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Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines
Abstract
Interactions are investigated between exchange rates and stock prices in the emerging financial markets of India, Korea, Pakistan and the Philippines. The motivation is to establish the causal linkages between leading prices in the foreign exchange market and the stock market; the linkages have implications for the ongoing attempts to develop stock markets in emerging economies simultaneously with a policy shift towards independently floating exchange rates. Some recent econometric techniques are applied to a bivariate vector autoregressive model using monthly observations on the IFC stock price index and the real effective exchange rate over 1985:01–1994:07. The results show unidirectional causality from exchange rates to stock prices in all the sample countries, except the Philippines. This finding has policy implications; it suggests that respective governments should be cautious in their implementation of exchange rate policies, given that such policies have ramifications on their stock markets.
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Narayan, P. K., & Smyth, R. (2009) · Energy Policy · doi:10.1016/j.enpol.2008.08.020 · Cited by 438
Dynamic analysis between the US stock returns and the macroeconomic variables
Ratanapakorn, O., & Sharma, S. C. (2007) · Applied Financial Economics · doi:10.1080/09603100600638944 · Cited by 255
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Metadata
- Authors
- Abdalla, I. S. A., & Murinde, V.
- Venue
- Applied Financial Economics
- Publisher
- Informa UK Limited
- Published
- 1997-01
- Volume
- 7
- Issue
- 1
- Pages
- 25-35
- ISSN
- 0960-3107 (ISSN-L)
- 1466-4305
- OpenAlex
- W2134227324
- Cited by
- 465
- References
- 16
- FWCI
- 5.23
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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