Testing the causality between foreign exchange rates and stock prices: Evidence from Japan, South Korea and Singapore

• Main Authors: Cheng-Hui Lin, 林政輝
• Other Authors: Shyh-Wei Chen
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/88502423209448236005

碩士 === 中原大學 === 國際經營與貿易研究所 === 101 === Abstract This study examines the presence of the causal relationship between foreign exchange and stock markets for three Asian countries-Japan, South Korea and Singapore, respectively. The econometric methodology used in this paper allows us to determine the symmetric and asymmetric Granger causality between the foreign exchange rates and stock prices and it helps us to distinguish the diversity between competing theories with respect to information dissemination between the two financial markets. From the main results obtained, it is found that there is uni-directional symmetric and asymmetric Granger causality running from the foreign exchange rates to stock prices for Japan indicating that the ‘Flow-oriented’ model is applicable to this country. However, the foreign exchange market and stock market of South Korea and Singapore are subject to the overall influences of the ‘Flow-oriented’ and the portfolio balance models simultaneously, because there is a feedback relation between the foreign exchange rates and stock prices in these two countries.