The Influence of Exchange Rate and Oil Price Volatilities on the Returns of Major East Asian Stock Markets

• Main Authors: Tzu-Sui Hsu, 徐慈穗
• Other Authors: Ming-Jang Weng
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/29265097163596751247

碩士 === 國立高雄大學 === 應用經濟學系碩士班 === 101 === This thesis is based on the regression model of Hansan and Ratti (2012), and Chaker, Nguyen and Nieh (2012). The most difference of our anallylsis from Hansan and Ratti, and Chaker et al. is the setup in GARCH’s mean and variance equations. Especially, we add foreign exchange market in the model. Moreover, we apply dummy variables to investigate the symmetric/asymmetric influence of exchange rate and oil price volatilities on the return of six major eastern Asian stock markets using weekly data over the period of January 2005 to December 2012. The estimation includes two stages of regression, firstly, we utilize bivariate GARCH model of dynamic conditional correlation setup to investigate the co-movement between oil prices and exchange rates in each country.Next, we apply the conditional volatilities estimated from previous regression into a univriate GARCH model of stock returns to analyze the influence of exchange rate and oil price volatilities on the stock returns for individual country, including Taiwan, Japan, South Korea, Singapore, Malaysia, and Indonesia. According to the empirical result, we find that oil price volatilities of oil countries, such as Malaysia and Indonesia, and none-oil countries, like Taiwan, Japan, South Korea and Singapore, affected the stock markets with different sizes. As for the impact of exchange rate fluctuations, the empirical result show exchange rate fluctuations in the stock market of Singapore and Indonesia have significant impacts on returns, but insignificant for the other countries.