Macroeconomic Determinants, Stock Price, and Foreign Exchange: The Case of Asia Emerging Countries

• Main Authors: Yen-ChuanYang, 楊?絹
• Other Authors: Tse-Shih Wang
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/58881349884351670254

碩士 === 國立成功大學 === 財務金融研究所 === 98 === The past decade can be characterized by a series of turmoil in the international financial markets including the financial crisis of Asia in 1997 and the subprime mortgage crisis in 2008. These international financial turbulences involve international capital flows denominated in U.S. dollar which precipitate the volatility in foreign exchange markets and equity markets. The major purpose of this study is to explore the interrelationship among international capital flow, stock return and exchange rate return of eight Asian emerging countries from 2000 to 2008: Taiwan, South Korea, Singapore, Thailand, Malaysia, Indonesia, India and the Philippines. This article conducts vector autoregression models to explore the interrelationships. To investigate the transmission of volatilities between markets, we apply GARCH(1,1) model and examine how the volatilities from different markets are interrelated. The results suggest that these variables from different markets are significantly interrelated through first moment and second moment at least for some of the countries under investigation.