The foreign exchange and stock market nexus: New international evidence

doi:10.1016/j.iref.2020.01.001

淡江大學機構典藏 > 商管學院 > 國際企業學系暨研究所 > 期刊論文 > Item 987654321/119552

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Title:	The foreign exchange and stock market nexus: New international evidence
Authors:	Xie, Zixiong;Chen, Shyh-Wei;Wu, An-Chi
Keywords:	Exchange rate;Stock price;Panel model;Granger non-causality
Date:	2020-05
Issue Date:	2020-11-16 12:10:28 (UTC+8)
Publisher:	Elsevier BV
Abstract:	This study attempts to re-examine the exchange rate-stock price nexus for a group of advanced and emerging countries. To this end, we employ the symmetric and asymmetric bootstrap panel Granger non-causality tests, which allows us to untangle the symmetric and asymmetric causations between exchange rates and stock prices under considerations of the cross-sectional dependence and asymmetry of the data at the same time. Among the main results, it is found that, first, the stock prices are helpful for predicting the exchange rates, but not vice versa. Second, the results show weak evidence in support of unidirectional asymmetric causality running from exchange rates to stock prices, and vice versa. Third, the empirical results of the Hatemi-J (2012) symmetric panel Granger non-causality tests show that there is a causation from stock prices to exchange rates, and vice versa. The hypotheses of the Hatemi-J asymmetric panel Granger non-causality from stock prices to exchange rates or from exchange rates to stock prices are not rejected, which are in line with the Emirmahmutoglu and Kose (2011) test. Fourth, when we adopt the raw data to conduct the Emirmahmutoglu and Kose (2011) test, the causal relations are in line with the results using the log of data. Moreover, by using the raw data, the causal relations predicted by using the Hatemi-J (2012) panel Granger non-causality test echo the causal relations predicted by using the Emirmahmutoglu and Kose (2011) test.
Relation:	International Review of Economics and Finance 67, p.240-266
DOI:	10.1016/j.iref.2020.01.001
Appears in Collections:	[國際企業學系暨研究所] 期刊論文

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