Dynamic Linkages between Exchange Rates and Stock Prices During and After the 2007-2009 Global Financial Crisis: Evidence from Developed and Emerging Market

• Main Authors: Nguyen Van Hop, 阮文合
• Other Authors: Tseng-Chung Tang
• Format: Others
• Language: en_US
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/m6fg72

碩士 === 國立虎尾科技大學 === 經營管理研究所 === 102 === This study examines the long-run and short-run dynamics between exchange rates and stock prices by using cointegration methodology and multivariate Granger causality tests. We apply the analysis to six major financial markets, including: Japan, United Kingdom, Hong Kong, China, India and Brazil over the period 03 December 2007 to 15 May 2013. Long run cointegrating models are estimated producing evidence that the exchange rate is negatively related to the domestic stock index for emerging countries but positively for developed countries for entire sample and during the crisis, except United Kingdom. Besides, the unidirectional Granger causality is found running from stock returns to exchange rate changes in Japan and India, while there is evidence of bidirectional causality in United Kingdom and Brazil. Furthermore, the result also indicates that the dependence between the two variables has increased during the 2007-2009 global financial crisis. These findings are particularly important to local as well as foreign investors for diversifying and hedging their portfolio.