views
23
CrossRef citations to date
0
Altmetric
Articles

Dynamic heterogeneous panel analysis of the correlation between stock prices and exchange rates

&
Pages 749-772 | Received 05 Jan 2015, Accepted 17 Aug 2015, Published online: 09 Oct 2015

References

  • Abdalla, I. S. A., & 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, 25–35.10.1080/096031097333826
  • Ajayi, R. A., & Mougoue, M. (1996). On the dynamic relation between stock prices and exchange rates. Journal of Financial Research, 19, 193–207.10.1111/jfir.1996.19.issue-2
  • Alagidede, P., Panagiotidis, T., & Zhang, X. (2011). Causal relationship between stock prices and exchange rates. The Journal of International Trade & Economic Development, 20, 67–86.
  • Bahmani-Oskooee, M., & Sohrabian, A. (1992). Stock prices and the effective exchange rate of the dollar. Applied Economics, 24, 459–464.10.1080/00036849200000020
  • Bartov, E., & Bodnar, G. M. (1994). Firm valuation, earnings expectations, and the exchange-rate exposure effect. Journal of Finance, 49, 1755–1785.10.1111/j.1540-6261.1994.tb04780.x
  • Branson, W. H. (1983). Macroeconomic determinants of real exchange rate risk. In R. J. Herring (Ed.), Managing foreign exchange rate risk. Cambridge: Cambridge University Press.
  • Chen, S. W., & Chen, T. C. (2011). The causal relationship between stock prices and exchange rates: Evidence from the G-7. Journal of Economics and Management, 7, 101–133. (in Chinese).
  • Chkili, W., Aloui, C., & Nguyen, D. K. (2012). Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates. International Financial Markets, Institutions and Money, 22, 738–757.10.1016/j.intfin.2012.04.009
  • Doong, S. C., Yang, S. Y., & Wang, A. T. (2005). The dynamic relationship and pricing of stocks and exchange rates: Empirical evidence from Asian emerging markets. The Journal of American Academy of Business, Cambridge, 7, 118–123.
  • Dornbusch, R., & Fisher, S. (1980). Exchange rates and the current account. American Economic Review, 70, 960–971.
  • Fernandez, V. (2006). External dependence in European capital markets. Journal of Applied Economics, 9, 275–293.
  • Goswami, G. G., & Junayed, S. H. (2006). Pooled Mean Group estimation of the bilateral trade balance equation: USA vis-a-vis her trading partners. International Review of Applied Economics, 20, 515–526.10.1080/02692170600874218
  • Granger, C. W. J., Huang, B. N., & Yang, C. W. (2000). A bivariate causality between stock prices and exchange rates: Evidence from recent Asian Flu. The Quarter Review of Economics and Finance, 40, 337–354.10.1016/S1062-9769(00)00042-9
  • Iwata, H., Okada, K., & Samreth, S. (2011). A note on the environmental Kuznets curve for CO2: A Pooled Mean Group approach. Applied Energy, 88, 1986–1996.10.1016/j.apenergy.2010.11.005
  • Kim, D. H., & Lin, S. C. (2010). Dynamic relationship between inflation and financial development. Macroeconomic Dynamics, 14, 343–364.10.1017/S1365100509090312
  • Kim, D. H., Lin, S. C., & Suen, Y. B. (2010a). Dynamic effects of trade openness on financial development. Economic Modelling, 27, 254–261.10.1016/j.econmod.2009.09.005
  • Kim, D. H., Lin, S. C., & Suen, Y. B. (2010b). Are financial development and trade openness complements or substitutes? Southern Economic Journal, 76, 827–845.10.4284/sej.2010.76.3.827
  • Lin, S. C. (2009). Inflation and real stock returns revisited. Economic Inquiry, 47, 783–795.10.1111/ecin.2009.47.issue-4
  • Loayza, N., & Ranciere, R. (2006). Financial development, financial fragility, and growth. Journal of Money, Credit and Banking, 38, 1051–1076.10.1353/mcb.2006.0060
  • Mok, H. (1993). Causality of interest rate, exchange rate and stock price at stock market open and close in Hong Kong. Asia Pacific Journal of Management, 10, 123–143.10.1007/BF01734274
  • Nieh, C. C., & Lee, C. F. (2001). Dynamic relationship between stock prices and exchange rates for G-7 countries. The Quarterly Review and Finance, 41, 477–490.10.1016/S1062-9769(01)00085-0
  • Pan, M. S., Fok, R. C. W., & Liu, Y. A. (2007). Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets. International Review of Economics and Finance, 16, 503–520.10.1016/j.iref.2005.09.003
  • Pesaran, H. M., Shin, Y., & Smith, R. P. (1999). Pooled Mean Group estimation of dynamic heterogenous panels. Journal of the American Statistical Association, 94, 621–634.10.1080/01621459.1999.10474156
  • Pesaran, H. M., Shin, Y., & Smith, R. P. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16, 289–326.10.1002/(ISSN)1099-1255
  • Phylaktis, K., & Ravazzolo, F. (2005). Stock prices and exchange rate dynamics. Journal of International Money and Finance, 24, 1031–1053.10.1016/j.jimonfin.2005.08.001
  • Russell, B. (2011). Non-stationary inflation and panel estimates of United States short and long-run Phillips curves. Journal of Macroeconomics, 33, 406–419.10.1016/j.jmacro.2011.02.006
  • Smith, C. (1992). Stock markets and the exchange rate: A mutli-country approach. Journal of Macroeconomics, 14, 607–629.10.1016/0164-0704(92)90003-Q
  • Tsagkanos, A., & Siriopoulos, C. (2013). A long-run relationship between stock price index and exchange rate: A structural nonparametric cointegrating regression approach. International Financial Markets, Institutions and Money, 25, 106–118.10.1016/j.intfin.2013.01.008
  • Walid, C., Chaker, A., Masood, O., & Fry, J. (2011). Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach. Emerging Markets Review, 12, 272–292.10.1016/j.ememar.2011.04.003
  • 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, 260–274.10.1007/BF02752607
  • Yau, H. Y., & Nieh, C. C. (2006). Interrelations among stock prices of Taiwan and Japan and NTD/Yen exchange rate. Journal of Asian Economics, 17, 535–552.10.1016/j.asieco.2006.04.006
  • Yau, H. Y., & Nieh, C. C. (2009). Testing for cointegration with threshold effect between stock prices and exchange rates in Japan and Taiwan. Japan and the World Economy, 21, 292–300.10.1016/j.japwor.2008.09.001