Exchange Rates in East Asia: Its Nature and Connection with Stock Market Returns

• Main Authors: Tsang-yao Chang, 張倉耀
• Other Authors: Wen-Shwo Fang
• Format: Others
• Language: en_US
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/35211323134131439321

博士 === 逢甲大學 === 商學研究所 === 95 === This dissertation assesses foreign exchange rate behavior in ten Asian economies: China, Hong Kong, Indonesia, Japan, Korea, Malaysia, the Philippines, Singapore, Taiwan and Thailand from 1973 to 2005. Chapter 1 describes the exchange rate classification, based on Annual Report on Exchange Arrangements and Exchange Restrictions published by International Monetary Fund (IMF). Chapter 2’s monthly data examines the first four moments for each of the ten exchange rates. Chapter 3 employs daily data probing risk behavior of each exchange rate over time. Chapter 4 applies Cappiello, Engle and Sheppard’s (2006) Asymmetric Dynamic Conditional Correlation (A-DCC) bivariate GARCH model to the relation between exchange rate depreciation and stock market returns in Taiwan. Chapter 5 concludes. Sample countries adopt different exchange rate regimes; Japan currently has the most flexible. Hong Kong has the most rigid currency board, Malaysia pegs its exchange rate to the US dollar, Korea, and the Philippines are classified as independently floating. China, Indonesia, Singapore, Taiwan, and Thailand countries adopt managed floating. Monthly standard deviation shows that both the nominal and real exchange rates have become stable for all except Singapore in real terms. The skewness and kurtosis indicate the loss in robustness for all countries except Indonesia, Korea, and the Philippines in nominal terms, China and Thailand in real terms. Using daily data, risk measure of the trend of variance shows exchange rates stabilizing for all countries except China and Taiwan. The trend of kurtosis indicates loss in robustness for China and Hong Kong. For Taiwan, the relation between exchange rate and stock markets varies asymmetrically with time.